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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 …
Persistent link: https://www.econbiz.de/10010957085
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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
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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 … real-time estimation problem for the policy evaluation. Third, I exploit TANKAN to enhance the usefulness of the real …
Persistent link: https://www.econbiz.de/10005083207
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The New Keynesian Phillips Curve in Europe: does it fit or does it fail?
Tillmann, Peter - Deutsche Bundesbank - 2005
The canonical New Keynesian model specifies inflation as the present-value of future real marginal cost. This paper tests this New Keynesian Phillips Curve and exploits projections of future real marginal cost generated by VAR models to assess the model's ability to match the behavior of actual...
Persistent link: https://www.econbiz.de/10005083208
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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
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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
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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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Cyclical implications of minimum capital requirements
Heid, Frank - Deutsche Bundesbank - 2005
Capital requirements play a key role in the supervision and regulation of banks. The Basel Committee on Banking Supervision is now changing the current framework by introducing risk-sensitive capital charges. There have been concerns that this will unduly increase volatility in the banks'...
Persistent link: https://www.econbiz.de/10005082755
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Profitability of Western European banking systems: panel evidence on structural and cyclical determinants
Beckmann, Rainer - Deutsche Bundesbank - 2007
This paper analyses structural and cyclical determinants of banking profitability in 16 Western European countries. We find that financial structure matters, particularly through the beneficial effect of the capital market orientation in the respective national financial system. Furthermore,...
Persistent link: https://www.econbiz.de/10005082802
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The reliability of Canadian output gap estimates
Cayen, Jean-Philippe; van Norden, Simon - Deutsche Bundesbank - 2004
Recent work on policy rules under uncertainty have highlighted the impact of output gap measurement errors on economic outcomes and their importance in the formulation of appropriate policy rules. This paper investigates the reliability of current estimates of the output gap in Canada. We begin...
Persistent link: https://www.econbiz.de/10005083193