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US-Euro Area Monetary Policy Interdependence - New Evidence from Taylor Rule Based VECMs
Cui, Yuhua - 2009
This paper analyzes the monetary policy interdependence between the European Central Bank (ECB) and the Federal Reserve (Fed) for the period 1999-2006. Two models are specified: a partial Vector Error Correction Model (VECM) and a general VECM. In the partial VECM, we look for a long-run...
Persistent link: https://www.econbiz.de/10012718763
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US–Euro Area Monetary Policy Interdependence – New Evidence from Taylor Rule Based VECMs
Belke, Ansgar; Cui, Yuhua - 2009
This paper analyses the monetary policy interdependence between the European Central Bank (ECB) and the Federal Reserve (Fed) for the period 1999-2006. Two models are specified: a partial Vector Error Correction Model (VECM) and a general VECM. In the partial VECM, we look for a long-run...
Persistent link: https://www.econbiz.de/10010264752
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(How) do the ECB and the Fed react to financial market uncertainty? : the Taylor rule in times of crisis
Belke, Ansgar; Klose, Jens - 2010
We assess differences that emerge in Taylor rule estimations for the Fed and the ECB before and after the start of the subprime crisis. For this purpose, we apply an explicit estimate of the equilibrium real interest rate and of potential output in order to account for variations within these...
Persistent link: https://www.econbiz.de/10003931051
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(How) do the ECB and the Fed react to financial market uncertainty? : the Taylor rule in times of crisis
Belke, Ansgar; Klose, Jens - 2010
We assess differences that emerge in Taylor rule estimations for the Fed and the ECB before and after the start of the subprime crisis. For this purpose, we apply an explicit estimate of the equilibrium real interest rate and of potential output in order to account for variations within these...
Persistent link: https://www.econbiz.de/10003931391
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Money-Based Interest Rate Rules : Lessons from German Data
Gerberding, Christina - 2016
The paper derives the monetary policy reaction function implied by money growth targeting. It consists of an interest rate response to deviations of the inflation rate from target, to the change in the output gap, to money demand shocks and to the lagged interest rate. In the second part, it is...
Persistent link: https://www.econbiz.de/10012991152
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How the Bundesbank Really Conducted Monetary Policy : An Analysis Based on Real-Time Data
Gerberding, Christina - 2016
Persistent link: https://www.econbiz.de/10012991301
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Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates
Fendel, Ralf - 2016
Persistent link: https://www.econbiz.de/10012991346
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Exchange rate modeling under unconventional monetary policy on a European panel sample
Kiss, Gábor Dávid; Mészáros, Mercédesz - In: European financial and accounting journal : EFAJ 14 (2019) 3, pp. 5-24
Following the latest subprime crisis, central banks introduced several unconventional instruments which had spillover effects on foreign exchange rates. The aim of our paper is to explore whether the use of zero lower bound (ZLB) and unconventional instruments has an impact on the changes in...
Persistent link: https://www.econbiz.de/10012202003
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The great moderation and the decoupling of monetary policy from long-term rates in the US and Germany
Greenwood-Nimmo, Matthew; Shin, Yongcheol; Treeck, Till van - 2010
zwischen geldpolitisch bestimmten Zinsen und längerfristigen Zinsen in den USA und in Deutschland an. Unsere Ergebnisse deuten … USA als auch in Deutschland, allerdings in nicht-linearer und komplexer Form. Drittens schlussfolgern wir, indem wir eine … pass-through from policy-controlled interest rates to a variety of longer-term rates in the U.S. and Germany. Our results …
Persistent link: https://www.econbiz.de/10009306630
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What's on the ECB's mind? : monetary policy before and after the global financial crisis
Zahner, Johannes; Groß, Jonas - 2020
This paper analyzes the interest rate setting of the European Central Bank (ECB) both before and after the outbreak of the global financial crisis. In the current monetary policy literature, researchers typically select one Taylor rule-based model in order to analyze the interest rate setting of...
Persistent link: https://www.econbiz.de/10012162640