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Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012

SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...

Persistent link: https://www.econbiz.de/10011711529

The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics

Christoffel, Kai; Linzert, Tobias - Deutsche Bundesbank - 2006

In this paper we incorporate a labor market with matching frictions and wage rigidities into the New Keynesian business cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions affect the transmission process of monetary policy. The...

Persistent link: https://www.econbiz.de/10005083106

Money in monetary policy design under uncertainty: the Two-Pillar Phillips Curve versus ECB-style cross-checking

Beck, Günter W.; Wieland, Volker - Deutsche Bundesbank - 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/10005083254

Exchange rate dynamics, expectations, and monetary policy

Chen, Qianying - Deutsche Bundesbank - 2011

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...

Persistent link: https://www.econbiz.de/10009283654

Reconciling narrative monetary policy disturbances with structural VAR model shocks?

Kliem, Martin; Kriwoluzky, Alexander - Deutsche Bundesbank - 2013

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We … investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We … is measurement error in the narrative time series, another is a misspecification of the VAR model. …

Persistent link: https://www.econbiz.de/10010957085

Assessing macro-financial linkages: A model comparison exercise

Gerke, Rafael; Jonsson, Magnus; Kliem, Martin; Kolasa, … - Deutsche Bundesbank - 2012

The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial...

Persistent link: https://www.econbiz.de/10010957147

Shocks at large banks and banking sector distress: the Banking Granular Residual

Blank, Sven; Buch, Claudia M.; Neugebauer, Katja - Deutsche Bundesbank - 2009

Size matters in banking. In this paper, we explore whether shocks originating at large banks affect the probability of distress of smaller banks and thus the stability of the banking system. Our analysis proceeds in two steps. In a first step, we follow Gabaix (2008a) and construct a measure of...

Persistent link: https://www.econbiz.de/10005082809

The role of contracting schemes for the welfare costs of nominal rigidities over the business cycle

Paustian, Matthias - Deutsche Bundesbank - 2005

What is the role of contracting schemes for the welfare costs of nominal rigidities over the business cycle? We examine 4 different modeling schemes of nominal rigidities that all have the same average duration of contracts. We find that Calvo (1983) wage and price contracts may deliver welfare...

Persistent link: https://www.econbiz.de/10005083084

Real-Time Estimation of the Output Gap in Japan and its Usefulness for Inflation Forecasting and Policymaking

Kamada, Koichiro - Deutsche Bundesbank - 2004

This paper examines the methods used by the Bank of Japan for the estimation of the output gap. Attention is paid to the real-time estimation problem. After reviewing the evolution of output gap estimation at the Bank, I discuss advantages and disadvantages of the various output gap measures....

Persistent link: https://www.econbiz.de/10005083207

Identifying the role of labor markets for monetary policy in an estimated DSGE model

Christoffel, Kai Philipp; Küster, Keith; Linzert, Tobias - Deutsche Bundesbank - 2006

We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...

Persistent link: https://www.econbiz.de/10005083212

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