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A global monetary tsunami? On the spillovers of US Quantitative Easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - C.E.P.R. Discussion Papers - 2012
The paper analyses the global spillovers of the Federal Reserve’s unconventional monetary policy measures since 2007. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets...
Persistent link: https://www.econbiz.de/10011083739
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The Reform of October 1979: How it Happened and Why
Lindsey, David E; Orphanides, Athanasios; Rasche, Robert H - C.E.P.R. Discussion Papers - 2005
exclusively upon contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC …) meetings during 1979. We then present and discuss in detail the reasons for the FOMC’s adoption of the reform and the … inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist …
Persistent link: https://www.econbiz.de/10005792211
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Transparency and Deliberation within the FOMC: a Computational Linguistics Approach
Hansen, Stephen; McMahon, Michael; Prat, Andrea - C.E.P.R. Discussion Papers - 2014
How does transparency, a key feature of central bank design, affect the deliberation of monetary policymakers? We exploit a natural experiment in the Federal Open Market Committee in 1993 together with computational linguistic models (particularly Latent Dirichlet Allocation) to measure the...
Persistent link: https://www.econbiz.de/10011084486
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Monetary Policy in the Media
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2011
private agents to be successful--and much of this communication is channeled through the media. This is especially true for …
Persistent link: https://www.econbiz.de/10008854477
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The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
Kilian, Lutz; Manganelli, Simone - C.E.P.R. Discussion Papers - 2003
within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … forecast the risks of worldwide deflation for horizons of up to two years. Although recently fears of worldwide deflation have …
Persistent link: https://www.econbiz.de/10005123620
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Taylor Rules and the Predictability of Interest Rates
Söderlind, Paul; Söderström, Ulf; Vredin, Anders - C.E.P.R. Discussion Papers - 2003
Recent research suggests that commonly estimated dynamic Taylor rules augmented with a lagged interest rate imply too much predictability of interest rate changes compared with yield curve evidence. We show that this is not sufficient proof against the Taylor rule: the result could be driven by...
Persistent link: https://www.econbiz.de/10005123552
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Identification and Inference Using Event Studies
Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013
We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use of event studies, along with their limitations. As...
Persistent link: https://www.econbiz.de/10011084634
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Comparing Inflation and Price Level Targeting: the Role of Forward Guidance and Transparency
Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2015
We examine global dynamics under learning in New Keynesian models with price level targeting that is subject to the zero lower bound. The role of forward guidance is analyzed under transparency about the policy rule. Properties of transparent and non-transparent regimes are compared to each...
Persistent link: https://www.econbiz.de/10011213315
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Money, Financial Stability and Efficiency
Allen, Franklin; Carletti, Elena; Gale, Douglas M - C.E.P.R. Discussion Papers - 2011
Most analyses of banking crises assume that banks use real contracts. However, in practice contracts are nominal and this is what is assumed here. We consider a standard banking model with aggregate return risk, aggregate liquidity risk and idiosyncratic liquidity shocks. We show that, with...
Persistent link: https://www.econbiz.de/10009293987
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US Post-war Monetary Policy: What Caused the Great Moderation?
Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2010
Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in which an optimal timeless policy is substituted for a Taylor rule. We find the model explains the data both for the Great Acceleration and the Great Moderation. The implication is...
Persistent link: https://www.econbiz.de/10008692309