Financial markets and monetary policy

著者

書誌事項

Financial markets and monetary policy

Jeffrey A. Frankel

MIT Press, c1995

  • : hbk

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

In this second collection of his writings on financial markets (the first, On Exchange Rates, covered international finance), Jeffrey Frankel turns his attention to domestic markets, with special attention to how national monetary policy is handled. The decade of the 1980s left many central bankers disillusioned with monetarism, so that the question of the optimal nominal anchor remains an open one. In this second collection of his writings on financial markets (the first, On Exchange Rates, covered international finance), Jeffrey Frankel turns his attention to domestic markets, with special attention to how national monetary policy is handled. The fifteen papers are divided into three sections, each introduced by the author. They cover, respectively, optimal portfolio diversification, indicators of expected inflation, and the determination of monetary policy in the face of uncertainty. In the first section, Frankel explores what information the theory of optimal portfolio diversification can give the macroeconomist. In the second section, he considers what economic variables central bankers might use to gauge whether monetary policy is too tight or too loose. And in the final section, he looks at the range of uncertainty over policy effects and how that complicates coordination of macroeconomic policymaking. The book concludes with a sympathetic analysis of nominal GDP targeting.

目次

  • Part 1 Do investors diversify optimally?: portfolio crowding-out, empirically estimated
  • a comment on debt management
  • portfolio shares as "beta breakers"
  • do asset-demand functions optimize over the mean and variance of real returns? a six-currency test
  • the constrained asset share estimation (CASE) method - testing mean-variance efficiency of the US stock market. Part 2 Monetary indicators - commodity prices and the interest rate term structure: expectations and commodity price dynamics - the overshooting model
  • commodity prices, money surprises and fed credibility
  • a technique for extracting a measure of expected inflation from the interest rate term structure
  • an indicator of future inflation extracted from the steepness of the interest rate yield curve along its entire length
  • the power of the yield curve to predict interest rates (or lack thereof). Part 3 Uncertainty, policy coordination and nominal GDP targeting: ambiguous policy multipliers in theory and in empirical models
  • the implications of conflicting models for coordination between monetary and fiscal policymakers
  • international macroeconomic policy coordination when policymakers do not agree on the true model
  • international nominal targeting (INT) - a proposal for overcoming obstacles to monetary policy coordination
  • the stabilizing properties of a nominal GDP rule for monetary policy.

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