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Estimated general equilibrium models for the evaluation of monetary policy in the US and Europe
Leith, Campbell B.; Malley, James R. - 2002
of the New Keynesian Phillips Curve (NKPC) is that they fail to capture the extent of inflation inertia in the data. In …
Persistent link: https://www.econbiz.de/10011409738
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Euler equations and money market interest rates : the role of monetary and risk premium shocks
Gareis, Johannes; Mayer, Eric - 2012
This paper challenges the view that the observed negative correlation between the Federal Funds rate and the interest rate implied by consumption Euler equations is systematically linked to monetary policy. By using a Monte Carlo experiment, we show that stochastic risk premium disturbances have...
Persistent link: https://www.econbiz.de/10009656105
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Testing the monetary policy rule in the US: A reconsideration of the Fed's behaviour
Minford, Patrick; Ou, Zhirong - 2009
We calibrate a standard New Keynesian model with three alternative representations of monetary policy- an optimal timeless rule, a Taylor rule and another with interest rate smoothing- with the aim of testing which if any can match the data according to the method of indirect inference. We find...
Persistent link: https://www.econbiz.de/10010288782
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Testing the monetary policy rule in the US : a reconsideration of the Fed's behaviour
Minford, Patrick; Ou, Zhirong - 2009
We calibrate a standard New Keynesian model with three alternative representations of monetary policy- an optimal timeless rule, a Taylor rule and another with interest rate smoothing- with the aim of testing which if any can match the data according to the method of indirect inference. We find...
Persistent link: https://www.econbiz.de/10003882196
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Aggregate Supply in the United States : Recent Developments and Implications for the Conduct of Monetary Policy
Reifschneider, David - 2014
instability or inflation instability -- could cause policymakers to exercise restraint in their response to cyclical weakness …
Persistent link: https://www.econbiz.de/10013061218
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Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?
Fatum, Rasmus; Scholnick, Barry - 2005
This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false...
Persistent link: https://www.econbiz.de/10010320908
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Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market
Fatum, Rasmus; Scholnick, Barry - 2003
day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate … changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations …
Persistent link: https://www.econbiz.de/10010320954
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Firm entry, inflation and the monetary transmission mechanism
Lewis, Vivien; Poilly, Céline - 2011
, through the New Keynesian Phillips Curve, lower inflation. While the proposed model does a good job at matching the observed …
Persistent link: https://www.econbiz.de/10011596318
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Regime dependence, common shocks and the inflation-relative price variability relation
Castagnino, Tomás; D'Amato, Laura - 2008
Using frequency domain techniques to separate short and long run dynamics and decomposing inflation into its common and … idiosyncratic components, we study the regime dependence of the inflation-RPV relation in Argentina and the USA. Under High … inflation, strong long-run comovement between RPV and Inflation is found for both economies, that extends to the short run …
Persistent link: https://www.econbiz.de/10010325092
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Firm entry, inflation and the monetary transmission mechanism
Lewis, Vivien; Poilly, Céline - 2011
, through the New Keynesian Phillips Curve, lower inflation. While the proposed model does a good job at matching the observed …
Persistent link: https://www.econbiz.de/10011506731