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Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
Challe, E.; Giannitsarou, C. - Banque de France - 2011
Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.5 to 2.3 percent, followed...
Persistent link: https://www.econbiz.de/10009145706
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Understanding Asset Prices: Determinants and Policy Implications.
Clerc, L. - Banque de France - 2007
, the role played by "excess liquidity" in shaping current developments. Additional factors related to fierce competition in …
Persistent link: https://www.econbiz.de/10004998854
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Excès de liquidité monétaire et prix des actifs.
Gouteron, S.; Szpiro, D. - Banque de France - 2005
The recent rise of excess liquidity in the United States and in the euro zone did not result in a resurgence of … inflation. Excess liquidity, rather than heading towards the market of consumer goods, could have moved towards the asset … Kingdom and Japan, there's no element pointing out an effect of excess liquidity on asset prices: there is no common trend in …
Persistent link: https://www.econbiz.de/10005056539
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Tails of Inflation Forecasts and Tales of Monetary Policy
Andrade, P.; Ghysels, E.; Idier, J. - Banque de France - 2012
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do...
Persistent link: https://www.econbiz.de/10010815970
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The changing role of expectations in US monetary policy: A new look using the Livingston Survey
Banerjee, A.; Malik, S. - Banque de France - 2012
Using a Bayesian structural vector autoregression (TVP-SVAR) with time-varying parameters and volatility we investigate monetary policy in the United States, in particular its interaction with the formation of inflation expectations and the linkages between monetary policy, inflation...
Persistent link: https://www.econbiz.de/10010816004
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Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques.
Gautier, E. - Banque de France - 2008
Microeconomic price rigidity is one of the main assumptions of the neo-keynesian macroeconomic models. Firms are not able to adjust continuously their prices. In this paper, we make a synthesis of the main microeconomic price setting theoretical models and of their empirical counterparts. Price...
Persistent link: https://www.econbiz.de/10008528492
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Price Stability and The ECB's Monetary Policy Strategy
Bordes, C.; Clerc, L. - Banque de France - 2004
is effective. Modern New Keynesian theory is an appropriate framework for analysing the impact that this anchoring of … the euro area seems to be in line with the theory and the ECB's action seems to be very effective. Thirdly, we will focus …
Persistent link: https://www.econbiz.de/10005056542
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Monetary Policy Inertia or Persistent Shocks?
Carrillo, J.; Fève, P.; Matheron, J. - Banque de France - 2006
In this paper, we propose a simple econometric framework to disentangle the respective roles of monetary policy inertia and persistent shocks in interest rate rules. The procedure exploits the cross-equation restrictions provided by a DSGE model which is confronted to a monetary SVAR. We show...
Persistent link: https://www.econbiz.de/10005082518
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The Exchange Rate Pass-Through in the New EU Member States
Jimborean, R. - Banque de France - 2011
This paper aims to complete our understanding of the relationship between changes in nominal effective exchange rates and prices in the new EU member states. We investigate the exchange rate pass-through to import, producer and consumer prices for ten Central and Eastern European countries with...
Persistent link: https://www.econbiz.de/10009275674
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Does Inflation Targeting decrease Exchange Rate Pass-through in Emerging Countries?
Coulibaly, D.; Kempf, H. - Banque de France - 2010
In this paper, we empirically examine the effect of inflation targeting on the exchange rate pass-through to prices in emerging countries. We use a panel VAR that allows us to use a large dataset on twenty-seven emerging countries (fifteen inflation targeters and twelve inflation nontargeters)....
Persistent link: https://www.econbiz.de/10008692971