Optimal policy with limited commitment

Article Abstract:

An econometric framework was created to estimate commitment horizon under optimal dynamic policy problems. The framework demonstrated that measuring of commitment horizon can be undertaken by running the regressions of the policy-maker's instrument variable on its target variable's previous values. Implementation of the framework on US and German monetary policy revealed that a 1-month ahead commitment horizon for the US Federal Reserve and a 12-month ahead commitment horizon for the German Bundesbank are produced when monetary authority stabilizes inflation through the use of interest rate that is similar to Federal Funds.

Administration of General Economic Programs, Currency Stabilization Programs, Germany, Economic policy, Monetary policy, Currency stabilization

---

A solution to the positivity problem in the state-space approach to modeling vector-valued time series

Article Abstract:

A study deals with the positivity problem in building mathematical models to describe random processes in vector-valued time series analysis. To obtaine the state vector covariance matrix, a special for of the matrix Riccati equation must be solved. A positive solution requires that the power spectrum (the Fourier transform of the autocovariance sequence) be positive semidefinite for all frequencies. The algorithm is utilized using an empirical example. The method presented is described as an extension of Vaccaro and Li's scalar time series work.

Analysis of covariance, Covariance analysis

---

Linear aggregation in cointegrated systems

Article Abstract:

The aggregation of stationary variables is compared to that of integrated time series variables in connection with the search for a valid testing procedure for aggregation bias. Results of the analysis show that the mere presence of a cointegration situation is enough to eliminate the bias in integrated systems while the same cannot be said of stationary variables. The two tests should not be interchanged to avoid distortion of results.

Variables (Mathematics)

Similar abstracts:

• Abstracts: Immigration policy and immigrant quality: the Australian points system. Optimal income taxation and international personal mobility
• Abstracts: A model of optimal growth strategy. Projection methods for solving aggregate growth models. Optimal fiscal policy in a stochastic growth model
• Abstracts: On biases in the measurement of foreign exchange risk premiums
• Abstracts: On biases in the measurement of foreign exchange risk premiums. part 2 Profits and position control: a week of FX dealing
• Abstracts: The role of a fixed exchange rate system when central bankers are independent

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.