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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first … regime, systematic monetary policy follows a Taylor rule extended by the term spread and is effective in curbing inflation … stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy …
Persistent link: https://www.econbiz.de/10014422351
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Committee structure and its implications for monetary policy decision-making
Berk, Jan Marc; Bierut, Beata K. - 2003
We investigate the implications for the setting of interest rateswhen monetary policy decisions are taken by a committee, in whicha subset of members may meet prior to the voting in the committeeand therefore has the possibility to reach consensus ex ante to voteunanimously ex post. We allow for...
Persistent link: https://www.econbiz.de/10011333889
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Modeling monetary policy
Reynard, Samuel; Schabert, Andreas - 2009
marketoperations. The relationship between the policy rate,expected inflation and consumption growth is affected bymoney market …
Persistent link: https://www.econbiz.de/10011379357
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A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …
Persistent link: https://www.econbiz.de/10010362975
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Taylor rules with endogenous regimes
Aastveit, Knut Are; Cross, Jamie; Furlanetto, Francesco; … - 2024
gap coefficient is higher in the recessionary regime than in the normal one. The estimate of the inflation coefficient …
Persistent link: https://www.econbiz.de/10014529386
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Model-free measurement of exchange market pressure
Klaassen, Franc; Jager, Henk - 2006
If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....
Persistent link: https://www.econbiz.de/10011350376
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Federal reserve policy viewed through a money supply loss
Chowdhury, Ibrahim; Schabert, Andreas - 2008
Federal Reserve nonborrowed reserve supply systematically responded to changes in inflation and in the output gap over … inflation varies considerably across time. Nonborrowed reserves decreased with inflation in the post-1979 period and increased …
Persistent link: https://www.econbiz.de/10011374418
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The effects of learning in interactive monetary policy committees
Berk, Jan Marc; Bierut, Beata K. - 2004
We develop a theoretical framework for studying the effects of interaction on the quaJity of decision-making by monetary policy committees. We show that interaction, i.e. increasing one's expertise through an exchange of views, is most likely not to result in interdependent voting...
Persistent link: https://www.econbiz.de/10011334835
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New economy, old central banks?
Berk, Jan Marc - 2002
Proponents of the so-called New Economy claim that it entails a structural change of the economy. Such a change, in turn, would require the central bank to rethink its monetary policy to the extent that traditional relationships between inf1ation and economic growth are no longer valid. But such...
Persistent link: https://www.econbiz.de/10011327535