Encontrados 25 documentos, a visualizar página 1 de 3
An efficient test of fiscal sustainability
Gabriel, Vasco J.; Sangduan, PataareeWe suggest a multivariate efficient test of the 'strong' fiscal sustainability hypothesis, based on Horvath and Watson's (1995) cointegration test when cointegration vectors are pre-specified. Using data for a set of developed and developing economies, we show that, unlike our procedure, conventional methodologies tend to penalize the sustainability hypothesis.
A floating versus managed exchange rate regime in a DSGE model of India
Batini, Nicoletta; Gabriel, Vasco J.; Levine, Paul; Pearlman, JosephWe first develop a two-bloc model of an emerging open economy interacting with the rest of the world calibrated using Indian and US data. The model features a financial accelerator and is suitable for examining the effects of financial stress on the real economy. Three variants of the model are highlighted with increasing degrees of financial frictions. The model is used to compare two monetary interest rate re...
The cost channel reconsidered : a comment using an identification-robust approach
Gabriel, Vasco J.; Martins, Luís F.We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using US data, our results suggest that the cost channel effect is poorly identified and we are thus unable to corroborate the previous results in the literature.
Cointegration tests under multiple regime shifts : an application to the stock ...
Gabriel, Vasco J.; Martins, Luís F.We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegrati...
Taylor-type rules versus optimal policy in a Markov-switching economy
Alexandre, Fernando; Gabriel, Vasco J.; Bação, PedroWe analyse the effect of uncertainty concerning the state and the nature of asset price movements on the optimal monetary policy response. Uncertainty is modelled by adding Markov-switching shocks to a DSGE model with capital accumulation. In our analysis we consider both Taylor-type rules and optimal policy. Taylor rules have been shown to provide a good description of US monetary policy. Deviations from its i...
How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
Gabriel, Vasco J.; Levine, Paul; Spencer, ChristopherWe estimate an alternative type of monetary policy rule, termed Calvo rule, according to which the central bank is assumed to target a discounted infinite sum of future expected inflation. Compared to conventional inflation forecast-based rules, which are typically of the Taylor-type with discrete forward looking horizons, this class of rule is less prone to the problem of indeterminacy. Parameter estimates obt...
Volatility in asset prices and long-run wealth effect estimates
Alexandre, Fernando; Bação, Pedro; Gabriel, Vasco J.We argue that the equation commonly used in the estimation of the wealth effect on consumption might be unsuitable for that purpose. In particular, if the usual assumptions are employed, the derivation of the equation implies that the wealth effect is indeterminate. Furthermore, it implies that the estimate of the wealth effect should decrease when asset wealth volatility increases. Estimation of a Markov-switc...
The Consumption-Wealth Ratio Under Asymmetric Adjustment
Gabriel, Vasco J.; Alexandre, Fernando; Bação, PedroThis paper argues that nonlinear adjustment may provide a better explanation of fluctuations in the consumption-wealth ratio. The nonlinearity is captured by a Markov-switching vector error-correction model that allows the dynamics of the relationship to differ across regimes. Estimation of the system suggests that these states are related to the behaviour of financial markets. In fact, estimation of the system...
The consumption-wealth ratio under asymmetric adjustment
Gabriel, Vasco J.; Alexandre, Fernando; Bação, PedroThis paper argues that nonlinear adjustment may provide a better explanation of fluctuations in the consumption-wealth ratio. The nonlinearity is captured by a Markov-switching vector error-correction model that allows the dynamics of the relationship to differ across regimes. Estimation of the system suggests that these states are related to the behaviour of financial markets. In fact, estimation of the system...
Volatility in asset prices and long-run wealth effect estimates
Alexandre, Fernando; Bação, Pedro; Gabriel, Vasco J.Prova tipográfica (In Press) ; We argue that the equation commonly used in the estimation of the wealth effect on consumption might be unsuitable for that purpose. In particular, if the usual assumptions are employed, the derivation of the equation implies that the wealth effect is indeterminate. Furthermore, it implies that the estimate of the wealth effect should decrease when asset wealth volatility increas...
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