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Four essays in econometrics and macroeconomics
Born, Benjamin - 2011
Persistent link: https://www.econbiz.de/10009422848
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Swiss National Bank communication and investors' uncertainty
Hüning, Hendrik - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012659095
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Should central banks communicate uncertainty in their projections?
Rholes, Ryan; Petersen, Luba - 2020
Persistent link: https://www.econbiz.de/10012319251
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Should Central Banks Communicate Uncertainty in Their Projections?
Rholes, Ryan - 2020
This paper provides original empirical evidence on the emerging practice by central banks of communicating uncertainty in their inflation projections. We compare the effects of point and density projections in a learning-to-forecast laboratory experiment where participants' aggregated...
Persistent link: https://www.econbiz.de/10012842567
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Should central banks communicate uncertainty in their projections?
Rholes, Ryan; Petersen, Luba - In: Journal of economic behavior & organization : JEBO 183 (2021), pp. 320-341
Persistent link: https://www.econbiz.de/10012599919
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The Federal Reserve and market confidence
Boyarchenko, Nina; Haddad, Valentin; Plosser, Matthew C. - 2016
We discover a novel monetary policy shock that has a widespread impact on aggregate financial conditions. Our shock can be summarized by the response of long-horizon yields to Federal Open Market Committee (FOMC) announcements; not only is it orthogonal to changes in the near-term path of policy...
Persistent link: https://www.econbiz.de/10011446542
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ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty
Fernandes, Cecilia Melo - 2021
This paper investigates the impact of ECB communication of its assessment of the economic outlook on ex-ante inflation … uncertainty and sheds light on how central bank information shocks operate. The paper finds that ECB communication of new outlook … they are also useful for policymakers to define a communication strategy that attenuates ex-ante inflation uncertainty in …
Persistent link: https://www.econbiz.de/10012603073
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Density-conditional forecasts in dynamic multivariate models
Andersson, Michael K.; Palmqvist, Stefan Ulf; Waggoner, … - 2010
When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...
Persistent link: https://www.econbiz.de/10009792830
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Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019
Persistent link: https://www.econbiz.de/10011981369
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Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank portfolio credit risks associated with such...
Persistent link: https://www.econbiz.de/10011959298