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Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

Persistent link: https://www.econbiz.de/10009636538

The credibility of the monetary policy "free lunch"

Yetman, James - 2003

Price level targeting has been proposed as an alternative to inﬂation targeting that may confer beneﬁts if a central … bank sets policy under discretion, even if societyu0092s loss function is speciﬁed in terms of inﬂation (instead of price …-of-thumb to form inﬂation expectations, or does not fully understand the nature of the target, price level targeting may in fact …

Persistent link: https://www.econbiz.de/10009635890

Indeterminacy of rational expectations equilibria in sequential financial markets

Donati, Paola - 2003

We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the...

Persistent link: https://www.econbiz.de/10009635915

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

This paper proposes a new paradigm for the analysis of monetary policy. From an econometric point of view this new approach is just as easy to implement as reduced form analysis, but is robust to the Lucas critique. It requires no explicit prior theory and yet it encompasses all standard DSGE...

Persistent link: https://www.econbiz.de/10009635920

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help …

Persistent link: https://www.econbiz.de/10009635953

On the indeterminacy of new-Keynesian economics

Beyer, Andreas; Farmer, Roger E. A. - 2004

We study identiÞcation in a class of three-equation monetary models. We argue that these models are typically not identiÞed. For any given exactly identiffed model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to...

Persistent link: https://www.econbiz.de/10009636546

Downward nominal wage rigidity and the long-run Philips Curve

Coenen, Günter - 2003

the determination of inflation and output in the euro area and the existence of a non-vertical long-run Phillips curve …

Persistent link: https://www.econbiz.de/10009635901

New Keynesian Phillips Curves

McAdam, Peter; Willman, Alpo - 2003

Using euro-area data, we re-examine the empirical success of New Keynesian Phillips Curves (NKPCs). The nature of our re-evaluation relies on the actual empirical underpinnings of such estimates: we find existing estimates un-robust and u0096 given that key parameters are generally calibrated...

Persistent link: https://www.econbiz.de/10009635912

How does the ECB allot liquidity in its weekly main refinancing operations?

Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003

This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been provided by the ECB in a neutral and smooth manner, but...

Persistent link: https://www.econbiz.de/10009635957

Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero

Coenen, Günter; Orphanides, Athanasios; Wieland, Volker - 2003

target inﬂation rates as low as 2 percent. However, the effects of the constraint are non-linear with respect to the inﬂation … percent. The variability of output increases signiﬁcantly and that of inﬂation also rises somewhat. Also, we show that the … increasingly short of potential with lower inﬂation targets. …

Persistent link: https://www.econbiz.de/10009635983

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