This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of “pure” inflation: the common component in goods’ inflation rates that has an equiproportional effect on all prices and is...

The crisis of 2008 started with asset price bubbles which spread to other sectors, thus driving a recession. Turmoil in the housing sector can directly harm domestic economy and financial stability. research aims analyze macroeconomic variables that affect prices Indonesia how inflation-targeting framework affects prices. This study contributes current research, such as early warning system for...

Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real r...

S tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Vo...

This paper uses a small open economy model to address two outstanding issues in monetary policy: (1) what restrictions on the policy rule ensure that the central bank does not introduce real indeterminacy into the economy, and (2) what is the optimal long run rate of inflation. The small open economy model provides unique insights on both fronts. In the case of determinacy issues, the model’s s...

The existence of a stable demand function for M2 in Korea is important for the conduct of monetary policy and financial analysis. However, despite much research into the subject, results thus far yield no conclusion as to whether M2 demand is in fact stable. Previous studies, however, have failed to adequately control for financial innovation. When adding a proxy for such innovation to the coin...

FIROUGHOUT 1989, popular wisdom held that the U.S. monetary authority was faced with a daunting policy task: it should not permit too much money growth and cause prices to rise too rapidly, but it should not allow too little money growth and cause the economy to tip into recession as real output would fall. Sympathy for monetary policymakers, however, is not necessarily widespread among economi...

â â â  â â â  abstract â  using a structural var with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, u.s. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity grou...

This paper presents a theory of inflation in an economy with commodity money and supports it by evidence from the inflationary episodes in France during the fourteenth and fifteenth centuries. The paper shows that commodity money can be inflated similarly to fiat money through repeated debasements, which act like devaluation. Furthermore, as with fiat money, demand for commodity money falls wit...

We study how fluctuations in money growth correlate with fluctuations in real and nominal output growth and inflation. We pick cycles from each time series that last 2 to 8 (business cycles) and 8 to 40 (longer-term cycles) years, using band-pass filters. We employ a data set from 1880 to 2001 for eleven countries, without gaps. Fluctuations in money growth do not play a systematic and importan...