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By P. Arestis, G. Zezza

There were vital advances in financial economics and macroeconomics lately. In macroeconomics there was the paramount improvement of the recent Consensus Macroeconomics besides major coverage implications, thereby giving upward thrust to the idea of recent financial coverage. This publication bargains with the main features of those advancements and extra ones similar to cash, credits and the enterprise cycle. including to the research are advancements that target matters for open and spatial macroeconomics.

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We obtain a positive and significant φ coefficient in the structure of Taylor when the DGP of expected variable is an AR process or a random walk. We are unable to find a significant and positive coefficient for φ when we estimate NKPC with the 6-VAR as a proxy of expectations. Even if the 6-VAR imposes some restrictions on the set of information used, it remains a sophisticated scheme of expectations, and, like the REH, it is rejected by the data. Assumptions in favour of a simpler behaviour of agents are better accepted.

As regards the inter-bank rate, we have also found statistical support to the hypothesis that it works through supplyside effects by inducing firms to make permanent alterations to both output plans and labour demand. However, statistics do not also support the same hypothesis for default risk. This may be due to the want of a better measure of risk, which is notoriously problematic in applied macro-models with high frequency observations. Finally, the estimated long-run impact matrix indicates that, to the extent that the central bank can control the inter-bank rate, it also gains control over both inflation and output.

L. Buttiglione, G. Ferri and E. Gaietti (1995) ‘The Credit Channel of Monetary Policy Across Heterogeneous Banks. The Case of Italy’, Banca d’Italia, Temi di discussione, no. 256. , V. Conti and F. Passacantando (1997) Le banche e il finanziamento delle imprese. Bologna: Il Mulino. C. A. Favero (1995) ‘The Credit Channel of Monetary Transmission. The Case of Italy’. Paper presented at the conference ‘I meccanismi di trasmissione della politica monetaria’, Catholic University, Milan. C. A. Favero (1998a) ‘Measuring Monetary Policy with VAR Models: An Evaluation’, European Economic Review, 42, 1069–112.

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