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Central banks' predictability : an assessment by financial market participants

Hayo, Bernd; Neuenkirch, Matthias - 2016 - This version: 6 April 2016

transparency-enhancing measures will improve central bank predictability. …

Persistent link: https://www.econbiz.de/10011447633

Shadow banking and the design of macroprudential policy in a monetary union

Kirchner, Philipp; Schwanebeck, Benjamin - 2020

This paper studies the interaction of international shadow banking with monetary and macroprudential policy in a two-country currency union DSGE model. We find evidence that cross-country financial integration through the shadow banking system is a source of financial contagion in response to...

Persistent link: https://www.econbiz.de/10012224888

Does FOMC communication help predicting federal funds target rate changes?

Hayo, Bernd; Neuenkirch, Matthias - 2009

We explain changes in the federal funds target rate using macroeconomic variables and Federal Open Market Committee (FOMC) communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 and 2006. We find, first, that...

Persistent link: https://www.econbiz.de/10003852257

Bank of Canada communication and the predictability of Canadian monetary policy

Hayo, Bernd; Neuenkirch, Matthias - 2009

We explain changes in the Canadian target rate using macroeconomic variables and Bank of Canada (BOC) communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 60 target rate decisions between 1998 and 2006. We find that BOC communication is...

Persistent link: https://www.econbiz.de/10003889007

Managing financial market expectations : the role of central bank transparency and central bank communication

Neuenkirch, Matthias - 2010

In this paper, we study the influence of central bank transparency and informal central bank communication on the money … January 1999 to July 2007. We find, first, that both transparency and communication facilitate understanding upcoming interest … rate decisions. Second, transparency, as measured by various subcategories of the Eijffinger and Geraats (2006) index …

Persistent link: https://www.econbiz.de/10008695544

Communication matters : US monetary policy and commodity price volatility

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2011 - This version: March 4, 2011

Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998-2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target...

Persistent link: https://www.econbiz.de/10008859667

Do Federal Reserve Bank presidents pursue regional or national interests? : new evidence based on speeches

Hayo, Bernd; Neuenkirch, Matthias - 2011 - This version: 11 February 2011

In this paper, we analyze the determinants of speeches by Federal Reserve (Fed) officials over the period January 1998 to September 2009. Econometrically, we use a probit model with regional and national macroeconomic variables to explain the subjectively coded content of these speeches. Our...

Persistent link: https://www.econbiz.de/10008840992

Optimal monetary and macroprudential policy in a currency union

Palek, Jakob; Schwanebeck, Benjamin - 2015

The financial crisis proved strikingly that stabilizing the price level is a necessary but not a sufficient condition to ensure macroeconomic stability. The obvious candidate for addressing systemic risk is macroprudential policy. In this paper we study the optimal monetary and macroprudential...

Persistent link: https://www.econbiz.de/10011302459

Party affiliation rather than former occupation : the background of central bank governors and its effect on monetary policy

Neuenkirch, Matthias; Neumeier, Florian - 2013 - This version: 30 July 2013

In this paper, we analyze the relationship between certain characteristics of incumbent central bank governors and their interest-rate-setting behavior. We focus on (i) occupational backgrounds, (ii) party affiliation, and (iii) experience in office and estimate augmented Taylor rules for 20...

Persistent link: https://www.econbiz.de/10009775039

Federal reserve communications and newswire coverage

Neuenkirch, Matthias - 2013 - This version: 01 August 2013

In this paper, we explore the determinants of media coverage of Federal Reserve (Fed) communications. Our sample covers all 344 forward-looking communications made in the period May 1999-May 2004. We find, first, that there is a higher likelihood of media coverage for monetary policy reports and...

Persistent link: https://www.econbiz.de/10009751154