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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 … deviations of the overnight rate from the main refinancing rate. Moreover the paper finds that liquidity has affected the …
Persistent link: https://www.econbiz.de/10009635957
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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
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Inflation persistence and robust monetary policy design
Coenen, Günter - 2003
This paper investigates the performance of optimised interest rate rules when there is uncertainty about a key determinant of the monetary transmission mechanism, namely the degree of persistence characterising the inflation process. The paper focuses on the euro area and utilises two variants of...
Persistent link: https://www.econbiz.de/10009635885
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The output composition puzzle
Angeloni, Ignazio; Kashyap, Anil K.; Mojon, Benoît; … - 2003
We revisit recent evidence on how monetary policy affects output and prices in the U.S. and in the euro area. The response patterns to a shift in monetary policy are similar in most respects, but differ noticeably as to the composition of output changes. In the euro area investment is the...
Persistent link: https://www.econbiz.de/10009635907
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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
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Persistence, the transmission mechanism and robust monetary policy
Angeloni, Ignazio; Coenen, Günter; Smets, Frank - 2003
In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks in an estimated DSGE model of euro area. We then analyse its impact on optimal monetary policy and investigate the performance of various monetary policies when the policy...
Persistent link: https://www.econbiz.de/10009635926
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Monetary policy transmission in the euro area
Angeloni, Ignazio; Ehrmann, Michael - 2003
We examine the euro area monetary policy transmission process using post-1999 data, with two main questions in mind: has it changed after u0096 and because of u0096 EMU and, if so, is it becoming homogeneous across countries. Given the data limitations, we concentrate on three blocks of...
Persistent link: https://www.econbiz.de/10009635961
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Monetary policy shocks in the euro area and global liquidity spillovers
Sousa, João; Zaghini, Andrea - 2004
money ("global liquidity") on the euro area. We estimate structural VAR models for the euro area and the global economy … including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity … temporary appreciation of the real effective exchange rate of the euro. Moreover, we find that innovations in global liquidity …
Persistent link: https://www.econbiz.de/10009636532
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What are the spill-overs from fiscal shocks in Europe?
Giuliodori, Massimo; Beetsma, Roel - 2004
We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski...
Persistent link: https://www.econbiz.de/10009636548
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Interpreting implied risk-neutral densities
Hördahl, Peter; Vestin, David - 2003
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...
Persistent link: https://www.econbiz.de/10009635905