Arbeitspapier
Macroeconomic effects of looming policy shifts: Non-falsified expectations and Peso problems
Using a standard model as a basis, we analyse the rational expectations macroeconomic equilibrium for an open economy with flexible exchange rates, in which expectations are affected by a percieved possibility of discrete shifts in monetary policy.These discrete shifts are modelled as possible jumps in the money supply process, which is otherwise a smooth random walk.Two such jump models are analysed.In equilibrium, the distribution of endogenous variables is (apparently systematically) affected by peso problems (premia), which reflect distributional peculiarities associated with expectations of possible future policy shifts.It turns out that the macroeconomic effects of peso premia accord closely with intuition regarding the effects of poor credibility of a policy regime: the output gap widens; the levels of real interest rates and domestic prices rise; and the domestic currency appreciates in real terms due to anticipated expansionary shifts in the money supply.Moreover, the key macro-aggregates become more volitile. The effects of peso premia on the nominal interest rate and the exchange rate turn out to be ambiguous.
- ISBN
-
951-686-583-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 13/1998
- Klassifikation
-
Wirtschaft
- Thema
-
poisson process
policy shifts
peso problem
rational expectations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vilmunen, Jouko
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
1998
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vilmunen, Jouko
- Bank of Finland
Entstanden
- 1998
Ähnliche Objekte (12)
Inflation expectations and regime shifts in the euro area
Expectations, deflation traps and macroeconomic policy
Macroeconomic aspects of systemic bank restructuring
Learning, inflation expectations and optimal monetary policy
Simulating the effects of imperfect credibility: How does the Peso problem affect the real economy?
Dynamics of inflation expectations in the euro area
Devaluation expectations and speculative attacks on the currency
Factors affecting asset price expectations: Fundamentals and policy
Realignment expectations in the ERM: Causes and measurement
Essays on macroeconomic effects of fiscal policy rules
The role of macroeconomic shocks in banking crises
Extracting growth and inflation expectations from financial market data
Inflation expectations and regime shifts in the euro area
Expectations, deflation traps and macroeconomic policy
Macroeconomic aspects of systemic bank restructuring
Learning, inflation expectations and optimal monetary policy
Simulating the effects of imperfect credibility: How does the Peso problem affect the real economy?
Dynamics of inflation expectations in the euro area
Devaluation expectations and speculative attacks on the currency
Factors affecting asset price expectations: Fundamentals and policy
Realignment expectations in the ERM: Causes and measurement
Essays on macroeconomic effects of fiscal policy rules
The role of macroeconomic shocks in banking crises
Extracting growth and inflation expectations from financial market data
Inflation expectations and regime shifts in the euro area
Expectations, deflation traps and macroeconomic policy
Macroeconomic aspects of systemic bank restructuring
Learning, inflation expectations and optimal monetary policy
Simulating the effects of imperfect credibility: How does the Peso problem affect the real economy?
Dynamics of inflation expectations in the euro area
Devaluation expectations and speculative attacks on the currency
Factors affecting asset price expectations: Fundamentals and policy
Realignment expectations in the ERM: Causes and measurement
Essays on macroeconomic effects of fiscal policy rules
The role of macroeconomic shocks in banking crises