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exclusively on the anchoring of short- to medium-term inflation expectations (Part 2). Several measures show that this anchoring … expectations has on the determination of the short- to medium-term inflation rate. From this point of view, observed inflation in … on the other aspect of monetary stability: the degree of price-level uncertainty and the anchoring of inflation …
Persistent link: https://www.econbiz.de/10005056542
In this paper, we analyse the interactions between monetary and macro-prudential policies and the circumstances under which such interactions call for their coordinated implementation. We start with a review of the interdependencies between monetary and macro-prudential policies. Then, we use a...
Persistent link: https://www.econbiz.de/10010815922
inflation dynamics across four “policy regimes” depending on: (a) the monetary policy objectives – that is, whether the policy …
Persistent link: https://www.econbiz.de/10010816001
Reserve requirements are a prominent policy instrument in many emerging countries. The present study investigates the circumstances under which reserve requirements are an appropriate policy tool for price or financial stability. We consider a small open economy model with sticky prices,...
Persistent link: https://www.econbiz.de/10009651278
monetary policy in the United States, in particular its interaction with the formation of inflation expectations and the … linkages between monetary policy, inflation expectations and the behaviour of CPI inflation. We use Livingston Survey data for … expected inflation, measured at a bi-annual frequency, actual inflation, unemployment and a nominal interest rate to estimate …
Persistent link: https://www.econbiz.de/10010816004
Persistent link: https://www.econbiz.de/10008528492
Estimating a forward-looking monetary policy rule by the Generalized Method of Moments (GMM) has become a popular approach since the influential paper by Clarida, Gali, and Gertler (1998). However, an abundant econometric literature underlines the unappealing small-samples properties of GMM...
Persistent link: https://www.econbiz.de/10005671910
In this paper, we estimate the determinants of the spreads between the 10-year sovereign bond yields and the (interest rate) swap rate for a sample of 22 OECD countries over the January 1999-December 2013 period, using various models. Our main, fixed-effect, model highlights the crucial role of...
Persistent link: https://www.econbiz.de/10010815955
Using two estimated models for the euro area and the United States, this paper investigates whether the observed difference in the amplitude of the interest rate cycle since 1999 in both areas is due to differences in the estimated monetary policy reaction function, differences in the structure...
Persistent link: https://www.econbiz.de/10004998810
In this paper we propose an approach to Asset Liability Management of various institutions, in particular insurance companies, based on a dual VaR constraint for the asset and the surplus. A key ingredient of this approach is a flexible modelling of the term structure of interest rates leading...
Persistent link: https://www.econbiz.de/10008531413