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Price Stability and The ECB's Monetary Policy Strategy
Bordes, C.; Clerc, L. - Banque de France - 2004
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
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Reserve Requirements for Price and Financial Stability - When Are They Effective?
Glocker, C.; Towbin, P. - Banque de France - 2012
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
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Macro-prudential policy and the conduct of monetary policy.
Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2011
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
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Macro-Prudential Policy and the Conduct of Monetary Policy.
Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2012
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
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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
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
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Assessing GMM Estimates of the Federal Reserve Reaction Function.
Florens, C.; Jondeau, E.; Le Bihan, H. - Banque de France - 2001
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
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Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques.
Gautier, E. - Banque de France - 2008
on the inflation process. …
Persistent link: https://www.econbiz.de/10008528492
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How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies
Banerjee, A.; Bystrov, V.; Mizen, P. - Banque de France - 2012
In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model -...
Persistent link: https://www.econbiz.de/10009651277
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Determinants of OECD countries’ sovereign yields: safe havens, purgatory, and the damned.
Bortoli, C.; Harreau, L.; Pouvelle, C. - Banque de France - 2014
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
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Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
Monfort, A. - Banque de France - 2009
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