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32 results on '"Savioz, Marcel"'

3. A Theory of the Nominal Character of Stock Securities.

Author

Dumas, Bernard and Savioz, Marcel

Subjects
BOND prices, LABOR supply, INVESTORS, STOCKS (Finance), BUDGET surpluses, TAYLOR'S rule, SECURITIES, GOVERNMENT securities, INFLATION-indexed bonds
Abstract

We construct recursive solutions for, and study the properties of the dynamic equilibrium of an economy with three types of agents: (i) household/investors who supply labor with a finite elasticity, consume a large variety of goods that are not perfect substitutes and trade government bonds; (ii) firms that produce those varieties of goods, receive productivity shocks and set prices in a Calvo manner; (iii) a government that collects an income-driven fiscal surplus and acts mechanically, buying and selling bonds in accordance with a Taylor policy rule based on expected inflation. In this setting, we show that stock market returns are much less than one-for-one related to inflation over a 1-year holding period, which means that stock securities have a strong nominal character. We also show that their nominal character diminishes as the length of the stock-holding period increases, in accordance with empirical evidence. [ABSTRACT FROM AUTHOR]

Published
2023
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22. GDP Data Revisions and Forward-Looking Monetary Policy in Switzerland

Author

Jordan, Thomas J., Kugler, Peter, Lenz, Carlos, and Savioz, Marcel R.

Subjects
Structural VAR, ddc:330, forward-looking monetary policy, GDP data revisions, jel:E52, E58, jel:E58, E52, Structural VAR, forward-looking monetary policy, efficiency frontier, GDP data revisions, efficiency frontier
Abstract

This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR model consisting of four variables taking into account data revisions for GDP. First, the paper develops an analytical method to analyze the effect of data revision errors in GDP on the ex ante or conditional inflation-output-growth volatility trade-off and applies it to Swiss data. Second, the effects of different targets in a forward-looking monetary policy on ex post or unconditional volatility of inflation and output growth is explored by a simulation exercise. In general, the results obtained suggest that focusing monetary policy on GDP growth instead on inflation may lead to an inefficient policy with both increased medium term inflation and GDP growth volatility in the presence of GDP data revisions.

Published
2005

23. Measurement errors in GDP and forward-looking monetary policy: The Swiss case

Author

Kugler, Peter, Jordan, Thomas J., Lenz, Carlos, and Savioz, Marcel R.

Subjects
GDP measurement errors, Geldpolitik, VAR-Modell, Structural VAR, Schweiz, ddc:330, forward-looking monetary policy, Statistischer Fehler, E52, E53, efficiency frontier, Sozialprodukt
Abstract

This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR consisting of four variables. First, the paper looks at the ex ante inflation-output-growth volatility trade-off for a forward-looking policy aiming at a convex combination of a strict inflation and output growth targeting rule implied by this SVAR model. Thereby the paper introduces a new analytical method. Second, the paper considers the effect of measurement errors in GDP on this inflation-output-growth volatility trade-off. Third, the paper works at the impact of changing beliefs about the potential growth rate on the variability of output growth and inflation. Finally the effects of different targets in a forward-looking monetary policy on ex post or unconditional volatility of inflation and output growth is explored by a simulation exercise.

Published
2004

25. Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany

Author

Kirchgässner, Gebhard and Savioz, Marcel R.

Subjects
economics
Abstract

Using quarterly data for the Federal Republic of Germany, we generate four-quarter-ahead forecasts for real GDP growth. Throughout the 1970s and 1980s, other monetary indicators like real M1 or short-run interest rates clearly outperform forecasts which are based on interest rate spreads. This holds for within as well as for ex-post predictions. The same holds for the development after 1992. Moreover, it is shown that simple forecasts based on M1 or on short-run interest rates outperform the common biannual GNP forecasts of the group of German economic research institutes.

Published
2001

32. Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany.

Author

Kirschgässner, Gebhardt and Savioz, Marcel

Subjects
GROSS domestic product, MONETARY policy, FORECASTING
Abstract

Using quarterly data for the Federal Republic of Germany, we generate four-quarter-ahead forecasts for real GDP growth. Throughout the 1970s and 1980s, other monetary indicators like real M1 or short-run interest rates clearly outperform forecasts which are based on interest rate spreads. This holds for within as well as for ex-post predictions. The same holds for the development after 1992. Moreover, it is shown that simple forecasts based on M1 or on short-run interest rates outperform the common biannual GNP forecasts of the group of German economic research institutes. [ABSTRACT FROM AUTHOR]

Published
2001
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