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Central Bank communication and monetary policy: a survey of theory and evidence
Blinder, Alan S.; Ehrmann, Michael; de Haan, Jakob; … - 2008
Over the last two decades, communication has become an increasingly important aspect of monetary policy. These real-world developments have spawned a huge new scholarly literature on central bank communication —mostly empirical, and almost all of it written in this decade. We survey this...
Persistent link: https://www.econbiz.de/10011604944
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Central bank communication on financial stability
Born, Benjamin; Ehrmann, Michael; Fratzscher, Marcel - 2011
Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications affect financial markets. Building a unique dataset, it provides an empirical assessment of the...
Persistent link: https://www.econbiz.de/10011605378
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A preliminary evaluation of monetary policy rules for Russia
Esanov, Akram; Merkl, Christian; Vinhas de Souza, Lúcio - 2004
The paper reviews the recent conduct of monetary policy and the central bank's rule-based behavior in Russia. Using … different policy rules, we test whether the central bank in Russia reacts to changes in inflation, output gap and the exchange … rate in a consistent and predictable manner. Our results indicate that during the period of 1993-2002 the Bank of Russia …
Persistent link: https://www.econbiz.de/10010277970
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Monetary policy rules for Russia
Esanov, Akram; Merkl, Christian; Vinhas de Souza, Lúcio - 2004
The paper reviews the recent conduct of monetary policy and the central bank’s rule-based behavior in Russia. Using … different policy rules, we test whether the central bank in Russia reacts to changes in inflation, output gap and the exchange … rate in a consistent and predictable manner. Our results indicate that during the period of 1993-2002 the Bank of Russia …
Persistent link: https://www.econbiz.de/10010283277
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Panel data dynamics and measurement errors: GMM bias, IV validity and model fit - a Monte Carlo study
Biørn, Erik; Han, Xuehui - 2012
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...
Persistent link: https://www.econbiz.de/10010330209
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The measurement error problem in dynamic panel data analysis: Modeling and GMM estimation
Biørn, Erik - 2012
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are...
Persistent link: https://www.econbiz.de/10010330243
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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/10010286348
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Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of...
Persistent link: https://www.econbiz.de/10010294011
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Time series analysis for financial market meltdowns
Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10010301728
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Implied volatility of foreign exchange options: Is it worth tracking?
Gereben, Áron; Pintér, Klára - 2005
Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange rate uncertainty. The aim of our study is to investigate the limits of this statistic. We present some key factors that may deviate the value of implied volatility from the...
Persistent link: https://www.econbiz.de/10010322417