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Shocks, Structures or Monetary Policies? The Euro Area and US After 2001
Christiano, Lawrence J. - 2007
The US Federal Reserve cut interest rates more vigorously in the recent recession than the European Central Bank did. By comparison with the Fed, the ECB followed a more measured course of action. We use an estimated dynamic general equilibrium model with financial frictions to show that...
Persistent link: https://www.econbiz.de/10012776610
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Does the Federal Reserve Staff Still Beat Private Forecasters?
El-Shagi, Makram - 2014
tests for forecast rationality show that a necessary condition for good forecast performance is satisfied both for Greenbook … and private forecasts, as measured by the Survey of Professional Forecasters (SPF). Tests for forecast accuracy and the …). The relative forecast performance is, however, not robust in the presence of large macroeconomic shocks such as the Great …
Persistent link: https://www.econbiz.de/10013060042
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Reversal Interest Rate and Macroprudential Policy
Darracq Paries, Matthieu; Kok, Christoffer - 2021
Could a monetary policy loosening entail the opposite effect than the intended expansionary impact in a low interest rate environment? We demonstrate that the risk of hitting the rate at which the effect reverses depends on the capitalization of the banking sector by using a non-linear...
Persistent link: https://www.econbiz.de/10013315005
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Interest rate spreads and forward guidance
Bredemeier, Christian; Kaufmann, Christoph; Schabert, … - 2021
We provide evidence that liquidity premia on assets that are more relevant for private agents' intertemporal choices than near-money assets increase in response to expansionary forward guidance announcements. We introduce a structural specifi cation of liquidity premia based on assets'...
Persistent link: https://www.econbiz.de/10013315398
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Interest Rate Setting and Communication at the ECB
Cour-Thimann, Philippine - 2020
Based on ordered Probit models and twenty years of euro area data, we estimate empirical reaction functions for the ECB´s monetary policy and augment them with communication indicators. First, we find that the ECB responded to risks to price stability in line with its primary objective, and...
Persistent link: https://www.econbiz.de/10012827870
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Interest Rate Setting and Communication at the ECB
Cour-Thimann, Philippine - 2020
Based on ordered Probit models and twenty years of euro area data, we estimate empirical reaction functions for the ECB´s monetary policy and augment them with communication indicators. First, we find that the ECB responded to risks to price stability in line with its primary objective, and...
Persistent link: https://www.econbiz.de/10012828078
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Monetary Policy Committees : Meetings and Outcomes
Berk, Jan Marc; Bierut, Beata K. - 2021
Monetary Policy Committees differ in the way the interest rate proposal is prepared and presented in the policy meeting. In this paper we show analytically how different arrangements could affect the voting behaviour of individual MPC members and therefore policy outcomes. We then apply our...
Persistent link: https://www.econbiz.de/10013316353
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Towards a Robust Monetary Policy Rule for the Euro Area
Blattner, Tobias Sebastian - 2010
Estimations of simple monetary policy rules are often very rigid. Standard practice requires that a decision is made as to which indicators the central bank is assumed to respond to, ignoring the data-rich environment in which policy-makers typically form their decisions. However, the choice of...
Persistent link: https://www.econbiz.de/10013142871
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Bank Risk-Taking, Securitization, Supervision and Low Interest Rates : Evidence from the Euro Area and the U.S. Lending Standards
Maddaloni, Angela - 2010
Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision...
Persistent link: https://www.econbiz.de/10013138019
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Have Monetary Data Releases Helped Markets to Predict the Interest Rate Decisions of the European Central Bank?
Jung, Alexander - 2016
This paper examines whether monetary data releases by the European Central Bank (ECB) have provided markets with additional clues about the future course of its monetary policy. It conducts a novel econometric approach based on a combination of an Ordered Probit model explaining future policy...
Persistent link: https://www.econbiz.de/10012987747