In this paper, we investigate empirically the relationship between inflation and inflation uncertainty in twelve EMU countries. We estimate a time-varying parameter model with a GARCH specification for the conditional volatility of inflation in order to distinguish between short-run (structural...

This paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of England’s Monetary Policy Committee on UK sectoral stock returns. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Using a...

This thesis examines the interaction between monetary policy, inflation and asset prices. The role of asset prices in the transmission mechanism of monetary policy viaconsumption wealth effects and investment balance sheet effects is receiving a growing degree of attention nowadays. Financial...

This paper analyses optimal monetary policy using a structural model of the economy that allows for the effect of changes in asset prices on aggregate demand. The important feature is that monetary policy is assumed to affect output and inflation not only directly via firms’ level of...

This paper examines the relationship between monetary policy and asset prices in the context of empirical policy rules. We begin our analysis by establishing the forecasting ability of house and stock price changes with respect to future aggregate demand. We then report estimates of monetary...

This paper examines the relationship between inflation-uncertainty and the impact of inflation targeting using British data over the period 1972-2002. Uncertainty is proxied using the estimated conditional volatility from symmetric, asymmetric, and component GARCH-M models of inflation. The...

This paper analyses optimal monetary policy using a structural model of the economy that allows for the effect of changes in asset prices on aggregate demand. The important feature is that monetary policy is assumed to affect output and inflation not only directly via firms’ level of...

This paper examines the relationship between monetary policy and asset prices in the context of empirical policy rules. We begin our analysis by establishing the forecasting ability of house and stock price changes with respect to future aggregate demand. We then report estimates of monetary...

This paper examines the relationship between inflation-uncertainty and the impact of inflation targeting using British data over the period 1972-2002. Uncertainty is proxied using the estimated conditional volatility from symmetric, asymmetric, and component GARCH-M models of inflation. The...