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Interest rate reaction functions for the euro area Evidence from panel data analysis

Ruth, Karsten - Deutsche Bundesbank - 2004

interest rate reaction functions based on a panel including actual EMU Member States. We find that exploiting the cross …-section dimen- sion of a multi-country panel and accounting for cross-country heterogeneity in advance of the single monetary policy … panel reaction function which is demonstrated to be a valuable tool for evaluating episodes of monetary policy since 1999. …

Persistent link: https://www.econbiz.de/10005083306

Simple interest rate rules with a role for money

Scharnagl, Michael; Gerberding, Christina; Seitz, Franz - Deutsche Bundesbank - 2007

The paper analyses the performance of simple interest rate rules which feature a response to noisy observations of inflation, output and money growth. The analysis is based on a small empirical model of the hybrid New Keynesian type which has been estimated on euro area data by Stracca (2007)....

Persistent link: https://www.econbiz.de/10005083317

Monetary policy and stock market volatility

Bleich, Dirk; Fendel, Ralf; Rülke, Jan-Christoph - Deutsche Bundesbank - 2013

We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the...

Persistent link: https://www.econbiz.de/10010984714

Money-based interest rate rules: lessons from German data

Gerberding, Christina; Seitz, Franz; Worms, Andreas - Deutsche Bundesbank - 2007

The paper derives the monetary policy reaction function implied by money growth targeting. It consists of an interest rate response to deviations of the inflation rate from target, to the change in the output gap, to money demand shocks and to the lagged interest rate. In the second part, it is...

Persistent link: https://www.econbiz.de/10005083083

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

How the Bundesbank really conducted monetary policy: An analysis based on real-time data

Gerberding, Christina; Worms, Andreas; Seitz, Franz - Deutsche Bundesbank - 2004

Papers estimating the reaction function of the Bundesbank generally find that its monetary policy from the 1970s to 1998 can well be captured by a standard Taylor rule according to which the central bank responds to the output gap and to deviations of inflation from target, but not to monetary...

Persistent link: https://www.econbiz.de/10005083284

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy

Heppke-Falk, Kirsten H.; Hüfner, Felix P. - Deutsche Bundesbank - 2004

This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation...

Persistent link: https://www.econbiz.de/10005083224

Informationsbrief zur Europäischen Wirtschafts- und Währungsunion

Deutsche Bundesbank - Frankfurt, M. : Bundesbank - Nr. 1.1996 - 17.1998

Persistent link: https://www.econbiz.de/10000601753

Die Europäische Wirtschafts- und Währungsunion : [Sonderveröffentlichung]

2005 - Abgeschlossen Mitte September 2005

Persistent link: https://www.econbiz.de/10003270793

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