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Gelain, Paolo - 2020

Two approaches are considered to incorporate judgment in DSGE models. First, Bayesian estimation indirectly imposes judgment via priors on model parameters, which are then mapped into a judgmental interest rate decision. Standard priors are shown to be associated with highly unrealistic...

Persistent link: https://www.econbiz.de/10012834323

Lending-of-Last-Resort is as Lending-of-Last-Resort Does : Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Garcia de Andoain, Carlos - 2016

This paper investigates the impact of ample liquidity provision by the European Central Bank on the functioning of the … main euro area payment system. To identify exogenous shocks to central bank liquidity, we exploit the timing of ECB … liquidity operations and use a simple structural vector auto-regression framework. We argue that the ECB acted as a de …

Persistent link: https://www.econbiz.de/10012998230

Surprising Comparative Properties of Monetary Models : Results from a New Model Database

Taylor, John B. - 2010

In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new database of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and...

Persistent link: https://www.econbiz.de/10013136676

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10013059119

A Risk Management Perspective on Macroprudential Policy

Chavleishvili, Sulkhan; Fahr, Stephan; Kremer, Manfred; … - 2021

Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews...

Persistent link: https://www.econbiz.de/10013225752

Covid-19 and Rural Landscape : The Case of Italy

Manganelli, Simone; Piras, Francesco; Agnoletti, Mauro - 2021

Throughout the covid‐19 emergency, health authorities have presented contagion data divided by administrative regions with no reference to the type of landscape, environment or development model. This study has been conducted to understand whether there is a correlation between the number of...

Persistent link: https://www.econbiz.de/10013315246

Surprising comparative properties of monetary models: Results from a new model database

Taylor, John B.; Wieland, Volker - 2010

Persistent link: https://www.econbiz.de/10011605307

Welfare-based monetary policy rules in an estimated DSGE model of the US economy

Juillard, Michel; Karam, Philippe; Laxton, Douglas; … - 2006

We develop and estimate a stylized micro-founded model of the US economy. Next we compute the parameters of a simple interest rate policy rule that maximizes the unconditional mean of utility. We show that such a welfare-based rule lies close to the Taylor efficiency frontier. A counterfactual...

Persistent link: https://www.econbiz.de/10011604659

Money in monetary policy design: Monetary cross-checking in the New-Keynesian model

Wieland, Volker; Beck, Günter W. - 2010

In the New-Keynesian model, optimal interest rate policy under uncertainty is formulated without reference to monetary aggregates as long as certain standard assumptions on the distributions of unobservables are satisfied. The model has been criticized for failing to explain common trends in...

Persistent link: https://www.econbiz.de/10011605237

Central Bank Misperceptions and the Role of Money in Interest Rate Rules

Beck, Günter W. - 2008

Research with Keynesian-style models has emphasized the importance of the output gap for policies aimed at controlling inflation while declaring monetary aggregates largely irrelevant. Critics, however, have argued that these models need to be modified to account for observed money growth and...

Persistent link: https://www.econbiz.de/10012768875