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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

The natural real rate of interest in the euro area

Giammarioli, Nicola; Valla, Natacha - 2003

In this paper, we discuss the consequences of taking into account the variations of the natural real interest rate (r t *) in simple monetary policy rules. We also provide one possible model-based analysis of the level of r t * that has prevailed in the euro area since the early 1970s, and...

Persistent link: https://www.econbiz.de/10009635981

Describing the Fed's conduct with Taylor rules

Castelnuovo, Efrem - 2003

In this paper we estimate simple Taylor rules paying particular attention to interest rate smoothing. Following English, Nelson, and Sack (2002), we employ a model in first differences to gain some insights into the presence and signifcance of the degree of partial adjustment as opposed to a...

Persistent link: https://www.econbiz.de/10009635982

The optimal degree of discretion in monetary policy

Athey, Susan; Atkeson, Andrew; Kehoe, Patrick J. - 2004

How much discretion should the monetary authority have in setting its policy? This question is analyzed in an economy with an agreed-upon social welfare function that depends on the randomly fluctuating state of the economy. The monetary authority has private information about that state. In the...

Persistent link: https://www.econbiz.de/10009639392

Monetary discretion, pricing complementarity and dynamic multiple equilibria

King, Robert G.; Wolman, Alexander L. - 2004

In a plain-vanilla New Keynesian model with two-period staggered price-setting, discretionary monetary policy leads to multiple equilibria. Complementarity between pricing decisions of forward-looking firms underlies the multiplicity, which is intrinsically dynamic in nature. At each point in...

Persistent link: https://www.econbiz.de/10009639397

Optimal monetary policy rules for the euro area

Dieppe, Alistair; Küster, Keith; McAdam, Peter - 2004

In this paper, we analyze optimal monetary policy rules in a model of the euro area, namely the ECB’s Area Wide Model, which embodies a high degree of intrinsic persistence and a limited role for forward-looking expectations. These features allow us, in large measure, to differentiate our...

Persistent link: https://www.econbiz.de/10009639414

Forecasting with a Bayesian DSGE model

Smets, Frank; Wouters, Raf - 2004

In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. This paper illustrates how modern sticky-price dynamic stochastic general equilibrium models, estimated using Bayesian techniques, can...

Persistent link: https://www.econbiz.de/10009639449

Liquidity, money creation and destruction, and the returns to banking

Cavalcanti, Ricardo de O.; Erosa, Andrés; Temzelides, Ted - 2004

We build on our earlier model of money in which bank liabilities circulate as medium of exchange, and investigate the … provision of liquidity for a range of central-bank regulations dealing with the potential of bank failure. In our model, banks … issue and make reserve-management decisions which affect aggregate liquidity conditions. Numerical examples demonstrate bank …

Persistent link: https://www.econbiz.de/10009639454

Credit risk transfers and the macroeconomy

Faia, Ester - 2010

credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets …, but also reduces the bank incentive to monitor. As a result, secondary markets allow to release bank capital and … capital recycling and by reducing bank monitoring, secondary credit markets in general equilibrium allow banks to take on more …

Persistent link: https://www.econbiz.de/10009640284

Macroeconomic propagation under different regulatory regimes

Pariès, Matthieu Darracq; Sørensen, Christoffer Kok; … - 2010

scope for counter-cyclical bank capital rules and the strategic complementarities between macro-prudential tools and …

Persistent link: https://www.econbiz.de/10009640289

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