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MOPOS: Excel module implementing monetary policy simulation game

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MoPoS is a computer game that allows you to take control of monetary policy in a virtual economy. Effectively, you interact with a stochastic simulation of a macromodel which is simple enough to be easily implemented, but complicated enough to keep you wondering about the behavior of the economy. The game was the subject of articles in the New Y...

MoPoS is a computer game that allows you to take control of monetary policy in a virtual economy. Effectively, you interact with a stochastic simulation of a macromodel which is simple enough to be easily implemented, but complicated enough to keep you wondering about the behavior of the economy. The game was the subject of articles in the New York Times (June 4, 2001) and in the Frankfurter Allgemeine Zeitung (August 11, 2001). ; monetary policy, simulation Minimize

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Heterogeneous Patience and the Term Structure of Real Interest Rates

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A Monetary Policy Simulation Game

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The author presents a computer game that puts the player in the role of a central bank governor. The game is a stochastic simulation of a standard reduced form macro model, and the user interacts with this simulation by manipulating the interest rate. The problem the player faces is in many ways quite realisticâ€” just as a real monetary authori...

The author presents a computer game that puts the player in the role of a central bank governor. The game is a stochastic simulation of a standard reduced form macro model, and the user interacts with this simulation by manipulating the interest rate. The problem the player faces is in many ways quite realisticâ€” just as a real monetary authority, the player is confronted with a constant stream of shocks he cannot unambiguously identify, and his decisions affect the economy only with a considerable lag. These are two ingredients that make monetary policy decisions so challenging in reality and that also make playing this game successfully rather difficult. The game can be used for undergraduate or continuing education classes. An â€œadvanced modeâ€ allows the teacher (or student) to customize many aspects of the simulation and to experiment with different calibrations or different monetary feedback rules. ; computer game, monetary policy, stochastic simulation Minimize

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Certainty equivalence and the non-vertical long run Phillips-curve

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This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound constraint on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the 1980s and 1990s, the consequences of the zer...

This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound constraint on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the 1980s and 1990s, the consequences of the zero bound are negligible for target inflation rates as low as 2 percent. However, the effects of the constraint are very non-linear with respect to the inflation target and produce a quantitatively significant deterioration of the performance of the economy with targets between 0 and 1 percent. The variability of output increases significantly and that of inflation also rises somewhat. The stationary distribution of output is distorted, with recessions becoming somewhat more frequent and longer lasting. Our model also uncovers the fact the asymmetry of the policy ineffectiveness induced by the zero bound constraint generates a non-vertical long run Phillips curve. Output falls increasingly short of potential, with lower inflation targets. At zero average inflation, the output loss is on the order of 0.1 percentage points. We also investigate the consequences of the constraint on the analysis of optimal policy based on the inflation-output variability frontier. We demonstrate that in the presence of the zero bound, the variability frontier is distorted as the inflation target approaches zero. As a result, comparisons of alternative policy rules that ignore the zero bound can be seriously misleading. ; Econometric models Minimize

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A model of money counterfeits

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counterfeiting, face value of bank notes, central banks, subgame-perfect equilibrium, C72, E58

counterfeiting, face value of bank notes, central banks, subgame-perfect equilibrium, C72, E58 Minimize

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HPEXCEL: Excel module for computation of Hodrick-Prescott filtered time series

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This is a small Excel add-in that allows you to easily compute HP-detrended time series. ; Hodrick-Prescott, filter, time series

This is a small Excel add-in that allows you to easily compute HP-detrended time series. ; Hodrick-Prescott, filter, time series Minimize

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The multiple unit auction with variable supply

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The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between ...

The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. ; Multiple unit auction, Uniform price, Price discrimination. Minimize

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Die Schweizer UMTS-Auktion

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It was a first order media event when at the end of last year the UMTS concessions for the Swiss market were sold for 205 million Swiss francs. The result lagged massively behind the "several billion" francs that had been expected, based on the results of similar auctions abroad. In this paper I explore the reasons for this surprising result. I ...

It was a first order media event when at the end of last year the UMTS concessions for the Swiss market were sold for 205 million Swiss francs. The result lagged massively behind the "several billion" francs that had been expected, based on the results of similar auctions abroad. In this paper I explore the reasons for this surprising result. I argue that the result is indeed unsatisfacory in terms of fiscal policy and, possibly, with respect to the implemented allocation. Minimize

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The multiple unit auction with variable supply

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The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply to the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic...

The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply to the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. ; Auctions ; Supply and demand Minimize

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Intelligible Factors for the Yield Curve

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We construct a factor model of the yield curve and specify time series processes for these factors, so that the innovations are mutually orthogonal. At the same time, the factors are constructed in such a way that they assume clear, intuitive interpretations. The resulting “intelligible factors” should prove useful for investment professionals t...

We construct a factor model of the yield curve and specify time series processes for these factors, so that the innovations are mutually orthogonal. At the same time, the factors are constructed in such a way that they assume clear, intuitive interpretations. The resulting “intelligible factors” should prove useful for investment professionals to discuss expectations about yield curves and the implied dynamics. Moreover, they allow us to distinguish announced changes of the monetary policy stance versus monetary policy surprises, which are actually rare. We identify two such events, namely September 11, 2001, and the Fed reaction to the recent subprime crisis. ; yield curve, factor models, structural vector autoregression, monetary policy. Minimize

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