International transmission effects of monetary policy: an empirical and theoretical investigation
Gespeichert in:
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| Format: | Buch |
| Sprache: | English |
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2004
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | St. Gallen, Univ., Diss., 2004 |
| Beschreibung: | XI, 304 S. graph. Darst. |
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| adam_text | INTERNATIONAL TRANSMISSION EFFECTS OF MONETARY POLICY: AN EMPIRICAL AND
THEORETICAL INVESTIGATION DISSERTATION DER UNIVERSITAT ST. GALLEN,
HOCHSCHULE FUR WIRTSCHAFTS-, RECHTS- UND SOZIALWISSENSCHAFTEN (HSG) ZUR
ERLANGUNG DER WIIRDE EINER DOKTORIN DER WIRTSCHAFTSWISSENSCHAFTEN
VORGELEGT VON CAROLINE SCHMIDT AUS DEUTSCHLAND GENEHMIGT AUF ANTRAG DER
HERREN PROF. DR. MANFRED GARTNER UND PROF. DR. KARLHANS SAUERNHEIMER
DISSERTATION NR. 2955 DIFO-DRUCK GMBH, BAMBERG 2004 CONTENTS 1
INTRODUCTION 1 1.1 INTERNATIONAL ECONOMIC INTERDEPENDENCE: STYLIZED
FACTS 4 1.1.1 INTERNATIONAL BUSINESS CYCLES 4 1.1.2 DETERMINANTS OF
INTERNATIONAL TRANSMISSION 5 1.2 INTERNATIONAL DYNAMIC GENERAL
EQUILIBRIUM MODELS 8 1.2.1 INTERTEMPORAL APPROACH TO THE CURRENT ACCOUNT
8 1.2.2 INTERNATIONAL REAL BUSINESS CYCLE MODELS 10 1.3 STICKY-PRICE
MODELS AND MONETARY SHOCKS 12 1:3.1 LAURSEN AND METZLER 13 1.3.2
MUNDELL-FLEMING 13 1.3.3 COMBINATION OF SHORT- AND LONG-RUN EFFECTS 14
1.3.4 NEW OPEN ECONOMY MACROECONOMICS 15 2 EMPIRICAL EVIDENCE 17 2.1
MONETARY POLICY IN OPEN ECONOMIES 18 2.1.1 EXCHANGE RATE 19 2.1.2
CURRENT ACCOUNT 20 2.1.3 FOREIGN OUTPUT 22 2.1.4 FOREIGN AGGREGATE
DEMAND 24 2.2 VECTOR AUTOREGRESSIONS (VARS) 25 2.2.1 METHODOLOGY 25
2.2.2 STATISTICAL TOOLS 29 2.2.3 STATISTICAL INFERENCE 33 2.2.4
IDENTIFICATION OF MONETARY POLICY SHOCKS 35 2.3 A TWO-COUNTRY VAR
ANALYSIS 36 2.4 RESULTS 40 2.4.1 BENCHMARK SYSTEM 40 2.4.2 COMMODITY
PRICE INDEX 54 2.4.3 TRADE WEIGHTS 61 2.4.4 SUMMARY OF THE EMPIRICAL
RESULTS 67 2.5 CONCLUSIONS 69 3 NEW OPEN ECONOMY MACROECONOMICS 71 3.1
THE REDUX MODEL 72 3.1.1 PREFERENCES, TECHNOLOGY AND MARKET STRUCTURE 72
3.1.2 INDIVIDUAL MAXIMIZATION 73 3.1.3 LONG-RUN EFFECTS: STEADY-STATE
CHANGES 74 3.1.4 SHORT-RUN EFFECTS: THE CASE OF MONETARY POLICY 74 3.1.5
CURRENT ACCOUNT 77 3.1.6 WELFARE EFFECTS 78 3.2 EXTENSIONS OF THE REDUX
MODEL 78 3.2.1 MARKET SEGMENTATION AND PRICING-TO-MARKET 79 3.2.2
SUBSTITUTABILITY 82 3.2.3 HOME BIAS 85 3.2.4 INVESTMENT AND CAPITAL
ACCUMULATION 87 3.3 MODELS INCORPORATING CAPITAL ACCUMULATION 88 3.3.1
CHARI, KEHOE AND MCGRATTAN (2002) 88 3.3.2 KOLLMANN (2001A) 90 3.3.3
BETTS AND DEVEREUX (2001) 92 3.4 CONCLUSIONS 96 4 THE MODEL 98 4.1 SETUP
98 4.2 REPRESENTATIVE AGENT 99 4.2.1 PREFERENCES 99 4.2.2 CONSTRAINTS
100 4.2.3 OPTIMALITY CONDITIONS 102 4.2.4 GOVERNMENT 104 4.3 CONSUMPTION
PREFERENCES, PRICE LEVEL AND DEMAND 104 4.3.1 CONSUMPTION PREFERENCES
104 4.3.2 PRICE LEVEL 108 4.3.3 DEMAND OF THE REPRESENTATIVE HOME AND
FOREIGN FIRM 109 4.4 FIRMS 110 4.4.1 OPTIMAL PRODUCTION 110 4.4.2
OPTIMAL PRICES ILL 4.4.3 PROFIT MAXIMIZATION OF THE REPRESENTATIVE PCP
FIRM 113 4.4.4 PROFIT MAXIMIZATION OF THE REPRESENTATIVE LCP FIRM 116
4.4.5 PRICE INDICES 119 4.5 PROFITS AND THE CONSOLIDATED BUDGET
CONSTRAINT 121 4.5.1 PROFITS 121 4.5.2 INTERNATIONAL BOND MARKET 122
4.5.3 CONSOLIDATED BUDGET CONSTRAINTS 123 4.5.4 REAL INCOME 123 4.6
MARKET CLEARING CONDITIONS AND EQUILIBRIUM 124 4.6.1 GOODS MARKETS 124
4.6.2 FACTOR MARKETS 125 4.6.3 ASSET MARKETS 126 4.6.4 EQUILIBRIUM 127
4.7 STEADY STATE 128 4.7.1 STEADY-STATE CONDITIONS 128 4.7.2 SYMMETRIC
STEADY-STATE CONSUMPTION 131 4.7.3 SYMMETRIC STEADY-STATE PRODUCTION 132
4.8 LOG-LINEARIZED EQUATIONS 133 4.8.1 OPTIMALITY CONDITIONS 134 4.8.2
PRICES AND THE TERMS OF TRADE 136 4.8.3 DEMAND 137 4.8.4 SUPPLY 138
4.8.5 REAL INCOME 139 4.9 CALIBRATION 140 RESULTS OF THE DYNAMIC
ANALYSIS 146 5.1 METHOD 147 5.2 RESULTS FOR THE BENCHMARK CALIBRATION
148 5.2.1 COMPLETE PRODUCER-CURRENCY PRICING (PCP) 148 5.2.2 COMPLETE
LOCAL-CURRENCY PRICING (LCP) 153 5.2.3 COMPLETE ASYMMETRIC PRICE-SETTING
BEHAVIOR 156 5.3 SENSITIVITY ANALYSIS 158 5.3.1 CROSS-COUNTRY
SUBSTITUTABILITY 159 5.3.2 MONEY DEMAND ELASTICITIES 161 5.3.3
INTERTEMPORAL ELASTICITY OF SUBSTITUTION 164 5.3.4 CAPITAL ADJUSTMENT
COSTS 166 5.3.5 HOME BIAS 167 5.3.6 REDISTRIBUTION OF WEALTH 171 5.4
CONCLUDING REMARKS ON THE RESULTS 172 5.4.1 SUMMARY OF THE FINDINGS 172
5.4.2 COMMENTS 174 6 CONCLUSION 176 A APPENDIX TO CHAPTER 2 189 A.I
DESCRIPTION OF THE DATA 189 A.I.I BENCHMARK SYSTEM 189 A.1.2 VARIABLES
OF INTEREST 190 A.1.3 WEIGHTS 191 A.2 IMPULSE RESPONSES FOR A SHOCK TO
THE RATIO OF NON-BORROWED RESERVES TO TOTAL RESERVES 192 A.2.1 GDP
WEIGHTS AND INCLUDING A COMMODITY PRICE INDEX 192 A.2.2 TRADE WEIGHTS
195 A.2.3 TRADE WEIGHTS AND INCLUDING A COMMODITY PRICE INDEX 198 B
APPENDIX TO CHAPTER 4 201 B.I DERIVATION OF THE OPTIMALITY CONDITIONS
201 B.2 DEMAND FOR DOMESTIC AND FOREIGN GOODS AND THE COMPOSITION OF THE
HOME PRICE LEVEL P 204 B.3 DEMAND FOR THE INDIVIDUAL HOME AND FOREIGN
GOODS Z H AND Z* AND THE COMPOSITION OF THE INTERMEDIATE PRICE INDICES P
H AND P* 207 B.4 FIRMS OPTIMIZATION PROBLEM 210 B.5 PROFIT MAXIMIZATION
OF THE PCP FIRM 212 B.5.1 OPTIMAL PRICES 212 B.5.2 LOG-LINEARIZATION 214
B.6 PROFIT MAXIMIZATION OF THE LCP FIRM 217 B.6.1 HOME MARKET 218 B.6.2
FOREIGN MARKET 221 B.7 DERIVATION OF STEADY-STATE VARIABLES 225 B.7.1
STEADY-STATE PRICES 225 B.7.2 STEADY-STATE CONSUMPTION 226 B.7.3
STEADY-STATE PRODUCTION 227 B.8 LOG-LINEARIZATION 228 B.8.1 EULER
EQUATION 229 B.8.2 MONEY DEMAND 229 B.8.3 LABOR-LEISURE TRADE-OFF 231
B.8.4 OPTIMAL INVESTMENT 231 B.8.5 LAW OF MOTION FOR CAPITAL 233 B.8.6
UNCOVERED INTEREST PARITY .234 B.8.7 CONSUMER PRICES 234 B.8.8
INTERMEDIATE PRICES 234 B.8.9 DEMAND FOR DOMESTIC GOODS 236 B.8.10
SUPPLY 238 B.8.11 REAL INCOME 239 C APPENDIX TO CHAPTER 5 242 C.I
COMPLETE ASYMMETRIC PRICE-SETTING BEHAVIOR 242 C.2 CROSS-COUNTRY
SUBSTITUTABILITY 243 C.2.1 COMPLETE LCP 243 C.2.2 COMPLETE ASYMMETRIC
PRICE-SETTING BEHAVIOR 244 C.3 ALTERNATIVE (NON-SEPARABLE) UTILITY 245
C.4 INTEREST ELASTICITY 247 C.4.1 COMPLETE LCP 247 C.4.2 COMPLETE
ASYMMETRIC PRICE-SETTING BEHAVIOR 248 C.5 NON-SEPARABLE UTILITY, LOW
MONEY DEMAND ELASTICITY, A = 10 249 C.5.1 COMPLETE LCP 249 C.5.2
COMPLETE ASYMMETRIC PRICE-SETTING BEHAVIOR 250 C.6 CAPITAL ADJUSTMENT
COSTS: = 2 251 C.6.1 COMPLETE PCP 251 C.6.2 COMPLETE LCP 252 C.6.3
COMPLETE ASYMMETRIC PRICE-SETTING BEHAVIOR 253 C.7 CAPITAL ADJUSTMENT
COSTS: = 20 254 C.7.1 COMPLETE PCP 254 C.7.2 COMPLETE LCP 255 C.7.3
COMPLETE ASYMMETRIC PRICE-SETTING BEHAVIOR 256 C.8 DEGREE OF HOME BIAS
257 C.8.1 COMPLETE ASYMMETRIC PRICE-SETTING BEHAVIOR, A = 0.5 257 C.9
PRODUCTIVITY SHOCK IN THE HOME COUNTRY 258 C.9.1 COMPLETE PCP, A = 0.5
258 C.9.2 COMPLETE LCP, A = 0.5 259 C.9.3 COMPLETE PCP, A = 0.98 260 D
MATLAB PROGRAM CODES 261
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| spelling | Schmidt, Caroline Verfasser aut International transmission effects of monetary policy an empirical and theoretical investigation vorgelegt von Caroline Schmidt 2004 XI, 304 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2004 Internationale economische betrekkingen gtt Monetaire politiek gtt Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Transmissionsmechanismus (DE-588)4117242-5 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Geldpolitik (DE-588)4019902-2 s Transmissionsmechanismus (DE-588)4117242-5 s Vektor-autoregressives Modell (DE-588)4288533-4 s b DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012922151&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schmidt, Caroline International transmission effects of monetary policy an empirical and theoretical investigation Internationale economische betrekkingen gtt Monetaire politiek gtt Vektor-autoregressives Modell (DE-588)4288533-4 gnd Transmissionsmechanismus (DE-588)4117242-5 gnd Geldpolitik (DE-588)4019902-2 gnd |
| subject_GND | (DE-588)4288533-4 (DE-588)4117242-5 (DE-588)4019902-2 (DE-588)4113937-9 |
| title | International transmission effects of monetary policy an empirical and theoretical investigation |
| title_auth | International transmission effects of monetary policy an empirical and theoretical investigation |
| title_exact_search | International transmission effects of monetary policy an empirical and theoretical investigation |
| title_full | International transmission effects of monetary policy an empirical and theoretical investigation vorgelegt von Caroline Schmidt |
| title_fullStr | International transmission effects of monetary policy an empirical and theoretical investigation vorgelegt von Caroline Schmidt |
| title_full_unstemmed | International transmission effects of monetary policy an empirical and theoretical investigation vorgelegt von Caroline Schmidt |
| title_short | International transmission effects of monetary policy |
| title_sort | international transmission effects of monetary policy an empirical and theoretical investigation |
| title_sub | an empirical and theoretical investigation |
| topic | Internationale economische betrekkingen gtt Monetaire politiek gtt Vektor-autoregressives Modell (DE-588)4288533-4 gnd Transmissionsmechanismus (DE-588)4117242-5 gnd Geldpolitik (DE-588)4019902-2 gnd |
| topic_facet | Internationale economische betrekkingen Monetaire politiek Vektor-autoregressives Modell Transmissionsmechanismus Geldpolitik Hochschulschrift |
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