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Identifying the interdependence between US monetary policy and the stock market
Bjørnland, Hilde; Leitemo, Kai - Suomen Pankki - 2005
-run and long-run restrictions that maintains the qualitative proper-ties of a monetary policy shock found in the established … fall by 1.5 per cent due to a monetary policy shock that raises the federal funds rate by ten basis points. A stock price … shock in-creasing stock prices by one per cent leads to an increase in the interest rate of five basis points. Stock price …
Persistent link: https://www.econbiz.de/10005423727
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Monetary policy and rejections of the expectations hypothesis
Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2006
We study the rejection of the expectations hypothesis within a New Keynesian business cycle model. Earlier research has shown that the Lucas general equilibrium asset pricing model can account for neither sign nor magnitude of average risk premia in forward prices, and is unable to explain...
Persistent link: https://www.econbiz.de/10005648886
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Liquidity and market efficiency : alive and well?
Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015
On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...
Persistent link: https://www.econbiz.de/10011414459
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A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions
Marzo, Massimiliano; Romagnoli, Silvia; Zagaglia, Paolo - Suomen Pankki - 2008
We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to...
Persistent link: https://www.econbiz.de/10005648966
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Discretion and the transmission lags of monetary policy
Kilponen, Juha; Leitemo, Kai - Suomen Pankki - 2007
Monetary policy transmission lags create credibility problems for the inflation-targeting policy maker who acts under discretion. We show that if prices react to monetary policy with a longer lag than output, the welfare maximizing inflationtargeting policy implies no policy stabilization of...
Persistent link: https://www.econbiz.de/10005423712
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Asymmetries in the Euro area economy
Mayes, David G.; Virén, Matti - Suomen Pankki - 2004
Using quarterly data for the period since 1987 this paper explores, in the context of a small model of the EU economy, the degree to which monetary policy has been asymmetric. It shows in particular that monetary policy has been much more responsive to threats that inflation would lie outside...
Persistent link: https://www.econbiz.de/10005648903
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Central bank liquidity auction mechanism design and the interbank market
Ollikka, Kimmo; Tukiainen, Janne - Suomen Pankki - 2013
We study whether the mechanism design in the central bank liquidity auctions matters for the interbank money market interest rate levels and volatility. Furthermore, we compare different mechanisms to sell liquidity in terms of revenue, efficiency and auction stage interest rate levels and...
Persistent link: https://www.econbiz.de/10010698833
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Monetary policy, expected inflation and inflation risk premia
Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2007
Within a New Keynesian business cycle model, we study variables that are normally unobservable but are very important for the conduct of monetary policy, namely expected inflation and inflation risk premia. We solve the model using a third-order approximation that allows us to study time-varying...
Persistent link: https://www.econbiz.de/10005648925
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Welfare and bond pricing implications of fiscal stabilization policies
Christoffel, Kai; Jaccard, Ivan; Kilponen, Juha - Suomen Pankki - 2013
How do cyclical fiscal stabilisation policies affect welfare and government bond risk premia? Using a new Keynesian model we find that the effects of fiscal policy rules on the bond premium and welfare crucially depend on the source of business cycle fluctuations. The overall effect is estimated...
Persistent link: https://www.econbiz.de/10010818989
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Essays on macroeconomic effects of fiscal policy rules
Railavo, Jukka - Suomen Pankki - 2006
Economic and Monetary Union (EMU) can be characterised as a complicated set of legislation and institutions governing monetary and fiscal responsibilities. The measures of fiscal responsibility are to be guided by the Stability and Growth Pact (SGP), which sets rules for fiscal policy and makes...
Persistent link: https://www.econbiz.de/10008774227