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Constrained discretion and central bank transparency
Bianchi, Francesco; Melosi, Leonardo - 2016
We develop and estimate a general equilibrium model to quantitatively assess the effects and welfare implications of central bank transparency. Monetary policy can deviate from active inflation stabilization and agents conduct Bayesian learning about the nature of these deviations. Under...
Persistent link: https://www.econbiz.de/10011560575
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Monetary Policy, Endogenous Inattention, and the Volatility Trade-Off
Branch, William; Carlson, John B.; Evans, George W.; … - 2007
processing rate. Although a decline of policy activism directly increases output volatility, it indirectly anchors expectations …
Persistent link: https://www.econbiz.de/10014223070
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Interest rate surprises : a tale of two shocks
Nunes, Ricardo; Ozdagli, Ali; Tang, Jenny - 2022 - This version: January 2022
Interest rate surprises around FOMC announcements reveal both the surprise in the monetary policy stance (the pure policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the information shock). In order to disentangle the effects of...
Persistent link: https://www.econbiz.de/10012815123
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CentralBankRoBERTa : A fine-tuned large language model for central bank communications
Pfeifer, Moritz; Marohl, Vincent P. - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-11
Central bank communications are an important tool for guiding the economy and fulfilling monetary policy goals. Natural language processing (NLP) algorithms have been used to analyze central bank communications. These outdated bag-of-words methods often ignore context and cannot distinguish who...
Persistent link: https://www.econbiz.de/10014513983
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The Science of Monetary Policy : A New Keynesian Perspective
Clarida, Richard; Galí, Jordi; Gertler, Mark - 1999
This paper reviews the recent literature on monetary policy rules. To organize the discussion, we exposit the monetary policy design problem within a simple baseline theoretical framework. We then consider the implications of adding various real word complications. We concentrate on developing...
Persistent link: https://www.econbiz.de/10014197574
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Updating inflation expectations
Lamla, Michael; Sarferaz, Samad - 2012
This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the … propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that … tracks the formation of inflation expectations of consumers at each moment in time. We show that the propensity to update …
Persistent link: https://www.econbiz.de/10009534067
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Exchange rate dynamics, expectations, and monetary policy
Chen, Qianying - 2011
-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of … monetary policy. I use consensus forecasts as a proxy for market expectations. The analysis on the Deutsche mark, Canadian … expectations of future monetary policy, Taylor rule fundamentals are able to forecast changes in the exchange rate, even over short …
Persistent link: https://www.econbiz.de/10009244259
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Inflation Expectations of Experts and ECB Communication
Ullrich, Katrin - 2008
decisions with regard to inflation expectations of financial market experts for the euro area from February 1999 to June 2007 …. Estimations are conducted for the influence of ECB communication on expectations formation besides other macroeconomic variables … of inflation expectations formation …
Persistent link: https://www.econbiz.de/10012726274
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Is There a Macro-Announcement Premium?
Ghaderi, Mohammad - 2020
The VIX barely drops at macro-announcements. This is at odds with virtually all models that attempt to explain the "macro-announcement premium." We point out that the macro-announcement sample is too small, considering the high volatility and fat tail of daily returns. Our small-sample argument...
Persistent link: https://www.econbiz.de/10012825382
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Updating inflation expectations
Lamla, Michael; Sarferaz, Samad - 2012
This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the … propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that … tracks the formation of inflation expectations of consumers at each moment in time. We show that the propensity to update …
Persistent link: https://www.econbiz.de/10009541260