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Hot and Cold Housing Markets: International Evidence
Ceron, Jose A.; Suarez, Javier - C.E.P.R. Discussion Papers - 2006
This paper examines the experience of 14 developed countries for which there are about 30 years of quarterly inflation-adjusted housing price data. Price dynamics is modelled as a combination of a country-specific component and a cyclical component. The cyclical component is a two-state Markov...
Persistent link: https://www.econbiz.de/10005792537
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Money in Monetary Policy Design under Uncertainty: The Two-Pillar Phillips Curve versus ECB-Style Cross-Checking
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2007
The European Central Bank has assigned a special role to money in its two pillar strategy and has received much criticism for this decision. In this paper, we explore possible justifications. The case against including money in the central bank's interest rate rule is based on a standard model...
Persistent link: https://www.econbiz.de/10005792117
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Limitations on the Effectiveness of Forward Guidance at the Zero Lower Bound
Levin, Andrew; López-Salido, J David; Nelson, Edward; … - C.E.P.R. Discussion Papers - 2009
contractionary demand shock; moreover, that literature apparently leaves little scope for any further improvements in stabilization … New Keynesian model and examine whether those conclusions are sensitive to the specification of the shock process and to … guidance could be sufficient for mitigating the effects of a 'Great Moderation'-style shock, a combination of forward guidance …
Persistent link: https://www.econbiz.de/10008509467
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New-Keynesian Macroeconomics and the Term Structure
Bekaert, Geert; Cho, Seonghoon; Moreno Ibáñez, Antonio - C.E.P.R. Discussion Papers - 2006
This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with unobservable processes for the inflation target and the natural rate of output which are filtered...
Persistent link: https://www.econbiz.de/10005136692
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Money in Monetary Policy Design: A Formal Characterization of ECB-Style Cross-Checking
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2007
The European Central Bank has assigned a special role to money in its two pillar strategy and has received much criticism for this decision. The case against including money in the central bank's interest rate rule is based on a standard model of the monetary transmission process that underlies...
Persistent link: https://www.econbiz.de/10005497931
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Central Bank Misperceptions and the Role of Money in Interest Rate Rules
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2008
Research with Keynesian-style models has emphasized the importance of the output gap for policies aimed at controlling inflation while declaring monetary aggregates largely irrelevant. Critics, however, have argued that these models need to be modified to account for observed money growth and...
Persistent link: https://www.econbiz.de/10005656152
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Money in monetary policy design: Monetary cross-checking in the New-Keynesian model
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2009
In the New-Keynesian model, optimal interest rate policy under uncertainty is formulated without reference to monetary aggregates as long as certain standard assumptions on the distributions of unobservables are satisfied. The model has been criticized for failing to explain common trends in...
Persistent link: https://www.econbiz.de/10008577801
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Learning, Endogenous Indexation and Disinflation in the New-Keynesian Model
Wieland, Volker - C.E.P.R. Discussion Papers - 2008
This paper introduces adaptive learning and endogenous indexation in the New-Keynesian Phillips curve and studies disinflation under inflation targeting policies. The analysis is motivated by the disinflation performance of many inflation-targeting countries, in particular the gradual Chilean...
Persistent link: https://www.econbiz.de/10005114241
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - C.E.P.R. Discussion Papers - 2010
We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary...
Persistent link: https://www.econbiz.de/10008784723
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Loss Aversion and the Asymmetric Transmission of Monetary Policy
Gaffeo, Edoardo; Petrella, Ivan; Pfajfar, Damjan; … - C.E.P.R. Discussion Papers - 2014
There is widespread evidence that monetary policy exerts asymmetric effects on output over contractions and expansions in economic activity, while price responses display no sizeable asymmetry. To rationalize these facts we develop a dynamic general equilibrium model where households’ utility...
Persistent link: https://www.econbiz.de/10011084378