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Do exchange rates absorb demand shocks at the ZLB?
Hoffmann, Mathias; Hürtgen, Patrick - 2021
appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …
Persistent link: https://www.econbiz.de/10012510174
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Disagreement and monetary policy
Falck, Elisabeth; Hoffmann, Mathias; Hürtgen, Patrick - 2017
dispersed information New Keynesian model predicts that a contractionary monetary policy shock leads to a short-run rise in ….S. data shows significantly different responses in inflation and inflation expectations consistent with theory. …
Persistent link: https://www.econbiz.de/10011740252
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The role of long-term inflation expectations for the transmission of monetary policy shocks
Diegel, Max; Nautz, Dieter - 2020 - This version: November 10, 2020
monetary policy shock. In line with a re-anchoring channel of monetary policy, we find that long-term inflation expectations …
Persistent link: https://www.econbiz.de/10012311576
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Inflation expectations, disagreement, and monetary policy
Hoffmann, Mathias; Hürtgen, Patrick - 2016
Survey data on inflation expectations show that: (i) private sector forecasts and central bank forecasts are not fully aligned and (ii) private sector forecasters disagree about inflation expectations. To reconcile these two facts we introduce dispersed information in a New Keynesian model,...
Persistent link: https://www.econbiz.de/10011520661
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Time-varying credibility, anchoring and the Fed's inflation target
Diegel, Max - 2022
capture the evolving communication strategy of the Fed, I allow the learning rule and the structural shock variances to change …
Persistent link: https://www.econbiz.de/10013472154
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Uncertainty about QE effects when an interest rate peg is anticipated
Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2018
After hitting the lower bound on interest rates, the Eurosystem engaged in a public sector purchase programme (PSPP) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter uncertainty in an analysis of these policies. We model FG as an...
Persistent link: https://www.econbiz.de/10011846905
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012222610
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Monetary policy communication shocks and the macroeconomy
Goodhead, Robert; Kolb, Benedikt - 2018
Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...
Persistent link: https://www.econbiz.de/10011938122
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Firm heterogeneity and the transmission of central bank credit policy
Kuhmann, Konrad - 2023
I study the role of firm heterogeneity for the transmission of unconventional monetary policy in the form of "credit policy" à la Gertler and Karadi (2011). To this end, I lay out a Two-Agent New-Keynesian model with financially constrained and unconstrained firms and a financial intermediary...
Persistent link: https://www.econbiz.de/10014234463