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Measuring the time-inconsistency of US monetary policy
Surico, Paolo - 2003
This paper offers an alternative explanation for the behavior of postwar US inflation by measuring a novel source of … end up generating a systematic inflation bias through the private sector expectations of a larger policy response in … recessions than in booms. Reduced-form estimates of US monetary policy rules indicate that while the inflation target declines …
Persistent link: https://www.econbiz.de/10009635891
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Identifying the monetary transmission mechanism using structural breaks
Beyer, Andreas; Farmer, Roger E. A. - 2003
We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...
Persistent link: https://www.econbiz.de/10009635894
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Modelling anti-inflationary monetary targeting
Sánchez, Marcelo - 2010
monetary targeted variable to have an impact on inflation. We apply a rather general framework to the Romanian experience with …
Persistent link: https://www.econbiz.de/10009640355
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Interest rate reaction functions and the Taylor rule in the euro area
Gerlach-Kristen, Petra - 2003
inflation and the output gap, are unstable when estimated on euro area data and forecast poorly out of sample. We present an … argue reflects shifts in the publicu0092s perception of the long-run inflation objective. …
Persistent link: https://www.econbiz.de/10009635919
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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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Aggregate loans to the euro area private sector
Calza, Alessandro; Manrique, Marta; Sousa, João - 2003
equilibrium level implied by the model seem to contain information on future changes in inflation, though not on its level. …
Persistent link: https://www.econbiz.de/10009639865
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Benefits and spillovers of greater competition in Europe
Bayoumi, Tamim; Laxton, Douglas; Pesenti, Paolo - 2004
Using a general-equilibrium simulation model featuring nominal rigidities and monopolistic competition in product and labor markets, this paper estimates the macroeconomic benefits and international spillovers of an increase in competition. After calibrating the model to the euro area vs. the...
Persistent link: https://www.econbiz.de/10009639395
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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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Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Villani, Mattias; Warne, Anders - 2003
Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends...
Persistent link: https://www.econbiz.de/10009636519
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A comprehensive model on the euro overnight rate
Würtz, Flemming Reinhardt - 2003
This paper presents a comprehensive model on the spread between the euro overnight rate and the key policy rate of the ECB. It is shown that the most important variables driving the level and the volatility of this spread are expectations about changes of the key policy rate and the projected...
Persistent link: https://www.econbiz.de/10009639860