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Collateral Constraints in a Monetary Economy
Cordoba, Juan Carlos; Ripoll, Marla - EconWPA - 2003
This paper studies the role of collateral constraints in transforming small monetary shocks into large persistent output fluctuations. We do this by introducing money in the heterogeneous-agent real economy of Kiyotaki and Moore (1997). Money enters in a cash-in-advance constraint and is...
Persistent link: https://www.econbiz.de/10005126270
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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
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The CNB’s Policy Decisions – Are They Priced in by the Markets?
Navrátil, David; Kotlán, Viktor - EconWPA - 2005
This paper asks to what extent the market prices in the future monetary policy decisions of the Czech National Bank (CNB), how this policy predictability has evolved over time, and whether the change in the central bank’s forecasting methodology in mid-2002 had any impact. Using a sample up to...
Persistent link: https://www.econbiz.de/10005561116
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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...
Persistent link: https://www.econbiz.de/10005561118
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Estimating the Natural Rate of Interest: A SVAR Approach
Brzoza-Brzezina, Michal - EconWPA - 2003
returns plausible results and thus seems to be well designed for the estimation of the natural rate of interest. We show that …
Persistent link: https://www.econbiz.de/10005076765
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MODELING INTEREST RATE TRANSMISSION DYNAMICS IN GREECE. IS THERE ANY STRUCTURAL BREAK AFTER EMU?
CHIONIS, DIONYSIOS; LEON, COSTAS - EconWPA - 2005
We examine the transmission process of the policy rate to the lending and deposit rates in Greece for the period 1996-2004 within bivariate cointegration and error correction framework. A significant structural break takes place with the accession of Greece into EMU in 2001. The bank rates...
Persistent link: https://www.econbiz.de/10005125020
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Liquidity Preference Theory Revisited—To Ditch or to Build on It?
Bibow, Joerg - EconWPA - 2005
This paper revisits Keynes’s liquidity preference theory as it evolved from the Treatise on Money to The General Theory … and after, with a view of assessing the theory’s ongoing relevance and applicability to issues of both monetary theory and … policy. Contrary to the neoclassical “special case” interpretation, Keynes considered his liquidity preference theory of …
Persistent link: https://www.econbiz.de/10005126066
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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
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Should Monetary Policy Respond to Asset Price Misalignments?
Kontonikas, Alexandros; Ioannidis, Christos - EconWPA - 2004
This paper analyses the relationship between monetary policy and asset prices using a structural rational expectations model that allows for the effect of asset prices on aggregate demand. We assume that asset prices follow a partial adjustment mechanism whereas they are positively affected by...
Persistent link: https://www.econbiz.de/10005076790
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Minsky's Acceleration Channel and the Role of Money
Hannsgen, Greg - EconWPA - 2003
effects of interest rate policy on the economy, answering the first question. A model based on Minsky's theory confirms the … plausibility of his theory. The model also shows that anti-inflationary policy destabilizes the economy and is therefore … are consistent with Minsky's theory. …
Persistent link: https://www.econbiz.de/10005561076