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Interest rate setting and communication at the ECB

Cour, Philippine; Jung, Alexander - 2020

Based on ordered Probit models and twenty years of euro area data, we estimate empirical reaction functions for the ECB's monetary policy and augment them with communication indicators. First, we find that the ECB responded to risks to price stability in line with its primary objective, and that...

Persistent link: https://www.econbiz.de/10012244764

Social value of public information : testing the limits to transparency

Ehrmann, Michael (contributor); … - 2007

Transparency has become an almost universal virtue among central banks. The paper tests empirically, for the case of the Federal Reserve, two hypotheses about central bank transparency derived from the debate of Morris and Shin (2002) and Svensson (2006). First, the paper finds that the...

Persistent link: https://www.econbiz.de/10003599312

Does the federal reserve staff still beat private forecasters?

Shagi, Makram el-; Giesen, Sebastian; Jung, Alexander - 2014

Persistent link: https://www.econbiz.de/10010380095

Forecasting economic aggregates by disaggregates

Hendry, David F. (contributor); Hubrich, Kirstin (contributor) - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy … of the aggregate forecast of euro area and US inflation in some situations, but not in others …

Persistent link: https://www.econbiz.de/10003280663

Describing the Fed's conduct with Taylor rules

Castelnuovo, Efrem - 2003

In this paper we estimate simple Taylor rules paying particular attention to interest rate smoothing. Following English, Nelson, and Sack (2002), we employ a model in first differences to gain some insights into the presence and signifcance of the degree of partial adjustment as opposed to a...

Persistent link: https://www.econbiz.de/10009635982

Macroeconomic reversal rate in a low interest rate environment

End, Jan-Willem van den; Konietschke, Paul; Samarina, Anna - 2021

This paper investigates how the monetary policy transmission channels change once the economy is in a low interest rate environment. We estimate a nonlinear model for the euro area and its five largest countries over the period 1999q2-2019q1 and allow for the effects of monetary policy shocks to...

Persistent link: https://www.econbiz.de/10012705461

Reversal interest rate and macroprudential policy

Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2020

Could a monetary policy loosening entail the opposite effect than the intended expansionary impact in a low interest rate environment? We demonstrate that the risk of hitting the rate at which the effect reverses depends on the capitalization of the banking sector by using a non-linear...

Persistent link: https://www.econbiz.de/10012312177

Describing the fed's conduct with Taylor rules : is interest rate smoothing important?

Castelnuovo, Efrem (contributor) - 2003

Persistent link: https://www.econbiz.de/10001792721

Monetary policy and the zero bound to interest rates : a review

Yates, Tony (contributor) - 2002

Persistent link: https://www.econbiz.de/10001735705

Interest rate spreads and forward guidance

Bredemeier, Christian; Kaufmann, Christoph; Schabert, … - 2018

We provide evidence that liquidity premia on assets that are more relevant for private agents' intertemporal choices than near-money assets increase in response to expansionary forward guidance announcements. We introduce a structural specification of liquidity premia based on assets'...

Persistent link: https://www.econbiz.de/10011921015

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