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Author:Tryon, Ralph W. 

Journal Article
Evaluating international economic policy with the Federal Reserve's global model

FRB/Global is a large-scale macroeconomic model developed and maintained by the Board's staff. This article provides a historical perspective on the development of the model, gives an overview of its structure, and highlights its dynamic properties with three simulation experiments: a reduction in U.S. government purchases; a depreciation of the U.S. dollar; and an increase in the price of oil exported by OPEC. The article illustrates other uses of FRB/Global by examining the spillover effects of fiscal and monetary policy under alternative European monetary policy regimes.
Federal Reserve Bulletin , Issue Oct , Pages 797-817

Working Paper
The structure and properties of the FRB multicountry model.Part I: Model description and simulation results

The FRB Multicountry Model (MCM) is a linked system of five quarterly national macroeconometric models of the United States, Canada, Germany, Japan, and the United Kingdom. The MCM emphasizes international linkages, and has equations for trade in goods and services, investment income flows, and exchange rates. This paper documents the current version of the MCM. The paper describes the theoretical structure of the model, and presents the empirical estimation results. The paper also describes a series of simulations of fiscal and monetary policy scenarios and external shocks. A complete ...
International Finance Discussion Papers , Paper 293

Working Paper
Monthly estimates of U.S. cross-border securities positions

This paper reports monthly estimates of U.S. cross-border securities positions obtained by combining the (now) annual TIC surveys with monthly transactions data adjusted for various differences in the two reporting standards. Our approach is similar to that of Thomas, Warnock, and Wongswan (2004), but in addition to having a somewhat larger dataset we are able to make some simplifications to the numerical procedure used and we incorporate additional adjustments to the transactions data. This paper describes the procedure used and presents the monthly results. In addition, we discuss how the ...
International Finance Discussion Papers , Paper 910

Discussion Paper
Small empirical models of exchange market intervention : a review of the literature

Staff Studies , Paper 134

Working Paper
Stochastic behavior of the world economy under alternative policy regimes

This paper uses a multicountry econometric model with rational expectations to analyze the effects of alternative monetary policy regimes on the stability of various macroeconomic variables in the face of stochastic shocks to the economy. The policy regimes use a short-term interest-rate instrument to respond to deviations of various target variables from their targeted values. The principal conclusions are that there are significant tradeoffs between stabilizing output and stabilizing prices, and that more aggressive targeting can lead to large increases in interest-rate variability with ...
International Finance Discussion Papers , Paper 428

Conference Paper
Price and output stability under alternative monetary policy rules

Proceedings , Paper 1, pt. 2

Working Paper
Block distributed methods for solving multi-country econometric models.

This paper examines variations on a baseline Fair-Taylor algorithm used to solve multi-country, rational expectations models. One notable feature of these variations is the ability to exploit small-scale distributed processing using a network of workstations or PCs. Using four processors to solve MX-4 (152 endogenous variables), the largest speedup factor relative to Fair-Taylor is 59; for RE-7 (978 endogenous variables) the maximum speedup factor is 12.
International Finance Discussion Papers , Paper 516

Journal Article
Evaluating International Economic Policy with the Federal Reserve's Global Model

FRB/Global is a large-scale macroeconomic model developed and maintained by the Board's staff. This article provides a historical perspective on the development of the model, gives an overview of its structure, and highlights its dynamic properties with three simulation experiments: a reduction in U.S. government purchases; a depreciation of the U.S. dollar; and an increase in the price of oil exported by OPEC. The article illustrates other uses of FRB/Global by examining the spillover effects of fiscal and monetary policy under alternative European monetary policy regimes.
Federal Reserve Bulletin , Volume 83 , Issue 10 , Pages pp. 797-817

Working Paper
Output and inflation in the long run

Cross-country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in sample, temporal aggregation, and omission of consequential variables in levels. This paper demonstrates some implications of these mis-specifications, both analytically and empirically. In particular, for most G-7 countries, annual time series of inflation and the log-level of output are cointegrated, thus rejecting the existence of a long-run relation between output growth and inflation. Typically, output and inflation are ...
International Finance Discussion Papers , Paper 687

Working Paper
The current account of the United States, Japan, and Germany : a cyclical analysis

International Finance Discussion Papers , Paper 236

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