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The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis
Nakajima, Jouchi; Shiratsuka, Shigenori; Teranishi, Yuki - Institute for Monetary and Economic Studies, Bank of Japan - 2010
In this paper, we explore the effects of the Bank of Japan's ( BOJ's) policy commitment under zero interest rates on the economy, by considering the transmission channel of altering private-sector expectations. To that end, we carry out a structural vector autoregression analysis on...
Persistent link: https://www.econbiz.de/10008494217
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Has U.S. monetary policy tracked the efficient interest rate?
Cúrdia, Vasco; Ferrero, Andrea; Tambalotti, Andrea; … - Federal Reserve Bank of San Francisco - 2014
Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of the monetary policy reaction function, in which the interest rate...
Persistent link: https://www.econbiz.de/10010775243
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Mr. Wicksell and the global economy: What drives real interest rates?
Brzoza-Brzezina, Michal; Cuaresma, Jesus Crespo - Institut für Finanzwissenschaft, Fakultät für … - 2007
We use a Bayesian dynamic latent factor model to extract world, regional and country factors of real interest rate series for 22 OECD economies. We find that the world factor plays a privileged role in explaining the variance of real rates for most countries in the sample, and accounts for the...
Persistent link: https://www.econbiz.de/10005432675
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Mr. Wicksell and the global economy: What drives real interest rates?
Brzoza-Brzezina, Michal; Cuaresma, Jesus Crespo - Oesterreichische Nationalbank - 2008
We use a Bayesian dynamic latent factor model to extract world, regional and country factors of real interest rate series for 22 OECD economies. We find that the world factor plays a privileged role in explaining the variance of real rates for most countries in the sample, and accounts for the...
Persistent link: https://www.econbiz.de/10005839469
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Monetary policy effects on bank risk taking
Abbate, Angela; Thaler, Dominik - Department of Economics, European University Institute - 2014
The contribution of this paper is twofold. First, we provide empirical evidence on the existence of a risk … policy shock causes a persistent increase in proxies for bank risk-taking behaviour. We then develop a New Keynesian model … with a risk-taking channel, where low levels of the risk free rates induce banks to extend credit to riskier borrowers …
Persistent link: https://www.econbiz.de/10010905860
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The Effects of Monetary Policy on Unemployment Dynamics Under Model Uncertainty. Evidence from the US and the Euro Area
Altavilla, Carlo; Ciccarelli, Matteo - Centro Studi di Economia e Finanza (CSEF) - 2009
This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...
Persistent link: https://www.econbiz.de/10005025787
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A Forecasting Metric for Evaluating DSGE Models for Policy Analysis
Gupta, Abhishek - Volkswirtschaftliche Fakultät, … - 2010
This paper evaluates the strengths and weaknesses of dynamic stochastic general equilibrium (DSGE) models from the standpoint of their usefulness in doing monetary policy analysis. The paper isolates features most relevant for monetary policymaking and uses the diagnostic tools of posterior...
Persistent link: https://www.econbiz.de/10008728069
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Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics
Bianchi, Francesco - Volkswirtschaftliche Fakultät, … - 2008
The evolution of inflation and output over the last 50 years is examined through the lens of a micro-founded model that allows for changes in the behavior of the Federal Reserve and in the volatility of structural shocks. Agents are aware of the possibility of regime changes and their beliefs...
Persistent link: https://www.econbiz.de/10008490097
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Bayesian Estimation of a Simple Macroeconomic Model for a Small Open and Partially Dollarized Economy
Salas, Jorge - Banco Central de Reserva del Perú - 2010
I describe a simple new-keynesian macroeconomic model for a small open and partially dollarized economy, which closely resembles the Quarterly Projection Model (QPM) developed at the Central Bank of Peru (Vega et al. (2009)). Then I use Bayesian techniques and quarterly data from Peru to...
Persistent link: https://www.econbiz.de/10008526375
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Learning and Time-Varying Macroeconomic Volatility
Milani, Fabio - Department of Economics, University of California-Irvine - 2007
This paper presents a DSGE model in which agents' learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted...
Persistent link: https://www.econbiz.de/10004970921