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Monetary Policy Drivers of Bond and Equity Risks

Campbell, John Y. - 2014

with habit formation preferences that prices both bonds and stocks. The model attributes the increase in bond risks in the … 1980s to a shift towards strongly anti-inflationary monetary policy, while the decrease in bond risks after 2000 is …. Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks …

Persistent link: https://www.econbiz.de/10012458594

The I Theory of Money

Brunnermeier, Markus K. - 2016

A theory of money needs a proper place for financial intermediaries. Intermediaries diversify risks and create inside money. In downturns, micro-prudent intermediaries shrink their lending activity, fire-sell assets and supply less inside money, exactly when money demand rises. The resulting...

Persistent link: https://www.econbiz.de/10012456146

Macroeconomic Regimes

Baele, Lieven - 2011

We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary...

Persistent link: https://www.econbiz.de/10012461567

A New Keynesian Perspective on the Great Recession

Ireland, Peter N. - 2010

With an estimated New Keynesian model, this paper compares the "Great Recession" of 2007-09 to its two immediate predecessors in 1990-91 and 2001. The model attributes all three downturns to a similar mix of aggregate demand and supply disturbances. The most recent series of adverse shocks...

Persistent link: https://www.econbiz.de/10012462236

Can Learnability Save New-Keynesian Models?

Cochrane, John H. - 2009

not. However, he assumes that agents can directly observe the monetary policy shock. Reversing this assumption, I find the …

Persistent link: https://www.econbiz.de/10012463190

News Shocks and Optimal Monetary Policy

Lorenzoni, Guido - 2007

socially desirable. I consider an environment with dispersed information and two aggregate shocks: a productivity shock and a … "news shock" which affects aggregate beliefs. Neither the central bank nor individual agents can distinguish the two shocks …

Persistent link: https://www.econbiz.de/10012465758

Real Business Cycles : A New Keynesian Perspective

Mankiw, N. Gregory - 1989

This paper is a critique of the latest new classical theory of economic fluctuations. According to this theory, the business cycle is the natural and efficient response of the economy to exogenous changes in the available production technology. This paper discusses several versions of this...

Persistent link: https://www.econbiz.de/10012476172

Supply Shocks and Optimal Monetary Policy

Turnovsky, Stephen J. - 1986

completely general supply disturbances, using simple monetary rules based only on: (i) the current shock, (ii) the previous … forecast of the current shock, (iii) the forecast for just one period ahead. The optimal rule can be expressed in an infinite …

Persistent link: https://www.econbiz.de/10012477084

Identifying Monetary Policy Shocks Using the Central Bank's Information Set

Bachmann, Ruediger; Gödl-Hanisch, Isabel; Sims, Eric R. - National Bureau of Economic Research - 2021

movements in the policy rate unrelated to economic conditions. We then compute the effects of a monetary policy shock on the … aggregate economy using local projection methods. We find that a contractionary monetary policy shock has a limited negative …

Persistent link: https://www.econbiz.de/10012794600

The Macroeconomic Stabilization of Tariff Shocks : What is the Optimal Monetary Response?

Bergin, Paul R. - 2020

In the wake of Brexit and the Trump tariff war, central banks have had to reconsider the role of monetary policy in managing the economic effects of tariff shocks, which may induce a slowdown while raising inflation. This paper studies the optimal monetary policy responses using a New Keynesian...

Persistent link: https://www.econbiz.de/10012481952