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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

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

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

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

Maintaining price stability under free-floating

Detken, Carsten; Gaspar, Vítor - 2003

model where the central bank follows a strategy directed at maintaining price stability. It is shown that the behaviour of …

Persistent link: https://www.econbiz.de/10009635960

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

Persistent link: https://www.econbiz.de/10009635972

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

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

This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We ﬁnd that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the...

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

Bank mergers, competition and liquidity

Carletti, Elena; Hartmann, Philipp; Spagnolo, Giancarlo - 2003

We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete … in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase … expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a …

Persistent link: https://www.econbiz.de/10009635892

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - 2010

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10009640363

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