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Inflation targeting, credibility and non-linear Taylor rules

Neuenkirch, Matthias; Tillmann, Peter - 2012

In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re-)establish credibility, optimal monetary policy...

Persistent link: https://www.econbiz.de/10010294449

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/10010281466

Is there wisdom in a second opinion? Shadowing the ECB and the Bank of England

Neuenkirch, Matthias; Siklos, Pierre L. - 2011

The European Central Bank (ECB) and the Bank of England (BoE) are shadowed by professionals and academic economists who provide a separate policy rate recommendation in advance of the central bank's announcement. We explore differences between shadow and actual committee decisions based on an...

Persistent link: https://www.econbiz.de/10010281473

Monetary policy transmission in vector autoregressions: A new approach using central bank communication

Neuenkirch, Matthias - 2011

In this paper, we study the role central bank communication plays in the monetary policy transmission mechanism. We employ the Swiss Economic Institute's Monetary Policy Communicator to measure the future stance of the European Central Bank's monetary policy. Our results indicate that, first,...

Persistent link: https://www.econbiz.de/10010286360

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

Hayo, Bernd; Neuenkirch, Matthias - 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/10010286370

Central bank transparency and financial market expectations: The case of emerging markets

Neuenkirch, Matthias - 2011

In this paper, we study the influence of central bank transparency on the formation of money market expectations in … transparency reduces the bias (the difference between the money market rate and the weighted expected target rate over the contract … countries with low financial depth. However, the biasreducing effect of transparency prevails only if inflation is relatively …

Persistent link: https://www.econbiz.de/10010286374

Communication matters: US monetary policy and commodity price volatility

Hayo, Bernd; Kutan, Ali M.; Neuenkirch, Matthias - 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/10010286427

Communication Matters : U.S. Monetary Policy and Commodity Price Volatility

Hayo, Bernd - 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/10013128878

Predicting Bank of England's Asset Purchase Decisions with MPC Voting Records

Neuenkirch, Matthias - 2013

We use MPC voting records to predict changes in the volume of asset purchases. We find, first, that minority voting favoring an increase in the volume of asset purchases raises the probability of an actual increase at the next meeting. Second, minority voting supporting a higher Bank Rate...

Persistent link: https://www.econbiz.de/10013084342

Are Public Preferences Reflected in Monetary Policy Reaction Functions?

Neuenkirch, Matthias - 2013

In this paper, we test whether public preferences for price stability (obtained from the Eurobarometer survey) are actually reflected in the interest rates set by eight central banks. We estimate augmented Taylor (1993) rules for the period 1976-1993 using the dynamic GMM estimator. We find,...

Persistent link: https://www.econbiz.de/10013084343