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No-Arbitrage Taylor Rules
Ang, Andrew - 2007
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The...
Persistent link: https://www.econbiz.de/10012465201
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Monetary Policy Shifts and the Term Structure
Ang, Andrew - 2009
time. The overall response of the yield curve to output gap components is relatively small. In contrast, the inflation … widening yield spreads …
Persistent link: https://www.econbiz.de/10012463381
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Monetary Policy, Bond Risk Premia, and the Economy
Ireland, Peter N. - 2015
This paper develops an affine model of the term structure of interest rates in which bond yields are driven by observable and unobservable macroeconomic factors. It imposes restrictions to identify the effects of monetary policy and other structural disturbances on output, inflation, and...
Persistent link: https://www.econbiz.de/10012457093
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Movements in Yields, not the Equity Premium : Bernanke-Kuttner Redux
Nagel, Stefan; Xu, Zhengyang - National Bureau of Economic Research - 2024
counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the … monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates …/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity …
Persistent link: https://www.econbiz.de/10015056210
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Credit Spreads and Monetary Policy
Cúrdia, Vasco - 2009
We consider the desirability of modifying a standard Taylor rule for a central bank's interest-rate policy to incorporate either an adjustment for changes in interest-rate spreads (as proposed by Taylor [2008] and by McCulley and Toloui [2008]) or a response to variations in the aggregate volume...
Persistent link: https://www.econbiz.de/10012463361
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The Explanatory Power of Monetary Policy Rules
Taylor, John B. - 2007
This paper shows that the theory of monetary policy rules is able to explain, predict, and help understand a variety of phenomenon in macroeconomics and finance, including the Great Moderation, the correlation between exchange rates and interest rates, and the shift in the response of the term...
Persistent link: https://www.econbiz.de/10012464961
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Credit Frictions and Optimal Monetary Policy
Cúrdia, Vasco - 2015
Nonetheless, we find that the target criterion--a linear relation that should be maintained between the inflation rate and changes in the output gap--that characterizes optimal policy in the basic NK model continues to provide a good approximation to optimal policy, even in the presence of...
Persistent link: https://www.econbiz.de/10012456851
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Identifying Monetary Policy Shocks Using the Central Bank's Information Set
Bachmann, Ruediger; Gödl-Hanisch, Isabel; Sims, Eric R. - National Bureau of Economic Research - 2021
We identify monetary policy shocks by exploiting variation in the central bank's information set. To be specific, we use differences between nowcasts of the output gap and inflation with final, revised estimates of these series to isolate movements in the policy rate unrelated to economic...
Persistent link: https://www.econbiz.de/10012794600
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Central Banks and the Financial System
Giavazzi, Francesco - 2010
Financial systems are inherently fragile because of the very function which makes them valuable: liquidity transformation. Regulatory reforms can strengthen the financial system and decrease the risk of liquidity crises, but they cannot eliminate it completely. This leaves monetary policy with a...
Persistent link: https://www.econbiz.de/10012462427
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Evaluating Monetary Policy
Svensson, Lars E.O. - 2009
Evaluating inflation-targeting monetary policy is more complicated than checking whether inflation has been on target, because inflation control is imperfect and flexible inflation targeting means that deviations from target may be deliberate in order to stabilize the real economy. A modified...
Persistent link: https://www.econbiz.de/10012463265