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Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach
Bhuiyan, Rokon - 2008
This paper develops an open-economy Bayesian structural VAR model for Canada in order to estimate the effects of monetary policy shocks, using the overnight target rate as the policy instrument. I allow the policy variable and the financial variables of the model to interact simultaneously with...
Persistent link: https://www.econbiz.de/10010290388
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Monetary policy and exchange rate interactions in a small open economy
Bjørnland, Hilde C. - 2005
This paper analyses the transmission mechanisms of monetary policy in a small open economy like Norway through structural VARs, paying particular attention to the interdependence between the monetary policy stance and exchange rate movements in the inflation-targeting period. Previous studies of...
Persistent link: https://www.econbiz.de/10010284259
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Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
Tillmann, Peter - 2003
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...
Persistent link: https://www.econbiz.de/10010263095
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Monetary policy and the illusionary exchange rate puzzle
Bjørnland, Hilde C. - 2005
Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has developed into a “styled...
Persistent link: https://www.econbiz.de/10010284488
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Monetary policy and the oil futures market
Eickmeier, Sandra; Lombardi, Marco J. - 2012
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...
Persistent link: https://www.econbiz.de/10010311013
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Central bank learning and monetary policy
Tesfaselassie, Mewael F. - 2008
We analyze optimal monetary policy when a central bank has to learn about an unknown coefficient that determines the effect of surprise inflation on aggregate demand. We derive the optimal policy under active learning and compare it to two limiting cases-certainty equivalence policy and...
Persistent link: https://www.econbiz.de/10010263516
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Monetary policy analysis in real-time: Vintage combination from a real-time dataset
Altavilla, Carlo; Ciccarelli, Matteo - 2011
This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...
Persistent link: https://www.econbiz.de/10010274753
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Monetary Policy in a World Where Money (Also) Matters
El-Shagi, Makram; Giesen, Sebastian; Kelly, Logan J. - 2012
While the long-run relation between money and inflation as predicted by the quantity theory is well established … the quantity theory within a given economy is mixed. Previous research has found support for quantity theory within a … denkbaren mittel- und langfristigen Konsequenzen der Geldpolitik. In diesem Papier stellen wir ein übersichtliches und dabei nur …
Persistent link: https://www.econbiz.de/10010289619
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Interbank lending and monetary policy transmission: evidence for Germany
Ehrmann, Michael; Worms, Andreas - 2001
This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings...
Persistent link: https://www.econbiz.de/10010295709
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Optimal monetary policy under model uncertainty without commitment
Orlik, Anna; Presno, Ignacio - 2013
This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...
Persistent link: https://www.econbiz.de/10010478895