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Disciplining expectations and the forward guidance puzzle

Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020

Forward guidance operates via the expectations formation process of the agents in the economy. In standard quantitative macroeconomic models, the expectations are unobserved state variables and little scrutiny is devoted to analysing the dynamic behaviour of these expectations. We show that the...

Persistent link: https://www.econbiz.de/10012241110

Monetary policy and housing prices in an estimated DSGE for the US and the euro area

Darracq Pariès, Matthieu; Notarpietro, Alessandro - 2008

We estimate a two-country Dynamic Stochastic General Equilibrium model for the US and the euro area including relevant housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive the optimal monetary policy cooperation consistent...

Persistent link: https://www.econbiz.de/10003825943

Tell me something I don't already know : learning in low and high-inflation settings

Weber, Michael; Candia, Bernardo; Afrouzi, Hassan; … - 2024

Using randomized control trials (RCTs) applied over time in different countries, we study whether the economic environment affects how agents learn from new information. We show that as inflation rose in advanced economies, both households and firms became more attentive and informed about...

Persistent link: https://www.econbiz.de/10014490479

The external finance premium in the euro area : a useful indicator for monetary policy?

Gelain, Paolo - 2010

-called financial accelerator mechanism developed in Bernanke, Gertler and Gilchrist (1999). The main aim is to obtain a time series for … Area data than the model without them, the former is not satisfactory in many other respects. For instance, the accelerator … ; Euro Area External Finance Premium ; Financial Accelerator ; Bayesian Estimation ; Inflation …

Persistent link: https://www.econbiz.de/10003972629

Asset prices, collateral and unconventional monetary policy in a DSGE model

Hilberg, Björn; Hollmayr, Josef - 2011

In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply...

Persistent link: https://www.econbiz.de/10009380435

Credit risk transfers and the macroeconomy

Faia, Ester - 2010

The recent financial crisis has highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmström and Tirole [28] and Parlour and Plantin [39]) and...

Persistent link: https://www.econbiz.de/10008688526

Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers

Leith, Campbell B. (contributor); … - 2006

This paper develops a small New Keynesian model with capital accumulation and government debt dynamics. The paper discusses the design of simple monetary and fiscal policy rules consistent with determinate equilibrium dynamics in the absence of Ricardian equivalence. Under this assumption,...

Persistent link: https://www.econbiz.de/10003337474

Monetary policy and inflationary shocks under imperfect credibility

Darracq Pariès, Matthieu; Moyen, Stéphane - 2009

This paper quantifies the deterioration of achievable stabilization outcomes when monetary policy operates under imperfect credibility and weak anchoring of long-term expectations. Within a medium-scale DSGE model, we introduce through a simple signal extraction problem, an imperfect knowledge...

Persistent link: https://www.econbiz.de/10003867037

Involuntary unemployment and the business cycle

Christiano, Lawrence J.; Trabandt, Mathias; Walentin, Karl - 2010

We propose a monetary model in which the unemployed satisfy the offcial US deffinition of unemployment: they are people without jobs who are (i) currently making concrete efforts to find work and (ii) willing and able to work. In addition, our model has the property that people searching for...

Persistent link: https://www.econbiz.de/10003973491

Macroprudential policy measures : macroeconomic impact and interaction with monetary policy

Cozzi, Guido; Darracq Pariès, Matthieu; Karadi, Peter; … - 2020

This paper examines the interactions of macroprudential and monetary policies. We find, using a range of macroeconomic models used at the European Central Bank, that in the long run, a 1% bank capital requirement increase has a small impact on GDP. In the short run, GDP declines by 0.15-0.35%....

Persistent link: https://www.econbiz.de/10012165315

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