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Monetary Policy with Judgment
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
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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
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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
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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
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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
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Fragmentation in the Euro Overnight Unsecured Money Market
Garcia-de-Andoain, Carlos - 2014
provision of long-term liquidity were successful in reducing tensions, considerable signs of market fragmentation remained at …
Persistent link: https://www.econbiz.de/10013040191
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The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements
Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2021
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...
Persistent link: https://www.econbiz.de/10013315441
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The central bank as a risk manager: quantifying and forecasting inflation risks
Kilian, Lutz; Manganelli, Simone - 2003
In deciding the monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of...
Persistent link: https://www.econbiz.de/10011604272
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The portfolio of euro area fund investors and ECB monetary policy announcements
Bubeck, Johannes; Manganelli, Simone; Habib, Maurizio … - 2017
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...
Persistent link: https://www.econbiz.de/10011853304
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Monetary policy with judgment
Gelain, Paolo; Manganelli, Simone - 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/10012422066