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Adjustment is Much Slower than You Think AgEcon
Caballero, Ricardo J.; Engel, Eduardo M.R.A..
In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating the speed of adjustment of such variables with partial-adjustment ARMA procedures substantially overestimates this speed. For example, for the target federal funds rate, we find that the actual response to shocks is less than half as fast as the estimated response. For investment, labor demand and prices, the speed of adjustment inferred from aggregates of a small number of agents is likely to be close to instantaneous. While aggregating across microeconomic units...
Tipo: Working or Discussion Paper Palavras-chave: Speed of adjustment; Discrete adjustment; Lumpy adjustment; Aggregation; Calvo model; ARMA process; Partial adjustment; Expected response time; Monetary policy; Investment; Labor demand; Sticky prices; Idiosyncratic shocks; Impulse response function; Wold representation; Time-to-build; Financial Economics; C22; C43; D2; E2; E5.
Ano: 2003 URL: http://purl.umn.edu/28419
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Money-Income Relationships between Three ERM Countries AgEcon
Choudhry, Taufiq.
This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also between these countries and the United States. The ERM countries have a pegged exchange rate between themselves, and the rate between these countries and the United States is freely floating. The empirical tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM countries, international transmission of monetary policy is found in almost all directions. This may provide evidence against the theory of...
Tipo: Journal Article Palavras-chave: Monetary policy; Cointegration; Error correction; Speed of adjustment; Exchange rate; Public Economics; E50; E52.
Ano: 2002 URL: http://purl.umn.edu/44428
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