Does wage-inflation targeting complement foreign exchange intervention? An evaluation of a multi-target, two-instrument monetary policy framework

Xie, Taojun; Liu, Jingting; Alba, Joseph D.; Chia, Wai‐Mun

doi:10.1016/j.econmod.2017.01.013

Cited by 6 publications

(4 citation statements)

References 29 publications

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“…Recently, most scientists [4] and economists [5] turned their interest to use a new mathematical supergeometry [6] and superalgebra [7] of Poisson bracket [8], an non-oriented supermanifold [9], superpoint [10] and superstatistics [11,12] for the modeling of the anomalous equilibrium state [4] in hidden dimensions of the financial market as the parallel worlds [13] of the financial market in the general equilibrium theory. Typical economical modeling is based on the real number field in which each time series data of the record is embedded in the Euclidean plane without the supersymmetric property of the hidden ghost field as a supermanifold.…”

Section: Introductionmentioning

confidence: 99%

“…The orderbook model based on the stochastic process [27] and defining a buy and sell operator as the time series model observes data directly, not from a hidden state. Most researchers who make a research on the financial market equilibrium [28] are coming from the signal processing, statistics, computer science and quantum physics area [29,30], some of them are coming from the econometric research area studying the general equilibrium model [5] based on the dynamical stochastic general equilibrium model (DSGE) [19,20] which is based on the stochastic control theory. We use an alternative approach in the cohomology [17] and the grand unified theory approach [21] to find a master equation for both microeconomics model lagrangian of the utility function throughout the macroeconomic model in the hidden superspace of the time series data.…”

Section: Introductionmentioning

confidence: 99%

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Anomaly on Superspace of Time Series Data

Capozziello

Pinčák

Kanjamapornkul

2017

Zeitschrift Für Naturforschung A

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Abstract:We apply the G-theory and anomaly of ghost and antighost fields in the theory of supersymmetry to study a superspace over time series data for the detection of hidden general supply and demand equilibrium in the financial market. We provide proof of the existence of a general equilibrium point over 14 extradimensions of the new G-theory compared with the M-theory of the 11 dimensions model of Edward Witten. We found that the process of coupling between nonequilibrium and equilibrium spinor fields of expectation ghost fields in the superspace of time series data induces an infinitely long exact sequence of cohomology from a short exact sequence of moduli state space model. If we assume that the financial market is separated into two topological spaces of supply and demand as the D-brane and anti-D-brane model, then we can use a cohomology group to compute the stability of the market as a stable point of the general equilibrium of the interaction between D-branes of the market. We obtain the result that the general equilibrium will exist if and only if the 14 th Batalin-Vilkovisky cohomology group with the negative dimensions underlying 14 major hidden factors influencing the market is zero.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Anomaly on Superspace of Time Series Data

Capozziello

Pinčák

Kanjamapornkul

2017

Zeitschrift Für Naturforschung A

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“…Computable general equilibrium (CGE) analysis would be the superior alternative for the measurement tool of regional economic impacts from natural disasters (Xie et al 2014). It is comprehensive, non-linear, based on individual behavior in response to market prices, and explicitly incorporates a broad range of constraints.…”

Section: Previous Studies and Scientific Inquiriesmentioning

confidence: 99%

Effects of restoration measures from the east Japan earthquake in the Iwate coastal area: application of a DSGE model

Kunimitsu

2017

Asia-Pac J Reg Sci

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Restoration investment after an earthquake and tsunami can improve regional production, but effects of investment emerge differently in production, investment and consumption. Conventional economic models cannot reproduce such chronological nonconformity among economic indices. This study aims to analyze whether the dynamic stochastic general equilibrium (DSGE) model can duplicate the chronological restoration path and nonconformity, and quantifies the efficiency of the restoration measures, such as restoration investment with fund transfer and rebuilding subsidy, in the Iwate coastal region, where the east Japan earthquake hit. The analytical results are as follows: (1) consumption after the earthquake follows a hump-shaped path, where peak point of consumption was delayed from production peak, but then recovered; (2) private investment and labor demand decrease by more than self-restoration does when the restoration measures end; and (3) restoration investment with fund transfer and rebuilding subsidy improves the economy by accelerating the reconstruction of damaged capital stocks, and the benefits of these two measures outweigh their respective costs. These findings show that the influence of an unforeseen and disastrous earthquake can be explained well by the forward-looking decisions on consumption and savings (equal to investment) endogenizing in the DSGE model.

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“…In addition to controlling CPI inflation through nominal policy interest rate and nominal CBDC interest rate, the central bank may target and manage exchange rate through sterilised FX intervention Xie et al, 2017) using the rule 4 :…”

Section: Monetary Policymentioning

confidence: 99%

Essays on innovation, central bank digital currency and asset pricing

George¹

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adjust to equate the demand and supply of money in the market 2 Households use CBDC to purchase only domestic consumer goods in chapter 1. 3 In chapter 1, firms use imported capital in addition to labour to produce final goods. As chapter 2 framework incorporates imported consumption goods (to see the impact of CBDC on CPI inflation), we do not include imported capital for the ease of identifying the transmission mechanism. 4 We do not consider quantity rule framework based on the Chapter 1 finding that quantity rule does not improve economy welfare.5 Domestic price inflation captures the change in domestic goods price. Consumer pricexiii gages in sterilised foreign exchange (FX) intervention to target exchange rate.The study simulate a baseline cash economy, a cash economy with FX intervention and a CBDC economy with FX intervention. The simulations show that 1) interest-bearing CBDC is welfare improving for an emerging market economy; 2) the adjustable interest rate on CBDC causes uneven distributional e↵ects between households and financial investors; and 3) exchange rate management becomes even more e↵ective when interest-bearing CBDC interacts with sterilised FX intervention.Chapter 3 deviates from the framework of CBDC to a production based asset pricing model where innovation is driven by firms through R&D. Chapter 3 examines the implications of wage inertia on macroeconomic aggregates and asset prices in a production economy where growth is endogenously determined by innovation as developed by Kung and Schmid (2015). Wage inertia such as wage stickiness with endogenous labour supply (Uhlig, 2007;Donadelli and Grüning, 2016) and search and matching models with Nash and with alternative o↵er bargaining (AOB) (Christiano et al., 2016) are incorporated in the Kung and Schmid (KS) model. Following a positive productivity shock, the AOB model shows a) labour market and asset pricing moments are closer to the data compared to other types of wage inertia models and the benchmark KS model b) the impulse response of dividends is larger -and closer to the data -under AOB compared to the other models since wages rise the least, as labour, vacancies and unemployment are more responsive following a positive productivity shock. index (CPI) is an index of both domestic and foreign good price. CPI inflation corresponds to change in CPI.

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Does wage-inflation targeting complement foreign exchange intervention? An evaluation of a multi-target, two-instrument monetary policy framework

Cited by 6 publications

References 29 publications

Anomaly on Superspace of Time Series Data

Anomaly on Superspace of Time Series Data

Effects of restoration measures from the east Japan earthquake in the Iwate coastal area: application of a DSGE model

Essays on innovation, central bank digital currency and asset pricing

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