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Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Vähämaa, Sami - 2004
monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market …This paper uses data on German government bond futures options to examine the behaviour of market expectations around … expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …
Persistent link: https://www.econbiz.de/10009636538
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How does the ECB allot liquidity in its weekly main refinancing operations?
Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003
provided by the ECB in a neutral and smooth manner, but also that there has been some attempt, albeit very limited, to correct … it is not possible for the ECB to adjust liquidity imbalances except by making recourse to fine-tuning operations. …
Persistent link: https://www.econbiz.de/10009635957
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Optimal allotment policy in the Eurosystem's main refinancing operations
Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2003
On several occasions during the period 2001-2003, the European Central Bank (ECB) decided to deviate from its "neutral …
Persistent link: https://www.econbiz.de/10009636518
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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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Consumer inflation expectations in Poland
£yziak, Tomasz - 2003
Inflation expectations constitute a subject of particular contemporary interest to central banks, especially those pursuing a monetary policy based on a strategy of direct inflation targeting. Macroeconomic theory indicates that the transmission of monetary policy impulses and their impact on...
Persistent link: https://www.econbiz.de/10009635882
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The credibility of the monetary policy "free lunch"
Yetman, James - 2003
Price level targeting has been proposed as an alternative to inflation targeting that may confer benefits if a central bank sets policy under discretion, even if societyu0092s loss function is specified in terms of inflation (instead of price level) volatility. This paper demonstrates the...
Persistent link: https://www.econbiz.de/10009635890
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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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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
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The great inflation of the 1970s
Collard, Fabrice; Dellas, Harris - 2004
Was the high inflation of the 1970s mostly due to incomplete information about the structure of the economy (an unavoidable mistake as suggested by Orphanides, 2000)? Or, to weak reaction to expected inflation and/or excessive policy activism that led to indeterminacies (a policy mistake, a...
Persistent link: https://www.econbiz.de/10009639390