Showing 1 - 10 of 1,207
This paper presents a stress indicator for the eurozone that summarizes developments of trends and cycles in real GDP … that stress in the eurozone is mainly due to different trend growth rates and that for most of the Euro-zone countries …
Persistent link: https://www.econbiz.de/10013317182
Central banks have sometimes turned their attention to long-term interest rates as a target or as a diagnosis of policy. This paper describes two historical episodes when this happened - the US in 1942-51 and the UK in the 1960s - and uses a model of inflation dynamics to evaluate monetary...
Persistent link: https://www.econbiz.de/10012916568
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931
We explore the role of interest rate policy in the exchange rate determination process. Specifically, we derive exchange rate equations from interest rate rules that are theoretically optimal under a few alternative settings. The exchange rate equation depends on its underlying interest rate...
Persistent link: https://www.econbiz.de/10013092385
This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...
Persistent link: https://www.econbiz.de/10012753184
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10012942366
We derive counterfactual national interest rate paths for the 17 Euro Area countries for the period 1999 to 2012 to approximate the interest rates countries would have implemented had they still been able to conduct independent monetary policy. We find that prior to the financial crisis the...
Persistent link: https://www.econbiz.de/10013083869
The paper analyses the common European monetary policy based on a Mises-Hayek over-investment framework, which is combined with the theory of optimum currency areas. It shows how since the turn of the millennium a too expansionary monetary policy contributed to unsustainable over-investment...
Persistent link: https://www.econbiz.de/10012958878
This paper describes the monetary policy response of countries during the inter-war period. How did central banks react to the Great Depression? How did countries balance the externals demands of the gold standard with domestic policy pressures? What was the optimal level of international policy...
Persistent link: https://www.econbiz.de/10013095799
In this paper we present a three period setup to model central bank forward guidance in a liquidity trap. We analyze the role of long-run and short-run price stickiness under discretion and commitment in a straightforward and intuitive way. Despite the impact of price rigidity on welfare being...
Persistent link: https://www.econbiz.de/10013055395