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Ullersma, Cees; Berk, Jan Marc; Chapple, Bryan - de Nederlandsche Bank - 2006

We assess a New Keynesian macro-economic model that is supplemented with a micro-founded role for money in determining aggregate demand and supply in order to better describe monetary policy transmission. In this model welfare is higher if the monetary authority takes money growth explicitly...

Persistent link: https://www.econbiz.de/10005106641

The Impact of the LCR on the Interbank Money Market

Bonner, Clemens; Eijffinger, Sylvester - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the … banks from 2005 to 2011, we show that banks which are just above/below their short-term regulatory liquidity requirement pay … liquidity requirement's 30 day horizon. Being close to the minimum liquidity requirement induces banks to increase borrowing …

Persistent link: https://www.econbiz.de/10010757285

Did the crisis affect inflation expectations?

Galati, Gabriele; Poelhekke, Steven; Zhou, Chen - de Nederlandsche Bank - 2009

Brothers. Liquidity premia and technical factors have significantly influenced the behaviour of inflation-indexed markets since …

Persistent link: https://www.econbiz.de/10008482047

Liquidity effects and the welfare costs of inflation in an endogenous growth model

Folkertsma, C. K. - de Nederlandsche Bank - 2000

to explain the empirically observed liquidity effect of an expansionary monetary policy. The second subject is the effect …

Persistent link: https://www.econbiz.de/10005021865

Nominal wage contracts, adjustment costs and real persistence of monetary shocks

Folkertsma, C.K. - de Nederlandsche Bank - 1998

This paper describes a model in which monetary shocks have persistent real effects. Starting from the limited participation model of Christiano (1991) with capital adjustment costs as suggested by Dow (1995) it is confirmed that costs of equipment installation and restrictions on consumer...

Persistent link: https://www.econbiz.de/10005021869

Shocking the Eurozone

Vlaar, P.J.G. - de Nederlandsche Bank - 2002

In this paper, the monetary transmission mechanism within the European Monetary Union is investigated. The impulse response functions and forecast error variance decompositions of a structural vector error correction model (SVECM) are compared with those of a New Keynesian theoretical model. The...

Persistent link: https://www.econbiz.de/10005021880

Monetary Transmission in three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions

Darvas, Zsolt - de Nederlandsche Bank - 2009

This paper studies the transmission of monetary policy to macroeconomic variables in three new EU Member States in comparison with that in the euro area with structural time-varying coefficient vector autoregressions. In line with the Lucas Critique reduced-form models like standard VARs are not...

Persistent link: https://www.econbiz.de/10004988587

Germany and the euro area: differences in the transmission process of monetary policy

Hubrich, K.S.E.M.; Vlaar, P.J.G. - de Nederlandsche Bank - 2000

This study analyses the transmission of monetary policy in Germany for the EMS period in the framework of a structural vector error correction model (S-VECM) analysis. Three stable cointegration relationships are found: a money demand relation, an interest rate spread and a stationary real...

Persistent link: https://www.econbiz.de/10005101872

Monetary transmission in the West-African monetary union

P.M.J.O.K. Compernolle. - de Nederlandsche Bank - 1998

This report investigates monetary transmission in a monetary union of developing countries (West-African monetary union or Communauté Financière Africaine, CFA). This requires existing monetary transmission models to be adapted. Three econometric methods are applied to assess the impact of...

Persistent link: https://www.econbiz.de/10005101882

On the Cost of Moving from a Quasi Monetary Union to a Full Monetary Union: The Case of the Netherlands

Jansen, W. Jos - de Nederlandsche Bank - 2000

We analyze the effects of a contractionary Dutch monetary policy shock that is consistent with the fixed guilder/mark exchange rate. Although monetary policy shocks are quite small, they do have plausible effects: credit, expenditures, output and prices all fall after a monetary tightening....

Persistent link: https://www.econbiz.de/10005101920

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