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Assessing uncertainty in Europe and the US : is there a common factor?
Sauter, Oliver - 2012
This paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I … conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by … implied volatility of stock market movements. Each measure shows an increase in uncertainty during the last years marked by …
Persistent link: https://www.econbiz.de/10009548349
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Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
Onatski, Alexei; Stock, James H. - 2001
) cases, these robust policies are more aggressive than the optimal policies absent model uncertainty. The specific robust … policies depend strongly on the formation of model uncertainty used, and we make some suggestions about which formulation is …
Persistent link: https://www.econbiz.de/10014156171
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Describing the Fed's conduct with Taylor rules
Castelnuovo, Efrem - 2003
In this paper we estimate simple Taylor rules paying particular attention to interest rate smoothing. Following English, Nelson, and Sack (2002), we employ a model in first differences to gain some insights into the presence and signifcance of the degree of partial adjustment as opposed to a...
Persistent link: https://www.econbiz.de/10009635982
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The Failure of Northern Rock: A multi-dimensional Case Study
Congdon, Tim; Goodhart, Charles A.E.; Eisenbeis, Robert A. - 2009
In August 2007 the United Kingdom experienced its first bank run in over 140 years. Although Northern Rock was not a particularly large bank (it was at the time ranked 7th in terms of assets) it was nevertheless a significant retail bank and a substantial mortgage lender. In fact, ten years...
Persistent link: https://www.econbiz.de/10011689937
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New Paradigms in Monetary Theory and Policy?
Balling, Morten; Llewellyn, David T.; Orphanides, Athanasios - 2012
On 11-12 May 2011, SUERF and the Belgian Financial Forum, in association with the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) organized the 29th SUERF Colloquium “New Paradigms in Money and Finance?” All the papers in the present SUERF Study are based on...
Persistent link: https://www.econbiz.de/10011689952
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Three futures for postcrisis banking in the Americas: The financial trilemma and the Wall Street complex
Dymski, Gary A. - 2010
This would seem an opportune moment to reshape banking systems in the Americas. But any effort to rethink and improve banking must acknowledge three major barriers. The first is a crisis of vision: there has been too little consideration of what kind of banking system would work best for...
Persistent link: https://www.econbiz.de/10010281752
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Monetary policy and inflationary shocks under imperfect credibility
Darracq Pariès, Matthieu; Moyen, Stéphane - 2009
This paper quantifies the deterioration of achievable stabilization outcomes when monetary policy operates under imperfect credibility and weak anchoring of long-term expectations. Within a medium-scale DSGE model, we introduce through a simple signal extraction problem, an imperfect knowledge...
Persistent link: https://www.econbiz.de/10003867037
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Monetary policy and housing prices in an estimated DSGE for the US and the euro area
Darracq Pariès, Matthieu; Notarpietro, Alessandro - 2008
We estimate a two-country Dynamic Stochastic General Equilibrium model for the US and the euro area including relevant housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive the optimal monetary policy cooperation consistent...
Persistent link: https://www.econbiz.de/10003825943
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Perhaps the FOMC did what it said it did : an alternative interpretation of the Great Inflation
Kozicki, Sharon (contributor); Tinsley, Peter A. (contributor) - 2007
This paper uses real-time briefing forecasts prepared for the Federal Open Market Committee (FOMC) to provide estimates of historical changes in the design of U.S. monetary policy and in the implied central-bank target for inflation. Empirical results support a description of policy with an...
Persistent link: https://www.econbiz.de/10003468917
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Non-standard monetary policy measures and monetary developments
Giannone, Domenico; Lenza, Michele; Pill, Huw - 2011
Standard accounts of the Great Depression attribute an important causal role to monetary policy errors in accounting for the catastrophic collapse in economic activity observed in the early 1930s. While views vary on the relative importance of money versus credit contraction in the propagation...
Persistent link: https://www.econbiz.de/10008901492