International macroe.. - Free

SUBJECT INDEX 363Hall’s general-to-speciÞc method,54Hansen-Hodrick problem, 163Hodrick-Prescott Þlter, 75—79In real business-cycle research,138—141, 148—149, 151,158Honeymoon effect, 314IImperfect competition, 263Imperfectly credible target zones,320—322Inßation premium, 117Inßationary bias, 336Instrumental variables, 37International transmission of shocksMundell-Fleming modelFixed exchange rates, 233Flexible exchange rates, 236Pricing-to-market model, 299Redux model, 284Intertemporal marginal rate ofsubstitution, 173Of money, 176InterventionForeign exchange market, 20Sterilized, 21Unsterilized, 21, 311Ito’s lemma, 307—308JJensen’s inequality, 195KKronecker product, 178LLaw of iterated expectations, 86,93Law-of-one price,Deviations from, 209—212Learning period in peso-problemmodel, 192Liquidity effect, 240, 281, 284,299Log utility, 139, 141, 142Lognormal distribution, 178, 204London Interbank Offer Rate (LI-BOR), 4Long position (exposure), 7Long-horizon panel data regression,97Lucas model, 105—132Risk premium, 172—177MMarkov chain (begin range), 126,133—134Transition matrix, 127, 129,133Markup, price over costs, 290Mean reversion, 49, 314Mean-variance optimizers, 11Measurement in calibrationLucas model, 126Real business cycles, 141, 150,151