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Robust monetary policy in a model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - In: Journal of Macroeconomics 34 (2012) 2, pp. 318-325

We characterise optimal discretionary monetary policy responses to cost-push shocks and to financial distress in the presence of model uncertainty. Under robust control, the central bank reacts more aggressively to both types of shocks, and less to the lagged policy rate, than if the true model...

Persistent link: https://www.econbiz.de/10010875208

Chapter 15. New Methods for Macro-Financial Model Comparison and Policy Analysis

Wieland, V.; Afanasyeva, E.; Kuete, M.; Yoo, J. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1241-1319). 2016

The global financial crisis and the ensuing criticism of macroeconomics have inspired researchers to explore new modeling approaches. There are many new models that deliver improved estimates of the transmission of macroeconomic policies and aim to better integrate the financial sector in...

Persistent link: https://www.econbiz.de/10014024276

Parameter Instability, Model Uncertainty and the Choice of Monetary Policy

Favero, Carlo A.; Milani, Fabio - C.E.P.R. Discussion Papers - 2005

This paper starts from the observation that parameter instability and model uncertainty are relevant problems for the analysis of monetary policy in small macroeconomic models. We propose to deal with these two problems by implementing a novel ‘thick recursive modelling’ approach. At each...

Persistent link: https://www.econbiz.de/10005498117

Parameter Instability, Model Uncertainty and the Choice of Monetary Policy

Favero, Carlo; Milani, Fabio - In: Topics in Macroeconomics 5 (2005) 1, pp. 1208-1208

Persistent link: https://www.econbiz.de/10005579783

Robust monetary policy in a new Keynesian model with imperfect interest rate pass-through

Gerke, Rafael; Hammermann, Felix - In: Macroeconomic dynamics 20 (2016) 6, pp. 1504-1526

Persistent link: https://www.econbiz.de/10011623371

Gains from commitment in monetary policy: Implications of the cost channel

Demirel, Ufuk Devrim - In: Journal of Macroeconomics 38 (2013) PB, pp. 218-226

ample evidence for a cost channel, studies that evaluate the welfare gains from monetary policy commitment have so far … welfare gains from monetary policy commitment. I find that there is a robust positive relationship between the size of the … cost channel and welfare gains from monetary policy commitment. Using a version of the new Keynesian model calibrated to …

Persistent link: https://www.econbiz.de/10010719778

Resuscitating the ad hoc loss function for monetary policy analysis

Paez-Farrell, Juan - In: Economics Letters 123 (2014) 3, pp. 313-317

Working with micro-founded loss functions to derive and analyse optimal policy ensures consistency with the model used and overcomes the misleading prescriptions that result from using exogenous ad hoc loss functions. However, when allowance is made for the fact that different theories of...

Persistent link: https://www.econbiz.de/10010776629

Price-level targeting when there is price-level drift

Gerberding, Christina; Gerke, Rafael; Hammermann, Felix - In: Journal of Macroeconomics 34 (2012) 3, pp. 757-768

Recent research has shown that optimal monetary policy may display considerable price-level drift. Proponents of price-level targeting have argued that the costs of eliminating the price-level drift may be reduced if the central bank responds flexibly by returning the price level only gradually...

Persistent link: https://www.econbiz.de/10010595231

Quantitative easing and the loan to collateral value ratio

Damjanovic, Tatiana; Girdėnas, Šarūnas - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 146-164

We study optimal monetary policy in a New Keynesian model at the zero bound interest rate where households use cash alongside house equity borrowing to conduct transactions. The amount of borrowing is limited by a collateral constraint. When either the loan to value ratio declines or house...

Persistent link: https://www.econbiz.de/10011051939

Optimal monetary policy and downward nominal wage rigidity in frictional labor markets

Abo-Zaid, Salem - In: Journal of Economic Dynamics and Control 37 (2013) 1, pp. 345-364

This paper studies the optimal long-run inflation rate in a labor search and matching framework in the presence of downward nominal wage rigidity. Optimal monetary policy features positive inflation in the long run; the optimal annual long-run inflation rate for the U.S. economy is slightly...

Persistent link: https://www.econbiz.de/10011051955

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