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Robustifying learnability
Tetlow, Robert J.; von zur Muehlen, Peter - 2006
parameterizations of a given policy rule, we use structured singular value analysis (from robust control theory) to find the largest …
Persistent link: https://www.econbiz.de/10011604639
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Policy rate decisions and unbiased parameter estimation in typical monetary policy rules
Podpiera, Jirí - 2007
Policymakers do not always follow a simple rule for setting policy rates for various reasons and thus their choices are co-driven by a decision to follow a rule or not. Consequently, some observations are censored and cause bias in conventional estimators of typical Taylor rules. To account for...
Persistent link: https://www.econbiz.de/10011604817
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Countercyclical versus Procyclical Taylor Principles
Chatelain, Jean-Bernard - 2016
Assuming inflation is a forward variable in Taylor (1999) model, this paper finds opposite policy rule recommandations with counter-cyclical policy rule parameters (Taylor principle: inflation rule larger than one and bounded upwards) in the case of optimal policy under commitment versus...
Persistent link: https://www.econbiz.de/10011444004
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Computing optimal policy in a timeless-perspective: An application to a small-open economy
Juillard, Michel; Pelgrin, Florian - 2007
Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution. However, one main...
Persistent link: https://www.econbiz.de/10010279862
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Real-time model uncertainty in the United States: the Fed from 1996-2003
Tetlow, Robert J.; Ironside, Brian - 2006
We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model’s...
Persistent link: https://www.econbiz.de/10011604656
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Joint Prediction Bands for Macroeconomic Risk Management
Akram, Q. Farooq; Binning, Andrew; Maih, Junior - 2016
In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of producing fan charts that better communicates the uncertainty...
Persistent link: https://www.econbiz.de/10012143885
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Comparing monetary policy reaction functions: ECB versus Bundesbank
Hayo, Bernd; Hofmann, Boris - 2005
This paper compares the ECB's conduct of monetary policy with that of the Bundesbank. Estimated monetary policy reaction functions for the Bundesbank (1979:4-1998:12) and the European Central Bank (1999:1-2004:5) show that, while the ECB and the Bundesbank react similarly to expected inflation,...
Persistent link: https://www.econbiz.de/10010265742
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Imperfect Competition, Monetary Policy and Welfare in a Currency Area
Lombardo, Giovanni - 2002
auf die Wohlfahrt und die optimale Geldpolitik. Betrachtet werden zwei Möglichkeiten, wie die Wettbewerbsintensität am … die Geldpolitik effektiver sein, wenn die Länder größere Asymmetrien aufweisen. Diese Ergebnisse legen es nahe, dass die … intensiver ist. Die optimale Geldpolitik der Zentralbank der Währungsunion wird ermittelt und mit einer einfachen Taylor …
Persistent link: https://www.econbiz.de/10010295738
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Stock prices and monetary policy: Re-examining the issue in a New Keynesian model with endogenous investment
Grossi, Michele; Tamborini, Roberto - 2011
In this paper, the authors present a New Keynesian quantitative model with endogenous investment and a stock-market sector to shed further light on two unsettled issues: whether central banks should include some financial indicator in their policy rules, and what indicator may be expected to...
Persistent link: https://www.econbiz.de/10010307702
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Monetary policy and stock market boom-bust cycles
Christiano, Lawrence; Ilut, Cosmin; Motto, Roberto; … - 2008
We explore the dynamic effects of news about a future technology improvement which turns out ex post to be overoptimistic. We find that it is difficult to generate a boom-bust cycle (a period in which stock prices, consumption, investment and employment all rise and then crash) in response to...
Persistent link: https://www.econbiz.de/10011605001