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Fratzscher, Marcel; Große Steffen, Christoph; Rieth, Malte - 2018

We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting...

Persistent link: https://www.econbiz.de/10011790769

When is foreign exchange intervention effective? : evidence from 33 countries

Fratzscher, Marcel; Gloede, Oliver; Menkhoff, Lukas; … - 2017 - Revised version: April 2017

This study examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing...

Persistent link: https://www.econbiz.de/10011638977

When is foreign exchange intervention effective? : evidence from 33 Countries

Fratzscher, Marcel; Gloede, Oliver; Menkhoff, Lukas; … - 2015

This study examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and a highly effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works very well in terms...

Persistent link: https://www.econbiz.de/10011382669

Reform der geldpolitischen Strategie der Europäischen Zentralbank

Lommatzsch, Kirsten; Tober, Silke - In: DIW Wochenbericht 70 (2003) 7, pp. 110-117

Über die geldpolitische Strategie der Europäischen Zentralbank (EZB) ist in den vier Jahren ihres Bestehens vielfach …. Für ein deutlich über null liegendes Inflationsziel der Zentralbank spricht zudem, dass Qualitätsverbesserungen bei der … Inflationsmessung unvollständig erfasst werden und die Zentralbank bei konjunkturellen Übersteigerungen oder Einbrüchen einen gewissen …

Persistent link: https://www.econbiz.de/10011601416

Time-varying Nairu and real interest rates in the Euro Area

Logeay, Camille; Tober, Silke - 2003

This paper analyses the Nairu in the Euro Area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here for the first time using explicit...

Persistent link: https://www.econbiz.de/10011438545

Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area

Fratzscher, Marcel; Rieth, Malte - 2015

The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall...

Persistent link: https://www.econbiz.de/10010479938

On the international spillovers of US quantitative easing

Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013

The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...

Persistent link: https://www.econbiz.de/10009763863

Euro area government bonds : integration and fragmentation during the sovereign debt crisis

Ehrmann, Michael; Fratzscher, Marcel - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

Persistent link: https://www.econbiz.de/10010519824

Noisy monetary policy

Dahlhaus, Tatjana; Gambetti, Luca - 2018

We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information ("news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise. We employ a non-standard...

Persistent link: https://www.econbiz.de/10011864556

Monetary policy uncertainty : a tale of two tails

Dahlhaus, Tatjana; Sekhposyan, Tatevik - 2018

We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected)...

Persistent link: https://www.econbiz.de/10011903823