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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 quantify the extent to which the disagreement still...

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

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

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

Fiscal rules and monetary policy in a dynamic stochastic general equilibrium model

Kremer, Jana - Deutsche Bundesbank - 2004

In this paper an anti-cyclical fiscal policy rule is introduced into a dynamic stochastic general equilibrium model with New-Keynesian features. The rule allows the deficit to deviate from target in proportion to the impact of automatic stabilisers while any additional impact on the deficit, for...

Persistent link: https://www.econbiz.de/10005083214

Money in a New-Keynesian model estimated with German data

Werner, Thomas; Lombardo, Giovanni; Kremer, Jana - Deutsche Bundesbank - 2003

In this paper we estimate a simple New-Keynesian DSGE model with German data for the sample period 1970:q1 to 1998:q4. Contrary to a number of recent similar papers estimated with US and euro-area data, we find that real money balances contribute significantly to the determination of inflation...

Persistent link: https://www.econbiz.de/10005083222

Restructuring counterparty credit risk

Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...

Persistent link: https://www.econbiz.de/10010957120

Heterogeneity in money holdings across euro area countries: The role of housing

Setzer, Ralph; van den Noord, Paul; Wolff, Guntram B. - Deutsche Bundesbank - 2010

In this paper we examine why monetary aggregates of euro area Member States have developed differently since the inception of the euro. We derive a money demand equation that incorporates housing wealth and collateral as well as substitution effects on real money holdings. Empirically, we show...

Persistent link: https://www.econbiz.de/10008509091

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - Deutsche Bundesbank - 2015

. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold … financial shocks have an insignificant effect on the global economy when borrowers have unconstrained access to credit. On the … shocks are a relatively more important driver of US and global business cycles in times of tight credit. …

Persistent link: https://www.econbiz.de/10011212003

The effect of the interbank network structure on contagion and common shocks

Georg, Co-Pierre - Deutsche Bundesbank - 2011

This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked via interbank loans and face stochastic deposit supply....

Persistent link: https://www.econbiz.de/10009372146

NAIRU estimates for Germany: New evidence on the inflation-unemployment trade-off

Kajuth, Florian - Deutsche Bundesbank - 2010

The paper estimates the NAIRU from a Phillips curve relationship in the state-space framework. To identify the inflation-unemployment trade-off we account for a time-varying inflation trend to control for the part of inflation that is not affected by the cyclical component of unemployment. In...

Persistent link: https://www.econbiz.de/10008674218

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