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Central bank liquidity provision, risk-taking and economic efficiency
Bindseil, Ulrich; Jabłecki, Juliusz - 2013
Persistent link: https://www.econbiz.de/10009766427
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Density-conditional forecasts in dynamic multivariate models
Andersson, Michael K.; Palmqvist, Stefan Ulf; Waggoner, … - 2010
When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...
Persistent link: https://www.econbiz.de/10009792830
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Risk Management in action : robust monetary policy rules under structured uncertainty
Levine, Paul; McAdam, Peter; Pearlman, Joseph; Pierse, … - 2008
Recent interest in "Risk Management"has highlighted the relevance of Bayesian analysis for robust monetary …
Persistent link: https://www.econbiz.de/10003747990
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Optimal discretionary policy and uncertainty about inflation persistence
Moessner, Richhild (contributor) - 2005
This paper studies optimal discretionary policy with parameter uncertainty about inflation inertia. Optimal policy rules and impulse responses are presented within a hybrid New-Keynesian model estimated for the euro area by Smets (2003). We find that it may be optimal for policy to respond more...
Persistent link: https://www.econbiz.de/10003208613
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International monetary policy coordination and financial market integration
Sutherland, Alan (contributor) - 2002
Persistent link: https://www.econbiz.de/10001702821
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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
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Modelling and forecasting the Yield Curve under Model uncertainty
Donati, Paola (contributor); Donati, Francesco (contributor) - 2008
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...
Persistent link: https://www.econbiz.de/10003782668
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Uncertainty shocks, monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - 2019
, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …
Persistent link: https://www.econbiz.de/10012009116
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Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …
Persistent link: https://www.econbiz.de/10011959298
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Should central banks be more aggressive?
Söderström, Ulf - 1999
Simple models of monetary policy often imply optimal policy behavior that is considerably more aggressive than what is commonly observed. This paper argues that such counterfactual implications are due to model restrictions and a failure to account for multiplicative parameter uncertainty,...
Persistent link: https://www.econbiz.de/10011584195