Central bank research hub - JEL classification C88: Other Computer Software
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Latest research hub papers with the JEL classification:C88enU.S. Macroeconomic Policy Evaluation in an Open Economy Context using Wavelet Decomposed Optimal Control Methods
https://helda.helsinki.fi/bof/bitstream/123456789/16209/1/BoF_DP_1911.pdf
Bank of Finland Research Discussion Papers by Patrick M. Crowley and David HudginsU.S. Macroeconomic Policy Evaluation in an Open Economy Context using Wavelet Decomposed Optimal Control Methods2019-07-10T00:00:11ZIt is widely recognized that the policy objectives of fiscal and monetary policymakers usually have different time horizons, and this feature may not be captured by traditional econometric techniques. In this paper, we first decompose U.S macroeconomic data using a time-frequency domain technique, namely discrete wavelet analysis. We then model the behavior of the U.S. economy over each wavelet frequency range and use our estimated parameters to construct a tracking model. To illustrate the usefulness of this approach, we simulate jointly optimal fiscal and monetary policy with different short-term targets: an inflation target, a money growth target, an interest rate target, and a real exchange rate target. The results determine the reaction in fiscal and monetary policy that is required to achieve an inflation target in a low inflation environment, and when both fiscal and monetary policy are concerned with meeting certain economic growth objectives. The combination of wavelet decomposition in an optimal control framework can also provide a new approach to macroeconomic forecasting.U.S. Macroeconomic Policy Evaluation in an Open Economy Context using Wavelet Decomposed Optimal Control MethodsFull texthttps://helda.helsinki.fi/bof/bitstream/123456789/16209/1/BoF_DP_1911.pdfDavid HudginsPatrick M. CrowleyPatrick M. Crowley and David Hudgins2019-07-10Bank of Finland Research Discussion PapersC61C63C88E52E61F47The U.S. Syndicated Loan Market : Matching Data
https://www.federalreserve.gov/econres/feds/files/2018085pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Gregory J. Cohen, Melanie Friedrichs, Kamran Gupta, William Hayes, Seung Jung Lee, W. Blake Marsh, Nathan Mislang, Maya Shaton and Martin SicilianThe U.S. Syndicated Loan Market : Matching Data2018-12-07T00:00:00ZWe introduce a new software package for determining linkages between datasets without common identifiers. We apply these methods to three datasets commonly used in academic research on syndicated lending: Refinitiv LPC DealScan, the Shared National Credit Database, and S Global Market Intelligence Compustat. We benchmark the results of our match using results from the literature and previously matched files that are publicly available. We find that the company level matching is enhanced by careful cleaning of the data and considering hierarchical relationships. For loan level matching, a tailored approach based on a good understanding of the data can be better in certain dimensions than a more pure machine learning approach. The R package for the company level match can be found on Github.The U.S. Syndicated Loan Market : Matching DataFull texthttps://www.federalreserve.gov/econres/feds/files/2018085pap.pdfSeung Jung LeeW. Blake MarshGregory J. CohenMelanie FriedrichsKamran GuptaWilliam HayesMaya ShatonNathan MislangMartin SicilianGregory J. Cohen, Melanie Friedrichs, Kamran Gupta, William Hayes, Seung Jung Lee, W. Blake Marsh, Nathan Mislang, Maya Shaton and Martin Sicilian2018-12-07Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesC55C88E44G21Modelling a small open economy using a wavelet-based control model
https://helda.helsinki.fi/bof/bitstream/123456789/14937/1/BoF_DP_1732.pdf
Bank of Finland Discussion Papers by David Hudgins and Patrick M. CrowleyModelling a small open economy using a wavelet-based control model2017-10-18T11:30:19ZThis paper develops a wavelet-based control system model that can be used to simulate fiscal and monetary strategies in an open economy context in the time-frequency domain. As the emphasis on real exchange rate stability is increased, the model simulates the effects on both the aggregate and decomposed trade balance under both constant and depreciating real exchange rate targets, and also the effects on the real GDP expenditure components. This paper adds to recent research in this area by incorporating an external sector via the use of a real effective exchange rate as a driver of output. The research is also the first to analyze exchange rate effects within a time-frequency model with integrated fiscal and monetary policies in an open-economy applied wavelet-based optimal control setting. To demonstrate the usefulness of this model, we use post-apartheid South African macro data under a political targeting design for the frequency range weights, where we simulate jointly optimal fiscal and monetary policy under varying preferences for real exchange rate stability.Modelling a small open economy using a wavelet-based control modelFull texthttps://helda.helsinki.fi/bof/bitstream/123456789/14937/1/BoF_DP_1732.pdfDavid HudginsPatrick M. CrowleyDavid Hudgins and Patrick M. Crowley2017-10-18Bank of Finland Research Discussion PapersC61C63C88E52E61F47Analysis of the balance between U.S. monetary and fiscal policy using simulated wavelet-based optimal tracking control
https://helda.helsinki.fi/bof/bitstream/123456789/14311/1/BoF_DP_1621.pdf
Bank of Finland Discussion Papers by Patrick M. Crowley and David HudginsAnalysis of the balance between U.S. monetary and fiscal policy using simulated wavelet-based optimal tracking control2016-08-04T00:00:00ZThis paper uses wavelet-based optimal control to simulate fiscal and monetary strategies under different levels of policy restrictions. The model applies the Maximal Overlap Discrete Wavelet Transform (MODWT) to United States quarterly GDP data, and then uses the decomposed variables to build a large 80 dimensional state-space linear-quadratic tracking model. Using a political targeting design for the frequency range weights, we simulate jointly optimal fiscal and monetary policy where: (1) both fiscal and monetary policy are dually emphasized, (2) fiscal policy is unrestricted while monetary policy is restricted to achieving a steady increase in the market interest rate, and (3) only monetary policy is relatively active, while fiscal spending is restricted to achieving a target growth rate. The results show that fiscal policy must be more aggressive when the monetary authorities are not accommodating the fiscal expansion, and that the dual-emphasis policy leads a series of interest rate increases that are balanced between a steadily increasing target and a low, fixed rate. This research is the first to construct integrated fiscal and monetary policies in an applied wavelet-based optimal control setting using U.S. data.Analysis of the balance between U.S. monetary and fiscal policy using simulated wavelet-based optimal tracking controlFull texthttps://helda.helsinki.fi/bof/bitstream/123456789/14311/1/BoF_DP_1621.pdfDavid HudginsPatrick M. CrowleyPatrick M. Crowley and David Hudgins2016-08-04Bank of Finland Research Discussion PapersC49C61C63C88E58E61Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Usually Not"
http://www.federalreserve.gov/econresdata/feds/2015/files/2015083pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Andrew C. Chang and Phillip LiIs Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Usually Not"2015-09-04T06:19:59ZWe attempt to replicate 67 papers published in 13 well-regarded economics journals using author-provided replication files that include both data and code. Some journals in our sample require data and code replication files, and other journals do not require such files. Aside from 6 papers that use confidential data, we obtain data and code replication files for 29 of 35 papers (83%) that are required to provide such files as a condition of publication, compared to 11 of 26 papers (42%) that are not required to provide data and code replication files. We successfully replicate the key qualitative result of 22 of 67 papers (33%) without contacting the authors. Excluding the 6 papers that use confidential data and the 2 papers that use software we do not possess, we replicate 29 of 59 papers (49%) with assistance from the authors. Because we are able to replicate less than half of the papers in our sample even with help from the authors, we assert that economics research is usually not replicable. We conclude with recommendations on improving replication of economics research.Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Usually Not"Full texthttp://www.federalreserve.gov/econresdata/feds/2015/files/2015083pap.pdfAndrew C. ChangPhillip LiAndrew C. Chang and Phillip Li2015-09-04Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesB41C80C82C87C88E01Simulations in the Dutch interbank payment system: A sensitivity analysis
http://www.dnb.nl/en/binaries/Working%20paper%20199_tcm47-211050.pdf
Netherlands Bank DNB Working Papers by Ronald HeijmansSimulations in the Dutch interbank payment system: A sensitivity analysis2009-02-01T12:00:00ZThis paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has been used and modified to create a stress scenario. The changes with respect to the historical data are either an increase or a decrease of payment values of one of the large participants. This change of the payment value has been applied to the three large banks in the Dutch system. The collateral level has also been modified between the different stress scenarios. In total four levels of collateral are investigated of which 2 are based on historical data and 2 on theoretical calculated values, the upper and lower bound. The results of this paper are both in terms of number of banks affected and the amount of unsettled values by the end of the day.Simulations in the Dutch interbank payment system: A sensitivity analysisFull texthttp://www.dnb.nl/en/binaries/Working%20paper%20199_tcm47-211050.pdfRonald HeijmansRonald Heijmans2009-01Netherlands Bank DNB Working PapersC88E58G21