This paper investigates the predictive ability of financial variables for euro area growth through bivariate and multivariate non-parametric Granger causality tests. Apart from assessing the within-country forecasting ability of commonly-employed financial variables, such as the term spread, the stock market returns and the growth of real money supply, we also test for cross-country influences....

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign restrictions, two non-policy shocks, demand and supply, and two policy shocks, monetary and fiscal. We obtain ...

This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. The recent recovery in Latin America has been impressive but ...

In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations and nominal rigidities. First, we provide a quantitative analysis of the impact of the zero bound on...

Under the assumption of bounded rationality, economic agents learn from their past mistaken predictions by combining new and old information to form new beliefs. The purpose of this paper is to investigate how the policy-maker, by affecting private agents’ learning process, determines the speed at which the economy converges to the rational expectation equilibrium. I find that by reacting stron...

JEL Classification: I120, Z130 Twenty-seven percent of the Union Army prisoners captured July 1863 or later died in captivity. At Andersonville the death rate may have been as high as 40 percent. How did men survive such horrific conditions? Using two independent data sets we find that friends had a statistically significant positive effect on survival probabilities and that the closer the ties...

Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary impulses in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies. We find that a binding zero bound on nominal interest rates can eliminate more than 50% of the effect of an exogenous mo...

21 22 Abstract 23 24 Does the dollarization of liabilites and the resulting balance sheet vulnerability prevent 25 monetary policy from serving its conventional countercyclical role? We study this question 26 in a model of a small open economy in which domestic firms face an imperfect capital 27 w market, with risk premia depending on net worth as in Bernanke and Gertler Am. Econ. 28 Ž . x Rev....

We employ model-free jump measures to study monetary policy operations in the US and UK around major economic events by exploiting the relationship between jumps, interest rates, and macroeconomic news releases related to monetary policy. In our analysis, we explicitly account for the timing of jumps in US and UK interest rates and the correlation across jumps in the same two interest rates and...

We compare optimal and simple interest-rate rules. Our model features optimizing agents, monopolistic competition in both product and labor markets, and one-period nominal contracts (for wages alone or for both wages and prices) signed before shocks are known. Exact solutions ensure that we obtain correct welfare rankings. Optimal rules maximize the unconditional expected utility of the represe...