We analyze the interaction between monetary policy in the US and the global economy proposing a new class of Bayesian global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock...

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

This paper analyzes the determinants of the interest rate of short-term unsecured loan inter-bank market (call) in Argentina. The results show that the heterogeneous nature of the entities, in terms of size and origin of ownership, impacts on the interest rate agreed. Other additional aspects,...

Recent research has found that the dynamic properties of the New Keynesian model can be very different when the nominal interest rate is zero. Improvements in technology and reductions in the labor tax rate lower economic activity, and the size of the government purchase output multiplier can be...

This paper examines the degree of monetary policy coordination between major industrialized countries from a completely new perspective. The analysis uses a new data set on central bank issued interest rate targets for 14 OECD countries. The methodology that we use decomposes the notion of...

This paper contributes to the recent debate about the estimated high partial adjustment coefficient in dynamic Taylor rules, commonly interpreted as deliberate interest rate smoothing on the part of the monetary authority. We argue that a high coefficient on the lagged interest rate term may be...

This paper investigates the ability of the Federal Reserve to manipulate the overnight rate without open market operations (which Demiralp and Jorda (2000) term the announcement effect), using high-frequency, open-market-desk data. Using similar data, Hamilton (1997) takes advantage of forecast...

A vast literature has emerged using Taylor rules to analyze monetary policy Although very attractive both theoretically and empirically such rules imply a mechanical response by the policy variable to fundamental ones This study looks for empirical evidence of a more sophisticated monetary...

This paper studies the monetary policy of the Federal Reserve (Fed) and the Bundesbank / European Central Bank (ECB) with respect to stock or/and foreign exchange markets from 1979 to 2009. I find that Fed policy changed over time, dependent on the chairman of the Fed. During the Greenspan era...

Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic indicators is...