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Expectations, Bond Yields and Monetary Policy

Chun, Albert Lee - EconWPA - 2005

Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage- free model of the yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...

Persistent link: https://www.econbiz.de/10005076986

Liquidity Trap Prevention and Escape: A Simple Proposition

Cai, Junning - EconWPA - 2004

Liquidity traps occur when the natural nominal interest rate becomes negative. In a model with capital price dynamics … explicitly considered, we find that shocks in the future can cause current and lasting liquidity traps. We propose that the … central bank can prevent or fix liquidity traps by appending to its inflation-targeting monetary policy with a prioritized …

Persistent link: https://www.econbiz.de/10005561118

Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence

Brand, Claus; Reimers, Hans-Eggert; Seitz, Franz - EconWPA - 2003

This paper analyses the information content of M1 for euro area real GDP since the beginning of the 1980s. After a literature review on the empirical results in individual euro area countries we review some theoretical arguments why real narrow money growth might be an important determinant of...

Persistent link: https://www.econbiz.de/10005125006

Monetary policy and the term structure of interest rates in a small open economy - a model framework approach

Kotlán, Viktor - EconWPA - 2001

Using a simple single-equation approach, many studies have shown that the term structure of interest rates or its approximation – the term spread is a potentially useful indicator of future inflation and/or future real economic activity. We argue that these results may be biased due to the...

Persistent link: https://www.econbiz.de/10005412662

Estimating a European Demand for Money

Hayo, Bernd - EconWPA - 1998

European Monetary Union will come into existence in 1999. This raises questions related to the monetary policy targets that will be adopted by the European Central Bank (ECB). For both likely candidates, targeting a money aggregate or an inflation target, the existence of a stable money demand...

Persistent link: https://www.econbiz.de/10005412709

THE ROLES OF MONEY IN AN ECONOMY AND THE OPTIMUM QUANTITY OF MONEY

Feige, Edgar L.; Parkin, M.; Avery, R; Stones, C. - EconWPA - 2005

What is the optimum quantity of money in a society? This paper answers this question both from the perspective of a utility maximizing model with real balances in the utility function, and employing an inventory theoretic model which focuses attention on the costs of transacting in different...

Persistent link: https://www.econbiz.de/10005076699

Monetary Aggregation

Barnett, William - EconWPA - 2005

on monetary aggregation and index number theory, from its origins in 1980 to the current time. At the end of this … multicountry areas, such as the euro area. Research on monetary aggregation theory has been especially successful in solving the …

Persistent link: https://www.econbiz.de/10005126328

Interest Rate Rules and the Response to the Output Gap

Paez-Farrell, Juan - EconWPA - 2005

Modern monetary policy analysis is built around the concept of an interest rate rule that responds to both inflation and output. This paper evaluates the quantitative implications of having a policy rule target different definitions of the output gap in a New Keynesian model with endogenous...

Persistent link: https://www.econbiz.de/10005561337

The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy

Schnabl, Gunther; Danne, Christian - EconWPA - 2005

This paper studies the role of the yen/dollar exchange rate in the Bank of Japan’s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999....

Persistent link: https://www.econbiz.de/10005119427

Are Europe's Interest Rates led by FED Announcements?

Monticini, Andrea; Vaciago, Giacomo - EconWPA - 2005

This paper investigates the degree and nature of economic and monetary policy relations among the United States, the Euro area, and Great Britain. Using daily interest rates, we estimate the impact of monetary policy announcements of a Central Bank on its domestic market and in what measure...

Persistent link: https://www.econbiz.de/10005412842