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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - European Central Bank - 2013
The paper analyses the global spillovers of the Federal Reserve’s unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to...
Persistent link: https://www.econbiz.de/10010686827
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How should central banks communicate?
Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2005
The paper shows that central bank communication is a key determinant of the market’s ability to anticipate monetary policy decisions and the future path of interest rates. Comparing communication policies by the Federal Reserve, the Bank of England and the ECB since 1999, we find that...
Persistent link: https://www.econbiz.de/10005530671
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Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006
The paper shows that there is a substantial degree of heterogeneity in forecast accuracy among Fed watchers. Based on a novel database for 268 professional forecasters since 1999, the average forecast error of FOMC decisions varies 5 to 10 basis points between the best and worst-performers...
Persistent link: https://www.econbiz.de/10005530863
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Social value of public information: testing the limits to transparency
Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2007
Transparency has become an almost universal virtue among central banks. The paper tests empirically, for the case of the Federal Reserve, two hypotheses about central bank transparency derived from the debate of Morris and Shin (2002) and Svensson (2006). First, the paper finds that the...
Persistent link: https://www.econbiz.de/10005227550
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Communication and decision-making by central bank committees: different strategies, same effectiveness?
Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2005
The paper assesses the communication strategies of the Federal Reserve, the Bank of England and the European Central Bank and their effectiveness. We find that the effectiveness of communication is not independent from the decisionmaking process in the committee. The paper shows that the Federal...
Persistent link: https://www.econbiz.de/10005162925
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Purdah: on the rationale for central bank silence around policy meetings
Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2008
Despite substantial differences in monetary policy and communication strategies, many central banks share the practice of purdah, a self-imposed guideline of abstaining from communication around policy meetings or other important events. This practice is remarkable, as it seems to contradict the...
Persistent link: https://www.econbiz.de/10005816165
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Global corporate bond issuance: what role for US quantitative easing?
Lo Duca, Marco; Nicoletti, Giulio; Vidal Martinez, Ariadna - European Central Bank - 2014
The paper investigates the impact of US quantitative easing (QE) on global non-financial corporate bond issuance. It distinguishes between two QE instruments, MBS/GSE debt and Treasury bonds, and disentangles between two channels of transmission of QE to global bond markets, namely flow effects...
Persistent link: https://www.econbiz.de/10010753743
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Are policy counterfactuals based on structural VAR's reliable?
Benati, Luca - European Central Bank - 2010
Based on standard New Keynesian models I show that policy counterfactuals based on the theoretical structural VAR representations of the models fail to reliably capture the impact of changes in the parameters of the Taylor rule on the (reduced-form) properties of the economy. Based on estimated...
Persistent link: https://www.econbiz.de/10008516221
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Risks to price stability, the zero lower bound and forward guidance: a real-time assessment
Coenen, Günter; Warne, Anders - European Central Bank - 2013
in the risk balance throughout our evaluation period because of the implied amplification of deflation risks. We then …
Persistent link: https://www.econbiz.de/10010693493
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The central bank as a risk manager: quantifying and forecasting inflation risks
Kilian, Lutz; Manganelli, Simone - European Central Bank - 2003
forecast the risks of worldwide deflation for horizons of up to two years. Although recently fears of worldwide deflation have … increased, we find that, as of September 2002, with the exception of Japan there is no evidence of substantial deflation risks …. We also put the estimates of deflation risk for the United States, Germany and Japan into historical perspective. We find …
Persistent link: https://www.econbiz.de/10005530801