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The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks
Thornton, Daniel L. - Federal Reserve Bank of St. Louis - 2009
It is common practice to estimate the response of asset prices to monetary policy actions using market-based measures …
Persistent link: https://www.econbiz.de/10005077869
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The monetary instrument matters
Gavin, William T.; Keen, Benjamin D.; Pakko, Michael R. - Federal Reserve Bank of St. Louis - 2005
. Those counterfactual implications are eliminated by the use of interest rate rules whether prices are sticky or not. A …
Persistent link: https://www.econbiz.de/10005352925
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Sticky-price models and the natural rate hypothesis
Andres, Javier; López-Salido, J. David; Nelson, Edward - Federal Reserve Bank of St. Louis - 2005
A major criticism of standard specifications of price adjustment in models for monetary policy analysis is that they violate the natural rate hypothesis by allowing output to differ from potential in steady state. In this paper we estimate a dynamic optimizing business cycle model whose...
Persistent link: https://www.econbiz.de/10005707655
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Optimal monetary policy, endogenous sticky prices and multiplicity of equilibria
Barseghyan, Levon; DiCecio, Riccardo - Federal Reserve Bank of St. Louis - 2007
We analyze optimal discretionary monetary policy in an endogenous sticky prices model. Similar models with exogenous … sticky prices can deliver multiple equilibria. This is a necessary condition for the occurrence of expectation traps (when …-inflation equilibrium. With endogenous sticky prices, the monetary authority does not validate high-inflation expectations and deviates to …
Persistent link: https://www.econbiz.de/10005707710
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Selecting an intermediate target variable for monetary policy when the goal is price stability
Belongia, Michael T. - Federal Reserve Bank of St. Louis - 1992
Conventional investigations of the "best" intermediate target variable for monetary policy have used a single criterion: the best fit between the behavior of an aggregate and that of some goal variable such as nominal spending or the aggregate price level. Ignored in this type of study, however,...
Persistent link: https://www.econbiz.de/10005490886
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The low-frequency impact of daily monetary policy shocks
Francis, Neville; Ghysels, Eric; Owyang, Michael T. - Federal Reserve Bank of St. Louis - 2011
With rare exception, studies of monetary policy tend to neglect the timing of the innovations to the monetary policy instrument. Models which do take timing seriously are often difficult to compare to standard VAR models of monetary policy because of the differences in the frequency that they...
Persistent link: https://www.econbiz.de/10008872024
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Testing asset pricing models with Euler equations: it's worse than you think
Neely, Christopher J. - Federal Reserve Bank of St. Louis - 1995
This paper reexamines the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) and Hansen and Jagannathan's (1989) estimation-free tests on simulated data from a more plausible consumption based asset pricing model. Previous studies are incomplete and misleading. A...
Persistent link: https://www.econbiz.de/10005360557
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The cyclical relationship between output and prices: an analysis in the frequency domain
Pakko, Michael R. - Federal Reserve Bank of St. Louis - 1997
Recent research showing negative correlations between detrended output and prices during the postwar period has brought … into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to … the sample period considered. This paper examines the relationship between output and prices in the frequency domain …
Persistent link: https://www.econbiz.de/10005360577
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Modelling the MIB30 implied volatility surface. Does market efficiency matter?
Cassesse, Gianluca; Guidolin, Massimo - Federal Reserve Bank of St. Louis - 2005
prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage …
Persistent link: https://www.econbiz.de/10005360595
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Aggregate price shocks and financial instability: a historical analysis
Bordo, Michael D.; Dueker, Michael J.; Wheelock, David C. - Federal Reserve Bank of St. Louis - 2001
This paper presents empirical evidence on the hypothesis that aggregate price disturbances cause or worsen financial distress. We construct two annual indexes of financial conditions for the United States covering 1790-1997, and estimate the effect of aggregate price shocks on each index using a...
Persistent link: https://www.econbiz.de/10005360618