Limited participation and exchange rate dynamics: Does theory meet the data?

Karamé, Frédéric; Patureau, Lise; Sopraseuth, Thepthida

doi:10.1016/j.jedc.2007.04.007

Cited by 8 publications

(10 citation statements)

References 109 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Also note that remittances increase when the domestic price level of the remittance-receiving country increases, which captures the idea that remitters are concerned with the purchasing power of the funds sent to the remittancereceiving country. We follow Karamé et al [27] and introduce an interest rate differential on bond holdings as…”

Section: The Financial Intermediarymentioning

confidence: 99%

“…Equation (27) relates domestic production and absorption to an economy's foreign asset position, giving the balance of payments equilibrium. If a country's production is greater than its absorption, that country has a balance of trade surplus and a negative capital account, so its foreign asset holdings will increase when there are no remittances flowing into the country.…”

Section: Equilibriummentioning

confidence: 99%

See 1 more Smart Citation

The Macroeconomic Consequences of Remittances

2012

View full text Add to dashboard Cite

This study examines the impact of a remittances shock on the main macroeconomic aggregates of a small open economy. It uses a stochastic limited participation model to generate dynamics that are consistent with the empirical literature, like the increase in inflation, consumption, and leisure. However, the remittances shock generates a prolonged decline in GDP, which only diminishes when remittances are a larger percentage of GDP, the fraction of remittances directed towards investment increases, or when the fraction of labor income that remittances represent is reduced and is overturned when the persistence of the remittances shocks is shortened.

show abstract

Section: The Financial Intermediarymentioning

confidence: 99%

Section: Equilibriummentioning

confidence: 99%

The Macroeconomic Consequences of Remittances

2012

View full text Add to dashboard Cite

show abstract

“…8 It may be emphasized that we fix our moments in advance and their number will not be too small, either. This commitment is different from an explicit moment selection procedure as it was, for example, used by Karamé et al (2008). They begin with a large set of moments, estimate their model on them, and then step by step discard the moments which the model reproduces most poorly until an over-identification test fails to reject the model any longer.…”

Section: The Moment Matching Estimation Approachmentioning

confidence: 99%

Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model

Franke

Jang

Sacht

2015

The North American Journal of Economics and Finance

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The paper considers an elementary New-Keynesian three equation model and compares its Bayesian estimation to the results from the method of moments (MM), which seeks to match a finite set of the model-generated second moments of inflation, output and the interest rate to their empirical counterparts. It is found that in the Great Inflation (GI) period-though not in the Great Moderation (GM)-the two estimations imply a significantly different covariance structure. Regarding the parameters, special emphasis is placed on the degree of backward-looking behaviour in the Phillips curve. While, in line with much of the literature, it plays a minor role in the Bayesian estimations, MM yields values of the price indexation parameter close to or even at its maximal value of unity. For both GI and GM, these results are worth noticing since in (strong or, respectively, weak) contrast to the Bayesian parameters, the covariance matching thus achieved is entirely satisfactory. Terms of use: Documents inJEL classification: C52; E32; E37.

show abstract

“…To avoid the typical non-stationarity issues from incomplete asset markets, we also introduce the interest rate differential on bond holdings as in Karamé et al [26]:…”

Section: Closing the Modelmentioning

confidence: 99%

“…The choice on the responsiveness of the interest on foreign bonds to the actual level of bonds (τ) follows Karamé et al [26], and the parameter σ is set to be greater than 1 to reflect complementarity between leisure and consumption is the CES case (robustness section). The Frisch-elasticity of labor supply (γ) is set to 1.05, very close to the value chosen by Nakamura et al [28].…”

Section: Calibration and Steady State Equilibriummentioning

confidence: 99%

Monetary Transfers in the U.S.: How Efficient Are Tax Rebates?

Vacaflores

2013

Economies

View full text Add to dashboard Cite

Recent debate on the effectiveness of tax rebates has concentrated on the degree to which they can affect economic activity, which depends on the methodology, the state of the economy, and the underlying assumptions. A better approach to assess the effectiveness of these monetary transfers is by comparing this method to alternative policies-like the traditional monetary injections through the financial intermediaries. A limited participation model calibrated to the U.S. economy is used to show that the higher the proportion of the monetary injection channeled through the consumers-instead of banks-leads to a less vigorous recovery of output but softens the detrimental effect on the utility of the representative household from the inherent inflationary pressure. This result is robust to the relative importance of the injection (utilization of resources) and alternative utility functions.

show abstract

Limited participation and exchange rate dynamics: Does theory meet the data?

Cited by 8 publications

References 109 publications

The Macroeconomic Consequences of Remittances

The Macroeconomic Consequences of Remittances

Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model

Monetary Transfers in the U.S.: How Efficient Are Tax Rebates?

Contact Info

Product

Resources

About