Showing 1 - 10 of 176
We introduce machine learning in the context of central banking and policy analyses. Our aim is to give an overview broad enough to allow the reader to place machine learning within the wider range of statistical modelling and computational analyses, and provide an idea of its scope and...
Persistent link: https://www.econbiz.de/10012948433
Despite years of research, there is still uncertainty around the effects of monetary policy shocks. We reassess the empirical evidence by combining a new identification that accounts for informational rigidities, with a flexible econometric method robust to misspecifications that bridges between...
Persistent link: https://www.econbiz.de/10012957940
This paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the US data set constructed by Smets and Wouters. We use an indirect inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium...
Persistent link: https://www.econbiz.de/10013048383
How do private agents interpret central bank actions and communication? To what extent do the effects of monetary shocks depend on the information disclosed by the central bank? This paper investigates the effect of monetary shocks and shocks to the Bank of England's inflation and output...
Persistent link: https://www.econbiz.de/10013000574
As part of its response to the global banking crisis and a sharp downturn in domestic economic prospects, the Bank of England's Monetary Policy Committee (MPC) began a programme of large-scale asset purchases (commonly referred to as quantitative easing or QE) in March 2009, with the aim of...
Persistent link: https://www.econbiz.de/10013038706
We propose a shadow rate that measures the overall stance of monetary policy when the lower bound is not necessarily binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro area and the UK, and document that they fall (rise) as monetary policy becomes more...
Persistent link: https://www.econbiz.de/10012832992
In this paper we explore both theoretical and empirical evidence on communication with the general public. The model provides guidance for policymakers by highlighting some potentially important risks in communicating simply with a broader audience. In particular, in a model where trust and...
Persistent link: https://www.econbiz.de/10012843882
This paper presents a theory to link improvements in transparency about monetary policy objectives to improvements in transparency about monetary policy actions and then to the conditional volatility of market expectations of policy rates. Crucially, policy announcements act not just as an...
Persistent link: https://www.econbiz.de/10012729303
We explore empirically the theoretical prediction that optimism or pessimism have aggregate effects, in the context of monetary policy. First, we quantify the tone conveyed by FOMC policymakers in their statements using computational linguistics. Second, we identify sentiment as the...
Persistent link: https://www.econbiz.de/10012962696
Why do long-run interest rates respond to central bank communication? Whereas existing explanations imply a common set of signals drives short and long-run yields, we show that news on economic uncertainty can have increasingly large effects along the yield curve. To evaluate this channel, we...
Persistent link: https://www.econbiz.de/10012893948