Table of Contents

Jurg Niehans and the Cashless Economy

Joshua R Hendrickson, University of Mississippi

Allowing for Jump Measurements in Volatility: A High?Frequency Financial Data Analysis of Individual Stocks

Vassilios G. Papavassiliou, University College Dublin (UCD) - Michael Smurfit Graduate School of Business, University of Bologna - Rimini Center for Economic Analysis (RCEA)

A Re?Examination of Real Interest Parity in CEECs Using ‘Old’ and ‘New’ Second?Generation Panel Unit Root Tests

Claudiu Tiberiu Albulescu, Politehnica University of Timisoara
Dominique Pépin, Universite de Poitiers
Aviral Kumar Tiwari, IFHE University (ICFAI) - Faculty of Management

Government and Central Bank Interaction Under Uncertainty: A Differential Games Approach

Jacob C. Engwerda, Tilburg University - Department of Economics
Davoud Mahmoudinia, Isfahan University of Technology
Rahim D. Isfahani, Independent


MACROECONOMICS: MONETARY & FISCAL POLICIES eJOURNAL

"Jurg Niehans and the Cashless Economy" Free Download

JOSHUA R HENDRICKSON, University of Mississippi
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Information technology has the potential to decrease substantially, if not completely, the demand for base money. This poses a problem for central banks as it seemingly eliminates a role for monetary policy, at least in the traditional sense. Recently, it has become commonplace to consider the role of monetary policy and the determination of the price level without any reference to money. The two predominant methods of analysis in this regard are the New Keynesian framework articulated by Woodford (2003) and the fiscal theory of the price level as described in Cochrane (2005). Lost in the literature on "cashless" economies is the work of Jurg Niehans (1982) who, driven by the perplexities of the Eurodollar market, considered the role of monetary policy and price level determination in the context of a neoclassical macroeconomic model. This paper contrasts the framework and conclusions of Niehans with the contemporary approaches. It is argued that Niehans successfully anticipated the conclusions of the fiscal theory of the price level.

"Allowing for Jump Measurements in Volatility: A High?Frequency Financial Data Analysis of Individual Stocks" Fee Download
Bulletin of Economic Research, Vol. 68, Issue 2, pp. 124-132, 2016

VASSILIOS G. PAPAVASSILIOU, University College Dublin (UCD) - Michael Smurfit Graduate School of Business, University of Bologna - Rimini Center for Economic Analysis (RCEA)
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Following recent advances in the non?parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyse the distributional properties of the jump measures vis?à?vis the corresponding realized volatility ones, and compare them to those of aggregate US market index series. We also demonstrate important gains in the forecasting accuracy of high?frequency volatility models.

"A Re?Examination of Real Interest Parity in CEECs Using ‘Old’ and ‘New’ Second?Generation Panel Unit Root Tests" Fee Download
Bulletin of Economic Research, Vol. 68, Issue 2, pp. 133-150, 2016

CLAUDIU TIBERIU ALBULESCU, Politehnica University of Timisoara
DOMINIQUE PÉPIN, Universite de Poitiers
AVIRAL KUMAR TIWARI, IFHE University (ICFAI) - Faculty of Management
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This study applies ‘old’ and ‘new’ second?generation panel unit root tests to check the validity of the long?run real interest rate parity (RIP) hypothesis for ten Central and Eastern European Countries (CEECs) with respect to the Euro area and an average of the CEECs’ real interest rates. When the ‘new’ panel unit root tests are carried out relative to the Euro area rate as reference, we confirm the results of previous studies that support the RIP hypothesis, and the results of the ‘old’ tests used as a benchmark. Nevertheless, when the ‘new’ tests are performed using the average of the CEECs’ rate as reference, our results are mitigated, revealing that the hypothesis of CEECs’ interest rates convergence cannot be taken for granted. From a robustness analysis perspective, our findings indicate that the RIP hypothesis for CEECs should be considered with caution, because the RIP hypothesis is sensitive to the retained reference rate for computing the real interest rate differential, and also to the retained countries in the sample.

"Government and Central Bank Interaction Under Uncertainty: A Differential Games Approach" Free Download
CentER Discussion Paper Series No. 2016-012

JACOB C. ENGWERDA, Tilburg University - Department of Economics
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DAVOUD MAHMOUDINIA, Isfahan University of Technology
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RAHIM D. ISFAHANI, Independent
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Today, debt stabilization in an uncertain environment is an important issue. In particular, the question how fiscal and monetary authorities should deal with this uncertainty is very important. Especially for some developing countries such as Iran, in which on average 60 percent of government revenues comes from oil, and consequently uncertainty about oil prices has a large effect on budget planning, this is an important question. For this reason, we extend in this paper the well-known debt stabilization game introduced by Tabellini (1986). We incorporate deterministic noise into that framework. We solve this extended game under a Non-cooperative, Cooperative and Stackelberg setting assuming a feedback information structure. The main result shows that under all three regimes, more active policies are used to track debt to its equilibrium level and this equilibrium level becomes smaller, the more fiscal and monetary authorities are concerned about noise. Furthermore, the best-response policy configuration if policymakers are confronted with uncertainty seems to depend on the level of anticipated uncertainty.

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Macroeconomics: Monetary & Fiscal Policies eJournal

OLIVIER J. BLANCHARD
National Bureau of Economic Research (NBER), Peter G. Peterson Institute for International Economics

JOHN Y. CAMPBELL
Morton L. and Carole S. Olshan Professor of Economics, Harvard University - Department of Economics, National Bureau of Economic Research (NBER)

STEPHEN G. CECCHETTI
Professor of International Economics, Brandeis International Business School, National Bureau of Economic Research (NBER), Centre for Economic Policy Research (CEPR)

BENJAMIN M. FRIEDMAN
William Joseph Maier Professor of Economics, Harvard University - Department of Economics, National Bureau of Economic Research (NBER)

ROBERT E. HALL
Stanford University - The Hoover Institution on War, Revolution and Peace, National Bureau of Economic Research (NBER)

ROBERT E. LUCAS
John Dewey Distinguished Service Professor, University of Chicago - Department of Economics, National Bureau of Economic Research (NBER)

BENNETT T. MCCALLUM
Professor, Carnegie Mellon University - David A. Tepper School of Business, National Bureau of Economic Research (NBER)

ALLAN H. MELTZER
University Professor of Political Economics, Carnegie Mellon University - David A. Tepper School of Business

FREDERIC S. MISHKIN
Alfred Lerner Professor of Banking and Financial Institutions, Columbia Business School - Finance and Economics, National Bureau of Economic Research (NBER)

PAUL M. ROMER
National Bureau of Economic Research (NBER)

JULIO J. ROTEMBERG
Harvard University - Business, Government and the International Economy Unit, National Bureau of Economic Research (NBER)

MATTHEW D. SHAPIRO
Professor, University of Michigan at Ann Arbor - Department of Economics, Professor, National Bureau of Economic Research (NBER)

ROBERT J. SHILLER
Yale University - Cowles Foundation, National Bureau of Economic Research (NBER), Yale University - International Center for Finance

CHRISTOPHER A. SIMS
Princeton University - Department of Economics, National Bureau of Economic Research (NBER)

JOHN B. TAYLOR
Stanford University, National Bureau of Economic Research (NBER)