Showing papers in "Journal of Monetary Economics in 1999"

TL;DR: In this paper, the authors developed and estimated a structural model of inflation that allows for a fraction of firms that use a backward-looking rule to set prices, and the model nests the purely forward-looking New Keynesian Phillips curve as a particular case.

TL;DR: In this paper, the authors survey and discuss in-time targeting in the context of monetary policy rules and draw some conclusions for the monetary policy of the European System of Central Banks.

TL;DR: In this article, the authors present a monetary growth model in which banks and secondary capital markets play a crucial allocative function, and show that the predictions of the model are consistent with these and several other observations about inflation, finance and long-run real activity.

TL;DR: In this paper, the authors present simulation results regarding the performance of nominal income targeting, a monetary policy rule that sets interest rates in response to deviations of nominal GDP growth from a target path.

TL;DR: The authors analyzes term premia and risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage, and provides an algorithm to match the means and variances of the riskless rate and the rate of return on equity.

TL;DR: In this paper, the authors examine the implications of recent research on monetary policy rules for practical monetary policy making, with special emphasis on strategies for setting interest rates by the European Central Bank (ECB).

TL;DR: The authors showed that monetary policy shocks may lead to large uncovered interest rate parity (UIP) deviations, which is consistent with overshooting, and implies that the over-shooting cannot be driven by Dornbusch's mechanism.

TL;DR: In this article, the authors studied the ability of input-output relationships to generate fluctuations in aggregate output in several multi-sector models, including that of Long and Plosser (1983), and provided conditions under which the second moment properties of aggregates were the same as their single-sector counterparts.

TL;DR: The authors integrated the modern theory of unemployment with a limited participation model of money and asked whether such a framework can produce correlations like those associated with the Phillips curve as well as realistic labor market dynamics.

TL;DR: The authors examined the Fisherian link between inflation and short-term nominal interest rates using post-war quarterly data for Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Japan, Netherlands, the United Kingdom and the United States.

TL;DR: In this article, the joint determination of market structure and growth in an oligopolistic economy is studied, where firms run in-house R&D programs to produce over time a continuous flow of costreducing innovations.

TL;DR: The authors derives the restrictions imposed by Barro and Gordon's theory of time-consistent monetary policy on a bivariate time-series model for inflation and unemployment and tests those restrictions using quarterly US data from 1960 through 1997.

TL;DR: In this paper, the authors consider the effect of uncertainty on long-run capital accumulation and show that an increase in uncertainty can either increase or decrease the long run capital stock under irreversibility relative to that under reversibility.

TL;DR: The authors discusses the development of Phillips curves in Australia over the forty years since Phillips first estimated one using Australian data and examines the central issues faced by researchers estimating Australian Phillips curves, including the distinction between the short and long-run trade-offs between inflation and unemployment, and the changing level of the non-accelerating inflation rate of unemployment.

TL;DR: In this paper, the authors propose an informational explanation to stock markets' booms and crashes, based on the idea of ''informational overshooting'' that if market fundamentals change for an unknown period of time, prices experience a boom, which ends in a crash, due to informational dynamics.

TL;DR: The authors examines the international experiences with four basic types of monetary policy regimes: exchange-rate targeting, monetary targeting, inflation targeting, and monetary policy with an implicit but not an explicit nominal anchor.

TL;DR: In this article, the authors consider a real business cycle model with an externality in production and identify an automatic stabilizer income tax-subsidy schedule with two properties: (i) it specifies the tax rate to be an increasing function of aggregate employment, and (ii) earnings are subsidized when aggregate employment is at its efficient level.

TL;DR: This article used dynamic factor analysis and Kalman filtering to construct a measure of common economic activity for the G7 countries and found that the common fluctuations are strongly associated with movements in US investment.

TL;DR: In this article, a multisector business cycle model is proposed to reproduce the procyclical behavior of cross-sector measures of capital, employment and output, and the authors show how the introduction of intratemporal adjustment costs for investment can significantly enhance the performance of such a model, making it difficult to alter the composition of production of new capital goods.

TL;DR: The authors examined the evolution of Swedish price level targeting in the 1930s and brought out similarities and differences between price stabilization in the 30s and in the 1990s, as well as the differences between the two approaches.

TL;DR: The authors generalize a standard vector autoregression framework to accommodate discrete, political party variables and find almost no support for the view that political effects on the macroeconomy operate through monetary policy.

TL;DR: In this paper, the authors construct a model in which households must make purchases either with money or with costly transactions services produced by firms in the financial services sector, and a test of the model using cross-sectional data finds that the size of a nation's financial sector is strongly affected by its inflation rate.

TL;DR: In this article, a model to integrate the search monetary theory into a neoclassical growth model is presented, which examines the relationship between money growth and capital accumulation and finds that an increase in the money growth rate increases the frequency of successful trades by increasing the number of agents in the market.

TL;DR: This article examined the efficiency of the forward yen/dollar market using micro survey data and found that although survey data are not the best predictor of future spot rates in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits.

TL;DR: The authors argue that monetary strategies are helpful in solving internal and external coordination problems for the central bank and illustrate the point by reviewing the Bundesbank's experience with money growth targeting in the mid-1970s.

TL;DR: In this paper, the authors integrate the search model of unemployment into an intertemporal framework and examine the dynamic effects of a labor income tax, a capital income tax and an unemployment subsidy, a vacancy subsidy and an investment tax credit.

TL;DR: In this article, a one-sector stochastic growth model is augmented by matching frictions in the labor market and match-specific productivity shocks that introduce ex post heterogeneous job-matches.

TL;DR: This paper showed that growth effects are smaller and much less sensitive in models that generate realistic life-cycle behavior, which requires that households are finitely lived (but generations may be altruistically linked) and face diminishing point in time returns in human capital accumulation.

TL;DR: In this article, the authors investigate the issue of price level indeterminacy under a pure interest rate peg in models that depart from standard Ricardian assumptions and conclude that departures from Ricardians equivalence are not sufficient to ensure a unique price level under a monetary policy of pure interest-rate pegging.

TL;DR: In this article, the authors show that despite their highly restrictive nature, some parameterizations of the Cox-Ingersoll-Ross (CIR) and Chen-Scott (CS) models of the term structure can account for the predictability smile.