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Has the reaction function of the European Central Bank changed over time?
Tatar, Balint - 2023 - This version: May 2, 2023
response to the expected inflation gap may have been less pronounced. I also find that the policy response has become more … forceful over the course of the recent sharp rise in inflation. Furthermore, it is essential to model the stochastic volatility …
Persistent link: https://www.econbiz.de/10014252499
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The Taylor Rule and Monetary Policy in the Euro Area
Mésonnier, Jean-Stéphane - 2010
We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...
Persistent link: https://www.econbiz.de/10013136222
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The effects of monetary policy on unemployment dynamics under model uncertainty : evidence from the US and the euro area ( by Carlo Altavilla and Matteo Ciccarelli
Altavilla, Carlo; Ciccarelli, Matteo - 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/10003963762
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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 - 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/10003813633
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Is Monetary Policy in New Members States Asymmetric?
Vasicek, Borek - 2010
inflation targeting regime. Two different empirical frameworks are used: (i) a Generalized Method of Moments (GMM) estimation of …
Persistent link: https://www.econbiz.de/10013135011
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Disinflation and monetary independence in Romania
Goczek, Lukasz - In: Baltic journal of economics 15 (2015) 1, pp. 65-79
In this article, the issue of the monetary independence problem in view of the Romania's European Monetary Union accession is investigated empirically. It is frequently argued that for such a country, the main cost of participation in a currency area is the loss of monetary policy independence....
Persistent link: https://www.econbiz.de/10011890553
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Disinflation with Simple Interest Rate Rules in Forward vs. Backward-Looking Models
Von zur Mühlen, Peter - 2022
forward looking, rational expectations. The approach is to consider policy when faced with a specific task reducing inflation … only on the parameters of a policy rule that has the Federal funds rate react to deviations of inflation and output from … contracting model, an output expansion occurs only if the inflation target is phased in over time; a recession results if the Fed …
Persistent link: https://www.econbiz.de/10013403819
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Leader of the Pack? German Monetary Dominance in Europe Prior to EMU
Reade, James - 2011
In this paper, the monetary policy independence of European nations in the years before European Monetary Union (EMU) is investigated using cointegration techniques. Daily data is used to assess pairwise relationships between individual EMU nations and ‘lead' nation Germany, to assess the...
Persistent link: https://www.econbiz.de/10013118510
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012836323
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012838235