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  • 1. Adolfson, Malin
    et al.
    Laseen, Stefan
    Linde, Jesper
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi. Stockholm School of Economics, Sweden; NBER, United States.
    Monetary policy trade-offs in an estimated open-economy DSGE model2014Ingår i: Journal of Economic Dynamics and Control, ISSN 0165-1889, E-ISSN 1879-1743, Vol. 42, s. 33-49Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper studies the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank's estimated dynamic stochastic general equilibrium (DSGE) model of a small open economy. Our main finding is that the trade-off between stabilizing CPI inflation and the output gap strongly depends on which concept of potential output in the output gap between output and potential output is used in the loss function. If potential output is defined as a smooth trend this trade-off is much more pronounced compared to the case when potential output is defined as the output level that would prevail if prices and wages were flexible.

  • 2. Adolfson, Malin
    et al.
    Laséen, Stefan
    Lindé, Jesper
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Optimal Money Policy in an Operational Medium-Sized DSGE Model2011Ingår i: Journal of Money, Credit and Banking, ISSN 0022-2879, E-ISSN 1538-4616, Vol. 43, s. 1287-1331Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    We show how to construct optimal policy projections in Ramses, the Riksbank's open-economy medium-sized dynamic stochastic general equilibrium model for forecasting and policy analysis. Bayesian estimation of the parameters of the model indicates that they are relatively invariant to alternative policy assumptions and supports our view that the model parameters may be regarded as unaffected by the monetary policy specification. We discuss how monetary policy, and in particular the choice of output gap measure, affects the transmission of shocks. Finally, we use the model to assess the recent Great Recession in the world economy and how its impact on the economic development in Sweden depends on the conduct of monetary policy. This provides an illustration on how Rames incoporates large international spillover effects.

  • 3.
    Bertola, Giuseppe
    et al.
    Princeton University.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models1990Rapport (Övrigt vetenskapligt)
    Abstract [en]

    In the model of this paper, an exchange rate fluctuates between given boundaries for random lengths of time and jumps discretely when devaluation occur. We provide explicit solutions for the stochastic processes followed by the exchange rate and by the expected rate of depreciation when the likelihood and the size of devaluations vary stochastically over time. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, and provides interesting interpretations of available empirical evidence. We also specify how to infer devaluation risk from target zone data.

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  • 4.
    Dahlquist, Magnus
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Estimatinf the Term Structure of Interest Rates with Simple and Complex Functional Forms: Nelson & Siegel vs. Longstaff & Schwartz1994Rapport (Övrigt vetenskapligt)
    Abstract [en]

    The paper compares estimation of spot (zero-coupon) interest rates and implicit forward interest rates from Swedish Treasury bill rates and Government coupon bond yields with two functional forms for the discount function, the simple form of Nelson & Siegel (NS) and the complex form of Longstaff & Schwartz (LS). NS is much easier to use and has much better convergence properties, whereas LS is more flexible. For the data used, estimates with NS and LS are close, with only marginally better fit for LS. The fit of NS seems satisfactory for monetary policy purposes.

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  • 5.
    Dooley, Michael
    et al.
    International Monetary Fund.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Policy Inconsistency and External Debt Service1990Rapport (Övrigt vetenskapligt)
    Abstract [en]

    In this paper it is argued that the willingness of debtors to make external debt-service payments reflects, in part, their inability to credibly and permanently suspend debt service. The benefits of a credible debt-service suspension would include increased private investment. Buth this would, in turn, tend to create conditions in which it would then be optimal for the government to resume payments. Thus, debt reamins a threat even after the announcement of suspension of debt service. It follows that the expected benefits of such a suspension are limited and may be offset by penalties imposed by creditors.

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  • 6.
    Dumas, Bernard
    et al.
    Wharton School of the University of Pennsylvania.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    How Long do Unilateral Target Zones Last?1991Rapport (Övrigt vetenskapligt)
    Abstract [en]

    We examine the expected survival time of a unilateral exchange rate target zone, when constraints on monetary policy prevent the central bank from exclusively focusing on defending the target zone. Generally the width of the target zone has a negligible effect on the expected survival time, and the dominant determinants are reserve levels and the degree of real and monetary divergence between the country in question and the rest of the world. For seemingly realistic parameters, the expected survivial time is fairly long: a few decades rather than a few years.

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  • 7.
    Englund, Peter
    et al.
    Department of Economics, Uppsala University.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Swedish Business Cycles: 1861-19881990Rapport (Övrigt vetenskapligt)
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  • 8.
    Englund, Peter
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Money and Banking in a Cash-In-Advance Economy1985Rapport (Övrigt vetenskapligt)
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  • 9.
    Ethier, Wilfred J.
    et al.
    University of Pennsylvania.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    The Theorems of International Trade with Factor Mobility1985Rapport (Övrigt vetenskapligt)
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  • 10.
    Faust, Jon
    et al.
    Board of Governors of the Federal Reserve System.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    The Equilibrium Degree of Transparency and Control in Monetary Policy1999Rapport (Övrigt vetenskapligt)
    Abstract [en]

    We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. Under commitment, we find that the deliberate choice of sloppy control is far less likely under a standard central-bank loss function than reported for a less standard loss function by Cukierman and Meltzer. Under discretoin, maximum degree of control is the only equilibrium. With regard to the degree of transparency, under commitment, a sufficiently patient bank with sufficiently low average and maximum transparency are equilibria. We argue that discretion is the more realistic transparency. A maximum feasible degree of control with a minimum degree of transparency is then a likely outcome. The Bundesbank and the Federal Reserve System are, arguably, examples of this outcome.

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  • 11.
    Faust, Jon
    et al.
    Board of Governors of the Federal Reserve System.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Transparency and Credibility: Monetary Policy with Unobservable Goals1997Rapport (Övrigt vetenskapligt)
    Abstract [en]

    We define and study transparency, credibility, and reputation in a model where the central bank's characteristics are unobservable to the private sector and are inferred from the policy outcome. A low-credibility bank optimally conducts a more inflationary policy than a high-credibillity bank, in the sense that it induces higher inflation, but a less expansionary policy in the sense that it induces lower inflation and employment than expected. Increased transparency makes the bank's reputation and credibility more sensitive to its actions. This has a moderating influence on the bank's policy. Full transparency of the central bank's intentions is generally socially beneficial, but frequently not in the interest of the bank. Somewhat paradoxically, direct observability of idiosyncratic central bank goals removes the moderating incentive on the bank and leads to the worst equilibrium.

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  • 12.
    Flam, Harry
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Optimal Subsidies to Declining Industries: Efficiency and Equity Considerations1982Rapport (Övrigt vetenskapligt)
    Abstract [en]

    This paper consider equity vs. efficiency in a small economy that subsidizes an industry facing falling world market prices. Subsidies keep up output in the short run when wages and factors are rigid. But once introduced subsidies become permanent, because of pressures from vested interests. This creates misallocation of resources in the long run. An optimal efficiency subsidy balances the short-run gains and long-run losses. It should be raised when prices fall if there is full employment initially and lowered if there is unemployment. An optimal distribution subsidy, which aims at maintaining the sxisting income distribution, should always be raised.

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  • 13.
    Garber, Peter M.
    et al.
    Brown University.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    The Operation and Collapse of Fixed Exchange Rate Regimes1994Rapport (Övrigt vetenskapligt)
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  • 14.
    Hamilton, Carl
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Revealed Comparative Advantage: The Case of Sweden1982Rapport (Övrigt vetenskapligt)
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  • 15.
    Hamilton, Carl
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Should Direct or Total Factor Intensities be used in Tests of the Factor Proportions Hypothesis in International Trade Theory?1982Rapport (Övrigt vetenskapligt)
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  • 16.
    Hamilton, Carl
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Testing Theories of Trade Among Many Countries1982Rapport (Övrigt vetenskapligt)
    Abstract [en]

    The objective with this paper is to test the factor proportions of trade applying the framework of Ronald jones (1974) and Anne Krueger (1977). Krueger, unsatisfied with the standard way of interpreting Heckscher-Ohlin-Samuelson (HOS) model in empirical testing, concludes "that a meaningful interpretation of the HOS model must lie within the manufacturing sector in a world of many countries. Once focus is so shifted, it becomes immediately apparent that the HOS predictions are more likely to be borne out in patterns of specialization within manufacturing [production] than in comparison of factor proportions in the exporting and importing-competing industries" (p. 43).

    What distinguishes this paper particularly from other empirical studies is that we use production and consumption data in addition to trade data. This enables us to test some additional hypotheses about international trade production and consumption.

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  • 17.
    Horn, Henrik
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Trade Unions and Optimal Labor Contracts1984Rapport (Övrigt vetenskapligt)
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  • 18.
    Kotlikoff, Laurence J.
    et al.
    Boston University.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Social Contracts as Assets: A Possible Solution to the Time-Consistency Problem1987Rapport (Övrigt vetenskapligt)
    Abstract [en]

    This paper presents a new solution to the time-consistency problem that appears capable of enforcing ex ante policy in a variety of settings in which other enforcement mechanisms do not work. The solution involves formulating a social contract, institution, or agreement that specifies the optimal ex ante policy. The social contract is effectively sold by succesive old generations to successive young generations, who pay for the social contract through the payment of taxes. Both old and young generations have an economic incentive to fulfill the social contract. For the old generation, breaking the social contract makes the social contract valueless, and the generation suffers a capital loss by not being able to sell it. For the young generation the economic advantage of purchasing the existing social contract exceeds its price as well as the economic gain from setting up the a new social contract.

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  • 19.
    Krugman, Paul R.
    et al.
    Massachusetts Institute of Technology.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Inflation, Monetary Velocity and Welfare1982Rapport (Övrigt vetenskapligt)
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  • 20.
    Laséen, Stefan
    et al.
    Sveriges Riksbank.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Anticipated Alternative Policy Rate Paths in Policy Simulations2011Ingår i: The International Journal of Central Banking, ISSN 1815-4654, E-ISSN 1815-7556, Vol. 7, nr 3, s. 1-35Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper specifies a new convenient algorithm to construct policy projections conditional on alternative anticipated policy rate paths in linearized dynamic stochastic general equilibrium (DSGE) models, such as Ramses, the Riksbank's main DSGE model. Such projections with anticipated policy rate paths correspond to situations where the central bank transparently announces that it, conditional on current information, plans to implement a particular policy rate path and where this announced plan for the policy rate is believed and then anticipated by the private sector. The main idea of the algorithm is to include among the predetermined variables (the "state" of the economy) the vector of non-zero means of future shocks to a given policy rule that is required to satisfy the given anticipated policy rate path.

  • 21.
    Lindberg, Hans
    et al.
    Sveriges Riksbank.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Söderlind, Paul
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Devaluation Expectations: The Swedish Krona 1982-19911991Rapport (Övrigt vetenskapligt)
    Abstract [en]

    Devaluation expectations for the Swedish krona are estimated for the period 1982-1991 with several methods. First the "simplest test" is applied under either only the minimal assumption of "no positive minimum profit" or the additional assumption of uncovered interest parity. Then a more precise method suggested by Bertola and Svensson is used, in which expected rates of depreciation within the exchange rate band, estimated in several ways, are subtracted from interest rate differentials. Finally, estimated devaluations expectations are to some extent explained by a few macrovariables and parliament elections.

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  • 22.
    Markusen, James R.
    et al.
    Department of Economics, University of Western Ontario.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Factor Endowments and Trade with Increasing Returns Versus Constant Returns to Scale1984Rapport (Övrigt vetenskapligt)
    Abstract [en]

    A general equilibrium model of trade with increasing returns to scale is developed for the purpose of analyzing how the results of factor-proportions trade theory are affected by the existence of scale economies. Comparative statistics effects with scale economies are derived as explicit funstions of standard constant returns mappings such as the Rybczynski matrix. Issues addressed include (A) the direction of trade, (B) international factor-price differences, (C) factor mobility and the volume of trade, and (D) the welfare effects of endowment changes.

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  • 23.
    Peregrim Marion, Nancy
    et al.
    Dartmouth College.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Structural Differences and Macroeconomic Adjustment to Oil-Price Changes: A Three-Country Approach1983Rapport (Övrigt vetenskapligt)
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  • 24.
    Persson, Mats
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Debt, Cash Flow and Inflation Incentives: A Swedish Example1996Rapport (Övrigt vetenskapligt)
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  • 25.
    Persson, Mats
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Time Consistency of Fiscal and Monetary Policy1985Rapport (Övrigt vetenskapligt)
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  • 26.
    Persson, Mats
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Persson, Torsten
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Time Consistency of Fiscal and Monetary Policy: A Solution2005Rapport (Övrigt vetenskapligt)
    Abstract [en]

    This paper demonstrates how time consistency of the Ramsey policy – the optimal fiscal and monetary policy under commitment – can be achieved. Each government should leave its successor with a unique maturity structure for the nominal and indexed debt, such that the marginal benefit of a surprise inflation exactly balances the marginal cost. Unlike in earlier papers on the topic, the result holds for quite a general Ramsey policy, including timevarying policies with positive inflation and positive nominal interest rates. We compare our resuklts with those in Persson, Persson, and Svensson (1987), Calvo and Obstfeld (1990), and Alvarez, Kehoe, and Neumeyer (2004).

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  • 27.
    Persson, Torsten
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Checks and Balances on the Government Budget1987Rapport (Övrigt vetenskapligt)
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  • 28.
    Persson, Torsten
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Current Account Dynamics and the Terms of Trade: Harberger-Laursen-Metzler Two Generations Later1984Rapport (Övrigt vetenskapligt)
    Abstract [en]

    This is a study of the current account dynamics resulting from the savings and investment dynamics in a small open economy which is subject to exogenous changes in its terms of trade and in world interest rates.

    Anticipated and unanticipated, as well as temporary and permanent, terms of trade changes have very different effects. There is, however, a general tendency towards cycles in both savings and investment, which gives rise to cycles in the current account.

    It is shown that the classic Harberger-Laursen-Metzler effect on saving of a terms of trade deterioration can have any sign for plausible parameter values, both for temporary and permanent disturbances.

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  • 29.
    Persson, Torsten
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Exchange Rate Variability and Asset Trade1987Rapport (Övrigt vetenskapligt)
    Abstract [en]

    In popular discussion about the merits of different international monetary arrangements it is often maintained that increased exchange rate variability has a negative influence on international trade and foreign investment. This paper addresses a specific, but also a very basic, aspect of this general issue, namely the effect of exchange rate variability on capital flows and international portfolio diversification. More precisely, we examine how different monetary policies - and among those, policies that aim at stabilizing exchange rate - determine the risk characteristics of nominal assets, and how these risk characteristics in turn affect international portfolio composition and trade in assets, when international asset markets are incomplete.

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  • 30.
    Persson, Torsten
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    International Borrowing and Time-Consistent Fiscal Policy1984Rapport (Övrigt vetenskapligt)
    Abstract [en]

    We discuss optimal fiscal policy in open economies, using an open-economy version of a model used in the recent work by Lucas and Stokey. An optimal allocation  smooths out the tax distortions associated with financing a given sequence of government consumption, and it also smooths out private consumption of goods and leisure by borrowing (lending) on the international capital market in periods with high (low) government consumption. The main question we ask is how the optimal policy can be made time-consistent, when usccessive governments reoptimize with respect to current and future tax rates, but most honor the government debt obligations. We show that this requires government debt of sufficiently rich maturity to be issued.

    First we treat a case with capital controls, where only the government can borrow and lend abroad. The there is a unique restructuring scheme for the domestic debt that is necessary to give succeeding governments incentives to continue following the optimal policy (here we interpret and extend Lucas and Stokey's results). For a small economy, this scheme is also sufficient for time-consistency, but in an economy large enough to affect its terms of trade, it is also necessary to follow a unique restructuring scheme for the government's (and the country's) foreign debt.

    When there are no capital controls, time-consistency is no longer a problem in a small economy. In a large economy, what matters is total government debt and total foreign debt (but not their composition), and again there are unique maturity structures necessary and sufficient for time-consistency. An interesting observation is that in the distorted world we consider, relaxing the capital controls actually deteriorates welfare.

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  • 31.
    Persson, Torsten
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Is Optimism Good in a Keynesian Economy?1982Rapport (Övrigt vetenskapligt)
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  • 32.
    Persson, Torsten
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Misperceptions and Welfare1982Rapport (Övrigt vetenskapligt)
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  • 33.
    Razin, Assaf
    et al.
    Department of Economics, Tel Aviv University.
    Svensson, Lars
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    The Current Account and the Optimal Government Debt1982Rapport (Övrigt vetenskapligt)
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  • 34.
    Razin, Assaf
    et al.
    Department of Economics, Tel Aviv University.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    An Asymmetry between Import and Export Taxes1982Rapport (Övrigt vetenskapligt)
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  • 35.
    Rose, Andrew K.
    et al.
    Haas School of Business, University of California, Berkeley.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    European Exchange Rate Credibility Before the Fall1993Rapport (Övrigt vetenskapligt)
    Abstract [en]

    Realignment expectations which measure exchange rate credibility are analyzed for European exchange rates, using daily financial data since the inception of the EMS. It is difficult to find economically meaningful relationships between realignment expectations and macroeconomic variables, although there are signs that lower inflation improves credibility. Statistically, many movements to realignment expectations are common to ERM participants. There were few indications of poor ERM credibility before late August 1992; the dimensions of the currency crisis in September 1992 appear to have been taken both policy-makers and private agents largely by surprise.

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  • 36.
    Rose, Andrew K.
    et al.
    University of California at Berkeley.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Expected and Predicted Realignments: The FF/DM Exchange Rate during the EMS1991Rapport (Övrigt vetenskapligt)
    Abstract [en]

    An empirical model of time-varying realignment risk in an exchange rate target zone is developed. Expected rates of devaluation are estimated as the difference between interest rate differentials and estimated expected rates of depreciation within the exchange rate band, using French Franc/Deutsche Mark data during the European Monetary System. The behavior of estimated expected rates of depreciation accord well with the theoretical model of Bertola-Svensson (1990). We are also able to predict actial realignments with some success.

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  • 37.
    Rudebusch, Glenn D.
    et al.
    Federal Reserve Bank of San Fransisco.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Eurosystem Monetary Targeting: Lessons from U.S. Data1999Rapport (Övrigt vetenskapligt)
    Abstract [en]

    Using small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show that monetary targeting would be quite inefficient, with both higher inflatoin and output variability. This is true even with a deterministic money demand formulation. in this framework, there is thus no support for the prominent role given to money growth in the Eurosystem's monetary policy strategy.

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  • 38.
    Rudebusch, Glenn D.
    et al.
    Federal Reserve Bank of San Fransisco.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Policy Rules for Inflation Targeting1998Rapport (Övrigt vetenskapligt)
    Abstract [en]

    Policy rules that are consistent with inflation targeting are examined in a small macroeconomic model of the US economy. We compare the properties and outcomes of explicit "instrument rules" as well as "targeting rules." The latter, which imply implicit instrument rules, may be closer to actual operating procedures of inflation-targeting central banks. We find that inflation forecasts are central for good policy rules under inflation targeting. Some simple instrument and target rules do remarkably well relative to the optimal rule; others, including some that are often used as representing inflation targeting, do less.

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  • 39.
    Stockman, Alan C.
    et al.
    University of Rochester.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Capital Flows, Investment, and Exchange Rates1985Rapport (Övrigt vetenskapligt)
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  • 40.
    Svensson, Lars
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Optimal Inflation Targets, 'Conservative' Central Banks, and Linear Inflation Contracts1995Rapport (Övrigt vetenskapligt)
    Abstract [en]

    Inflation target regimes (like those if New Zealand, Canada, U.K., Sweden and Finland) are interpreted as having explicit inflation targets and implicit output/unemployment targets. Without output/unemployment persistence, delegation of monetary policy to a discretionary instrument-independent central bank with an optimal inflation target can eliminate the discretionary inflation bias, mimic the optimal linear inflation contract suggested by Walsh and extended by Persson and Tabellini, and achieve the equilibrium corresponding to an optimal rule with commitment. Thus an 'inflation target-conservative' central bank with an inflation target equal to the socially best inflation rate less any inflation bias dominates a Rogoff 'weight-conservative' central bank with increased weight on inflation stabilization, which suboptimally increases output/unemployment variability. With output/unemployment presistence, a constant inflation target is equivalent to a constant linear inflation contract. They can both eliminate the average inflation bias but not the state-contingent part of the inflation bias. Inflation variability is too high, and output variability too low, compared to the equilibrium corresponding to an optimal rule. An optimal state-contingent inflation target can remove all inflation bias, but in contrast to an optimal-state-contingent llinear inflation contract it still leaves inflation variability too high. Delegation with an optimal state-contingent inflation target to a Rogoff 'weight-conservative' central bank can then achieve the equilibrium corresponding to an optimal rule. Inflation targets mau on average be exceeded, and they may have imperfect credibility. Nevertheless they may usefully reduce inflation, and they appear much easier to implement than linear inflation contracts.

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  • 41.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Discussion of "Complexity and Monetary Policy"2013Ingår i: The International Journal of Central Banking, ISSN 1815-4654, E-ISSN 1815-7556, Vol. 9, s. 205-218Artikel i tidskrift (Refereegranskat)
  • 42.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi. Stockholm School of Economics, Sweden; Centre for Economic Policy Research (CEPR), Sweden; National Bureau of Economic Research (NBER), USA.
    Forward Guidance2015Ingår i: The International Journal of Central Banking, ISSN 1815-4654, E-ISSN 1815-7556, Vol. 11, nr 4, s. 19-64Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Forward guidance about future policy settings, in the form of a published policy rate path, has for many years been a natural part of normal monetary policy for several central banks, including the Reserve Bank of New Zealand and the Swedish Riksbank. More recently, the Federal Reserve has started to publish FOMC participants' policy rate projections. The Swedish, New Zealand, and U.S. experience of a published policy rate path is examined, especially to what extent the market has anticipated the path (the predictability of the path) and to what extent market expectations line up with the path after publication (the credibility of the path). The recent Swedish experience is quite dramatic. In particular, it shows a case with a large discrepancy between a high and rising Riksbank path and a low and falling market path, with the market path providing a good forecast of the future policy rate. The discrepancy is explained by the Riksbank's leaning against the wind in recent years and related circumstances. The New Zealand experience is less dramatic but shows cases where the market implements either a substantially tighter or easier policy than intended by the RBNZ. There are also cases of the market being ahead of the RBNZ and the RBNZ later following the market. The U.S. experience includes a recent case of the market expecting and implementing substantially easier policy consistent with the FOMC projections, the possible explanation of which has been much discussed.

  • 43.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Household Debt Overhang Did Hardly Cause a Larger Spending Fall during the Financial Crisis in Australia2021Övrigt (Övrigt vetenskapligt)
    Abstract [en]

    The "debt-overhang hypothesis" - that households cut back more on their spending in a crisiswhen they have higher levels of outstanding mortgage debt (Dynan, 2012) - seems to be taken forgranted by macroprudential authorities in several countries in their policy decisions, as well as bythe international organizations that evaluate and comment on countries' macroprudential policy.New results for Australian microdata are presented that reject the debt-overhang hypothesis. Theresults instead support the "spending-normalization hypothesis" of Andersen, Duus, and Jensen(2016), what can also be called the "debt-financed overspending" hypothesis - that the correlationbetween high pre-crisis household indebtedness and subsequent spending cuts during the crisisreflects high debt-financed spending pre-crisis and a return to normal spending during the crisis.As discussed in Svensson (2019, 2020), this is consistent with the above correlation reflectingdebt-financed overspending through what Muellbauer (2012) calls the "housing-collateralhousehold demand" channel and Mian and Sufii (2018) the "debt-driven household demand"channel.

  • 44.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Household Debt Overhang Did Hardly Cause a Larger Spending Fall during the Financial Crisis in the UK2021Övrigt (Övrigt vetenskapligt)
    Abstract [en]

    The "debt-overhang hypothesis" - that households cut back more on their spending in a crisis when they have higher levels of outstanding mortgage debt (Dynan, 2012) - seems to be taken for granted by macroprudential authorities in several countries in their policy decisions, as well as by the international organizations that evaluate and comment on countries' macroprudential policy. Results are presented for UK microdata that reject the debt-overhang hypothesis. The results instead support the "spending-normalization hypothesis" of Andersen, Duus, and Jensen (2016a), what can also be called the "debt-financed overspending" hypothesis - that the correlation between high pre-crisis household indebtedness and subsequent spending falls during the crisis reflects high debt-financed spending pre-crisis and a return to normal spending during the crisis. As discussed in Svensson (2019, 2020), this is consistent with the correlation reflecting debt-financed overspending through what Muellbauer (2012) calls the "housing-collateral household-demand" and Mian and Sufi (2018) the "debt-driven household demand" channel. The correlation is thus spurious and an example of omitted-variable bias. A simple model shows that consumption and debt changes are directly and strongly positively correlated, whereas consumption and debt levels are quite weakly negatively correlated. Importantly, and in contrast, examples show that there is no systematic relation between consumption cuts and levels of or changes in LTV ratios. The lack of a robust relation between consumption cuts and levels of or changes in LTV ratios implies that tests of these hypotheses should generally not be done by regressions of consumption cuts on levels of or changes in LTV ratios.

  • 45.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi. Stockholm School of Economics, Sweden; Centre for Economic Policy Research (CEPR), United Kingdom; National Bureau of Economic Research (NBER), USA.
    How to Weigh Unemployment Relative to Inflation in Monetary Policy?2014Ingår i: JOURNAL OF MONEY CREDIT AND BANKING, ISSN 0022-2879, Vol. 46, s. 183-188Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The monetary policy mandate for the Federal Reserve and of the Riksbank are essentially the same and boil down to stabilizing inflation around the inflation target and employment or unemployment around a long-run sustainable rate. The relative weight on stabilizing unemployment or employment versus stabilizing inflation may be close to one. A positive unemployment-gap forecast normally calls for a positive inflation-gap forecast.

  • 46.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi. Swedish Institute for Financial Research (SIFR), Sweden.
    Inflation Targeting and "Leaning against the Wind"2014Ingår i: The International Journal of Central Banking, ISSN 1815-4654, E-ISSN 1815-7556, Vol. 10, nr 2, s. 103-114Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Should inflation targeting involve some leaning against the wind? Sweden provides a case study, since the Riksbank has been leaning against the wind since 2010, stating concerns about risks associated with the household debt-to-income ratio. The cost of this policy in terms of low inflation and high unemployment is high. According to the Riksbank's own analysis, the policy rate effect on household indebtedness is very small, and any effect on risks associated with household debt is miniscule. Indeed, much lower inflation than expected has increased households' debt burden and, if anything, increased such risks.

  • 47.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Practical Monetary Policy: Examples from Sweden and the United States2011Ingår i: Brookings papers on economic activity (Print), ISSN 0007-2303, E-ISSN 1533-4465, s. 289-352Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In the summer of 2010, the Federal Reserve's and the Swedish Riksbank's inflation forecasts were below the former's mandate-consistent rate and the latter's target, respectively, and their unemployment forecasts were above sustainable rates. Conditions in both countries clearly called for policy easing. The Federal Reserve maintained a minimum policy rate, soon started to communicate possible future easing, and in the fall launched QE2. In contrast, the Riksbank started a period of rapid tightening. I find the arguments against the Federal Reserve's easing and the arguments for the Riksbank's tightening unconvincing. Although the Swedish economy subsequently performed better than expected, probably an important reason was that the market implemented much easier financial conditions than were consistent with the Riksbank's policy rate path. Without the policy tightening, performance would have been even better. The U.S. economy meanwhile performed worse than expected because of factors other than monetary policy. Without the policy easing, performance would have been even worse. In short, the Riksbank did the wrong thing but was lucky, whereas the Federal Reserve did the right thing but was unlucky.

  • 48.
    Svensson, Lars E. O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi. Centre for Economic Policy Research (CEPR), Bulgaria; National Bureau of Economic Research (NBER), USA.
    The Possible Unemployment Cost of Average Inflation below a Credible Target2015Ingår i: American Economic Journal: Macroeconomics, ISSN 1945-7707, E-ISSN 1945-7715, Vol. 7, nr 1, s. 258-296Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    If inflation expectations become firmly anchored at the inflation target even when average inflation deviates from the target, the long-run Phillips curve becomes nonvertical. During 1997-2011, average inflation expectations in Sweden have been close to the inflation target of 2 percent, whereas average inflation has fallen short of the target by 0.6 percentage points. The estimates reported suggest that the slope of the long-run Phillips curve is about 0.75. Then the average unemployment rate has been about 0.8 percentage points higher than if average inflation had been on target. This is a large unemployment cost of undershooting the inflation target.

  • 49.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS1991Rapport (Övrigt vetenskapligt)
    Abstract [en]

    The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by the adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is nontrivial because exchange rates within ERM bands display mean reversion rather than random walk (unit root) behavior. The adjustment is essential since expected rates of depreciation within the band are usually of about the same magnitude as interest rate differentials.

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  • 50.
    Svensson, Lars E.O.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutet för internationell ekonomi.
    Comment on Michael Woodford, 'Inflation Targeting and Financial Stability'2012Ingår i: Sveriges Riksbank Economic Review, ISSN 2001-029X, nr 1, s. 33-39Artikel i tidskrift (Övrigt vetenskapligt)
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