John Driffill | National University of Singapore (original) (raw)
Papers by John Driffill
Scottish Journal of Political Economy, 2010
ABSTRACTWe evaluate the macroeconomic performance of different monetary policy rules when there a... more ABSTRACTWe evaluate the macroeconomic performance of different monetary policy rules when there are bubbles in the exchange rate. We do this in the context of a non‐linear rational expectations model. The exchange rate is allowed to deviate from its fundamental value and the persistence of the deviation is modeled as a Markov switching process. Our results suggest that reacting to exchange rate movements does not significantly improve welfare. However, taking into account the switching nature of the economy may be more beneficial.
The Manchester School, 2002
Foreword, Summary, Chapter 1: Macroeconomic Conditions and Outlook, Chapter 2: Intergenerational ... more Foreword, Summary, Chapter 1: Macroeconomic Conditions and Outlook, Chapter 2: Intergenerational Fairness, Chapter 3: Tuning Secondary Education, Chapter 4: Denmark: Too Good to Be True?, Chapter 5:Western Balkans: Coming Together, Authors
Eeag Report on the European Economy, 2015
The original premise of the Single Market was that the promotion of economic integration brings p... more The original premise of the Single Market was that the promotion of economic integration brings prosperity to the European Union, reduces income disparities across member states, and by reducing differences between member states and within regions, it enhances social and political cohesion within Europe. The instruments to promote "economic and social cohesion" are primarily left to the member states and lower levels of government. Only a small set of supranational policy instruments exists in the form of EU cohesion policies directly motivated by the effects on regional and national income inequality of the European economic integration process.
Eeag Report on the European Economy, 2014
Eeag Report on the European Economy, 2014
Chapter 2 focuses on Switzerland, and specifically on the lessons that Europe can learn from the ... more Chapter 2 focuses on Switzerland, and specifically on the lessons that Europe can learn from the Swiss experience in maintaining cohesion while supporting diversity, and in reaching pragmatic compromises in the creation of common institutions and policies.
Essays to Commemorate the Federal Reserve System's Centennial, 2015
This chapter investigates two of the most widely debated aspects of US fiscal and financial integ... more This chapter investigates two of the most widely debated aspects of US fiscal and financial integration: (1) the responsibility of the federation for state-level debts and for the creditworthiness of states; and (2) the working of a federal central bank. Today’s fiscal federalism in the United States is relatively robust, but the road from 1790 was rocky; and the first two decades of the Federal Reserve as rife with monetary mistakes as the first fifteen years of the European Central Bank.
International Journal of Finance & Economics, 1998
Centre for Economic Policy Research 9098 Goswell Rd, London EC1V 7RR, UK Tel: (44 20) 7878 2900,... more Centre for Economic Policy Research 9098 Goswell Rd, London EC1V 7RR, UK Tel: (44 20) 7878 2900, Fax: (44 20) 7878 2999 Email: cepr@cepr.org, Website: www.cepr.org ... This Discussion Paper is issued under the auspices of the Centre's research programme in ...
The Role of Financial Markets in the Transition Process …, 2003
The analysis of the development and evolution of financial markets and in particular of their imp... more The analysis of the development and evolution of financial markets and in particular of their imperfections, has become one of the most important topics for scholars investigating the determinants of macroeconomic performance of emerging and developing countries. In ...
International Journal of Theoretical and Applied Finance, 2013
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia... more We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced.
International Journal of Theoretical and Applied Finance, 2013
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia... more We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced.
Oxford Economic Papers, 1992
ABSTRACT In this paper we propose a method for testing the present value hypothesis from a VAR wh... more ABSTRACT In this paper we propose a method for testing the present value hypothesis from a VAR which allows for regime switching, and we examine the simple efficient market relationship, which asserts that stock prices equal the present value of expected future dividends discounted by a constant real discount rate, allowing for the public’s forecasts of future changes of regime. This procedure, suggested in Sola and Driffill (1994), modifies Hamilton’s (1988) analysis in order to allow an unobserved state of the system to affect both variables included in a VAR in a general way.
Eeag Report on the European Economy, 2014
Economic Journal, 1993
A hard currency peg can be a useful anchor for inflation expectations. But the context in which a... more A hard currency peg can be a useful anchor for inflation expectations. But the context in which an exchange rate peg (or a currency band) is introduced often involves a significant change in the policy regime, as the central bank moves to subordinate domestic monetary policy ...
Scottish Journal of Political Economy, 2010
ABSTRACTWe evaluate the macroeconomic performance of different monetary policy rules when there a... more ABSTRACTWe evaluate the macroeconomic performance of different monetary policy rules when there are bubbles in the exchange rate. We do this in the context of a non‐linear rational expectations model. The exchange rate is allowed to deviate from its fundamental value and the persistence of the deviation is modeled as a Markov switching process. Our results suggest that reacting to exchange rate movements does not significantly improve welfare. However, taking into account the switching nature of the economy may be more beneficial.
The Manchester School, 2002
Foreword, Summary, Chapter 1: Macroeconomic Conditions and Outlook, Chapter 2: Intergenerational ... more Foreword, Summary, Chapter 1: Macroeconomic Conditions and Outlook, Chapter 2: Intergenerational Fairness, Chapter 3: Tuning Secondary Education, Chapter 4: Denmark: Too Good to Be True?, Chapter 5:Western Balkans: Coming Together, Authors
Eeag Report on the European Economy, 2015
The original premise of the Single Market was that the promotion of economic integration brings p... more The original premise of the Single Market was that the promotion of economic integration brings prosperity to the European Union, reduces income disparities across member states, and by reducing differences between member states and within regions, it enhances social and political cohesion within Europe. The instruments to promote "economic and social cohesion" are primarily left to the member states and lower levels of government. Only a small set of supranational policy instruments exists in the form of EU cohesion policies directly motivated by the effects on regional and national income inequality of the European economic integration process.
Eeag Report on the European Economy, 2014
Eeag Report on the European Economy, 2014
Chapter 2 focuses on Switzerland, and specifically on the lessons that Europe can learn from the ... more Chapter 2 focuses on Switzerland, and specifically on the lessons that Europe can learn from the Swiss experience in maintaining cohesion while supporting diversity, and in reaching pragmatic compromises in the creation of common institutions and policies.
Essays to Commemorate the Federal Reserve System's Centennial, 2015
This chapter investigates two of the most widely debated aspects of US fiscal and financial integ... more This chapter investigates two of the most widely debated aspects of US fiscal and financial integration: (1) the responsibility of the federation for state-level debts and for the creditworthiness of states; and (2) the working of a federal central bank. Today’s fiscal federalism in the United States is relatively robust, but the road from 1790 was rocky; and the first two decades of the Federal Reserve as rife with monetary mistakes as the first fifteen years of the European Central Bank.
International Journal of Finance & Economics, 1998
Centre for Economic Policy Research 9098 Goswell Rd, London EC1V 7RR, UK Tel: (44 20) 7878 2900,... more Centre for Economic Policy Research 9098 Goswell Rd, London EC1V 7RR, UK Tel: (44 20) 7878 2900, Fax: (44 20) 7878 2999 Email: cepr@cepr.org, Website: www.cepr.org ... This Discussion Paper is issued under the auspices of the Centre's research programme in ...
The Role of Financial Markets in the Transition Process …, 2003
The analysis of the development and evolution of financial markets and in particular of their imp... more The analysis of the development and evolution of financial markets and in particular of their imperfections, has become one of the most important topics for scholars investigating the determinants of macroeconomic performance of emerging and developing countries. In ...
International Journal of Theoretical and Applied Finance, 2013
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia... more We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced.
International Journal of Theoretical and Applied Finance, 2013
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia... more We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced.
Oxford Economic Papers, 1992
ABSTRACT In this paper we propose a method for testing the present value hypothesis from a VAR wh... more ABSTRACT In this paper we propose a method for testing the present value hypothesis from a VAR which allows for regime switching, and we examine the simple efficient market relationship, which asserts that stock prices equal the present value of expected future dividends discounted by a constant real discount rate, allowing for the public’s forecasts of future changes of regime. This procedure, suggested in Sola and Driffill (1994), modifies Hamilton’s (1988) analysis in order to allow an unobserved state of the system to affect both variables included in a VAR in a general way.
Eeag Report on the European Economy, 2014
Economic Journal, 1993
A hard currency peg can be a useful anchor for inflation expectations. But the context in which a... more A hard currency peg can be a useful anchor for inflation expectations. But the context in which an exchange rate peg (or a currency band) is introduced often involves a significant change in the policy regime, as the central bank moves to subordinate domestic monetary policy ...