Willem Van Zandweghe - Academia.edu (original) (raw)
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London School of Economics and Political Science
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Papers by Willem Van Zandweghe
SSRN Electronic Journal, 2000
We study discretionary equilibrium in the Calvo pricing model for a monetary authority that choos... more We study discretionary equilibrium in the Calvo pricing model for a monetary authority that chooses the money supply. Unlike the twoperiod Taylor model, policy does not accommodate predetermined prices in a way that inevitably leads to multiple private-sector equilibria. For the examples we compute, we find a unique equilibrium characterized by a steady state inflation rate that exceeds five percent.
Bivariate SVAR models employing long-run identifying restrictions are popular tools to investigat... more Bivariate SVAR models employing long-run identifying restrictions are popular tools to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the 'true' shocks. To investigate this issue, the consistency of results from different bivariate SVAR models estimated for German data is evaluated using the FAUST and LEEPER (1997) test procedure. The principal result is that these models do not allow reliable inference on the sources of output fluctuations.
This paper attempts to evaluate the information content of money for the forecast of inflation, o... more This paper attempts to evaluate the information content of money for the forecast of inflation, output, investment and consumption in the euro zone. It considers M1 and M3; a number of modifications to these aggregates is also proposed to enhance their forecast performance. The evaluation employs Granger-causality tests, stability tests and historical out-of-sample forecasts. On balance the information content of money appears to be rather limited. An improvement of the forecast is confined to the real variables and to the second half of the nineties. For the first half of the nineties the forecast performance of money is generally poor.
SSRN Electronic Journal, 2000
We study discretionary equilibrium in the Calvo pricing model for a monetary authority that choos... more We study discretionary equilibrium in the Calvo pricing model for a monetary authority that chooses the money supply. Unlike the twoperiod Taylor model, policy does not accommodate predetermined prices in a way that inevitably leads to multiple private-sector equilibria. For the examples we compute, we find a unique equilibrium characterized by a steady state inflation rate that exceeds five percent.
Bivariate SVAR models employing long-run identifying restrictions are popular tools to investigat... more Bivariate SVAR models employing long-run identifying restrictions are popular tools to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the 'true' shocks. To investigate this issue, the consistency of results from different bivariate SVAR models estimated for German data is evaluated using the FAUST and LEEPER (1997) test procedure. The principal result is that these models do not allow reliable inference on the sources of output fluctuations.
This paper attempts to evaluate the information content of money for the forecast of inflation, o... more This paper attempts to evaluate the information content of money for the forecast of inflation, output, investment and consumption in the euro zone. It considers M1 and M3; a number of modifications to these aggregates is also proposed to enhance their forecast performance. The evaluation employs Granger-causality tests, stability tests and historical out-of-sample forecasts. On balance the information content of money appears to be rather limited. An improvement of the forecast is confined to the real variables and to the second half of the nineties. For the first half of the nineties the forecast performance of money is generally poor.