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Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - 2006
novel database for 268 professional forecasters since 1999, the average forecast error of FOMC decisions varies 5 to 10 … financial market volatility after FOMC meetings. Finally, Fed communication may exert an influence on forecast accuracy. …
Persistent link: https://www.econbiz.de/10011604741
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The daily and policy-relevant liquidity effects
Thornton, Daniel L. - 2008
The phrase “liquidity effect” was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly data using various monetary...
Persistent link: https://www.econbiz.de/10011605030
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Identification of systematic monetary policy
Hack, Lukas; Istrefi, Klodiana; Meier, Matthias - 2023
historical composition of hawks and doves in the Federal Open Market Committee (FOMC) with (ii) an instrument that leverages the … mechanical FOMC rotation of voting rights. We apply our design to study the effects of government spending shocks. We find fiscal … multipliers between two and three when the FOMC is dovish and below zero when it is hawkish. Narrative evidence from historical …
Persistent link: https://www.econbiz.de/10014543651
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Voting right rotation, behavior of committee members and financial market reactions: Vidence from the U.S. Federal Open Market Committee
Ehrmann, Michael; Tietz, Robin; Visser, Bauke - 2021
Whether Federal Reserve Bank presidents have the right to vote on the U.S. monetary policy committee depends on a mechanical, yearly rotation scheme. Rotation is without exclusion: also nonvoting presidents attend and participate in the meetings of the committee. Does voting status change...
Persistent link: https://www.econbiz.de/10012605265
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...
Persistent link: https://www.econbiz.de/10013081463
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What does the single monetary policy do? A SVAR benchmark for the European Central Bank
Monticello, Carlo; Tristani, Oreste - 1999
This paper puts forward a characterization of the structural features of the economic system relevant to the monetary-policy decisions of the European Central Bank. The econometric analysis adopts a parsimonious VAR representation of three key macroeconomic variables (interest rates, prices and...
Persistent link: https://www.econbiz.de/10011604048
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What horizon for price stability
Smets, Frank - 2000
This paper analyses in a unified framework the twin issues of the appropriate horizon for achieving price stability in the face of unexpected disturbances and the choice of a price level versus an inflation objective. Using a small estimated forward-looking model of the euro area economy, the...
Persistent link: https://www.econbiz.de/10011604070
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Are the effects of monetary policy in the euro area greater in recessions than in booms?
Peersman, Gert; Smets, Frank - 2001
This paper investigates whether monetary policy impulses have asymmetric effects on output growth in seven countries of the euro area (Germany, France, Italy, Spain, Austria, Belgium and the Netherlands). First, it is shown that these seven countries share the same business cycle. Next, strong...
Persistent link: https://www.econbiz.de/10011604098
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Interbank lending and monetary policy transmission - evidence for Germany
Ehrmann, Michael; Worms, Andreas - 2001
This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings...
Persistent link: https://www.econbiz.de/10011604119
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A VAR description of the effects of monetary policy in the individual countries of the euro area
Mojon, Benoît; Peersman, Gert - 2001
This paper presents a complete set of results describing the effects of monetary policy in 10 countries of the euro area for the pre-EMU period. For each country, we impose one of three identification schemes depending on its monetary integration with Germany, the nominal anchor of the ERM. The...
Persistent link: https://www.econbiz.de/10011604138