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Interest rate reaction functions and the Taylor rule in the euro area
Gerlach-Kristen, Petra - 2003
Traditional Taylor rules, which are estimated using a level specification linking the short-term interest rate to inflation and the output gap, are unstable when estimated on euro area data and forecast poorly out of sample. We present an alternative reaction function which takes the...
Persistent link: https://www.econbiz.de/10009635919
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Zero lower bound
Coenen, Günter - 2003
This paper presents the results of a quantitative study of the implications of the zero lower bound on nominal interest rates which was undertaken in the context of the review of the ECBu0092s monetary policy strategy in Spring 2003. Focusing on the euro area, the paper provides an assessment of...
Persistent link: https://www.econbiz.de/10009635906
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Bond market inflation expectations and longer-term trends in broad monetary growth and inflation in industrial countries, 1880 - 2001
Dewald, William G. - 2003
u0093Bond Market Inflation Expectation and Longer-term Trends in Broad Monetary Growth and Inflation in Industrial Countries, 1880-2001u0094 by William G. Dewald, Professor of Economics Emeritus, Ohio State University and Former Director of Research, Federal Reserve Bank of St. Louis. Annual...
Persistent link: https://www.econbiz.de/10009635923
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Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Vähämaa, Sami - 2004
tightening, option-implied yield distributions are positively skewed, indicating that market participants attach higher … probabilities for sharp yield increases than for sharp decreases. Correspondingly, around loosening of the policy, implied yield … distributions are negatively skewed, suggesting that markets assign higher probabilities for sharp yield decreases than for …
Persistent link: https://www.econbiz.de/10009636538
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Implementing optimal control in cointegrated I(1) structural VAR models
Monti, Francesca V. - 2003
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...
Persistent link: https://www.econbiz.de/10009635883
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A monthly monetary model with banking intermediation for the euro area
Bruggeman, Annick; Donnay, Marie - 2003
for the existence of a bank lending channel. Finally, the estimation of the Structural-VECM highlights very rich dynamics …
Persistent link: https://www.econbiz.de/10009635913
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Volatility of interest rates in the euro area
Cassola, Nuno; Morana, Claudio - 2003
along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most … market yield curve. …
Persistent link: https://www.econbiz.de/10009635972
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Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Villani, Mattias; Warne, Anders - 2003
handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A …
Persistent link: https://www.econbiz.de/10009636519
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A structural common factor approach to core inflation estimation and forecasting
Morana, Claudio - 2004
In the paper we propose a new methodological approach to core in- flation estimation, based on a frequency domain …
Persistent link: https://www.econbiz.de/10009636528