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Expectations, Bond Yields and Monetary Policy
Chun, Albert Lee - EconWPA - 2005
market prices of risk, with forecasted GDP growth playing a dominant role. The estimated coe±cients from a forward …
Persistent link: https://www.econbiz.de/10005076986
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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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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
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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
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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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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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Optimal Monetary Policy under Heterogeneous Expectations
Gomes, Orlando - EconWPA - 2004
Monetary policy has an important role in the determination of the inflation rate and the output gap time trajectories. Monetary authorities should choose the nominal interest rate time path that best serves the goals of price stability (primarily) and output growth (as a consequence of the...
Persistent link: https://www.econbiz.de/10005126273
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Are Europe Interest Rates led by FED's Announcements?
Monticini; Vaciago - EconWPA - 2004
This paper investigates the degree and nature of economic and monetary policy relations among the United States, the euro area, and the British area. 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/10005126296