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Forecast uncertainty and the taylor rule

Bauer, Christian; Neuenkirch, Matthias - 2015

In this paper, we derive a modification of a forward-looking Taylor rule, which integrates two variables measuring the uncertainty of inflation and GDP growth forecasts into an otherwise standard New Keynesian model. We show that certainty-equivalence in New Keynesian models is a consequence of...

Persistent link: https://www.econbiz.de/10010512077

Inflation targeting, credibility and non-linear Taylor rules

Neuenkirch, Matthias; Tillmann, Peter - 2012

In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re-)establish credibility, optimal monetary policy...

Persistent link: https://www.econbiz.de/10009564263

Party affiliation rather than former occupation : the background of central bank governors and its effect on monetary policy

Neuenkirch, Matthias; Neumeier, Florian - 2013 - This version: 30 July 2013

In this paper, we analyze the relationship between certain characteristics of incumbent central bank governors and their interest-rate-setting behavior. We focus on (i) occupational backgrounds, (ii) party affiliation, and (iii) experience in office and estimate augmented Taylor rules for 20...

Persistent link: https://www.econbiz.de/10009775039

Global economic recovery progresses overall

Gern, Klaus-Jürgen; Hauber, Philipp; Kooths, Stefan; … - 2020

In the third quarter of 2020, the global economy rebounded strongly from the steep fall in output suffered in the first half of the year amid the covid-19 pandemic. Currently, the recovery is being slowed down by another wave of infections and policy measures to contain it, but on aggregate...

Persistent link: https://www.econbiz.de/10012392680

Monetary policy and climate change : challenges and the role of major central banks

Kranz, Tobias; Bennani, Hamza; Neuenkirch, Matthias - 2024

Climate change poses significant challenges through rising temperatures, extreme weather events, and the exposure of economic (and societal) systems to these dangers. The irreversible and potentially non-linear nature of climate change, together with evolving technological and policy landscapes,...

Persistent link: https://www.econbiz.de/10014445896

Bank of Canada communication, media coverage, and financial market reactions

Hayo, Bernd; Neuenkirch, Matthias - 2010

We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998–2006); however, media coverage is particularly...

Persistent link: https://www.econbiz.de/10003980577

When is lift-off? : evaluating forward guidance from the shadow

Neuenkirch, Matthias; Siklos, Pierre L. - 2014 - This draft: January 2014

Monetary policy decisions are typically taken after a committee has deliberated and voted on a proposal. However, there are well-known risks associated with committee-based decisions. In this paper we examine the record of the shadow Monetary Policy Council in Canada. Given the structure of the...

Persistent link: https://www.econbiz.de/10010356192

Finanz- und Wirtschaftspolitik bei einer anhaltenden monetären Expansion

Kooths, Stefan; Schwarzmüller, Tim; Scheide, Joachim; … - 2014

In Reaktion auf die Finanzkrise hat das Eurosystem seine Geldpolitik massiv gelockert. So hat die Europäische … budgets in several countries of the euro area. This has led to large liquidity flows into Germany. This situation is expected … to continue for some time to come. With huge amounts of excess liquidity already accumulated in the German banking sector …

Persistent link: https://www.econbiz.de/10010343472

Domestic or U.S. news : what drives Canadian financial markets?

Hayo, Bernd; Neuenkirch, Matthias - 2009

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...

Persistent link: https://www.econbiz.de/10003849833

Communicating with many tongues : FOMC speeches and US financial market reaction

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2008

This paper studies the effects of FOMC communication on U.S. financial markets’ returns and volatility using a GARCH model over the period from 1998 to 2006. We build a new data set that includes information on all FOMC speeches, post-meeting statements, monetary policy reports and...

Persistent link: https://www.econbiz.de/10003864447