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Simple Interest Rate Rules with a Role for Money

Scharnagl, Michael - 2016

feedback variables, we draw upon the real-time data set for Germany compiled by Gerberding et al. (2004). We find that interest …

Persistent link: https://www.econbiz.de/10012991255

How the ECB and US Fed set interest rates

Belke, Ansgar; Polleit, Thorsten - 2006

Monetary policies of the ECB and US Fed can be characterised by "Taylor rules", that is both central banks seem to be setting rates by taking into account the "output gap" and inflation. We also set up and tested Taylor rules which incorporate money growth and the euro-dollar exchange rate,...

Persistent link: https://www.econbiz.de/10003750293

Shifting preferences at the fed : evidence from rolling dynamic multipliers and impulse response analysis

Greenwood-Nimmo, Matthew; Shin, Yongcheol - 2010

attribute these mixed estimation results to a raft of empirical issues from which many existing studies suffer, including bias … the operation of a Taylor-type rule, albeit with considerable inertia. We argue that estimation across rolling windows may … estimation provides substantial evidence that the inflation and output preferences of the Fed have varied through time …

Persistent link: https://www.econbiz.de/10009306629

Monetary policy, stock prices and central banks cross-country comparisons of cointegrated VAR models

Belke, Ansgar; Wiedmann, Marcel - 2013

ausgewählte industrialisierte und aufstrebende Volkswirtschaften - die USA, den Euroraum, Japan, das Vereinigte Königreich …

Persistent link: https://www.econbiz.de/10009779040

Money, stock prices and central banks : cross-country comparisons of cointegrated VAR models

Belke, Ansgar; Wiedmann, Marcel - 2013

In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies - namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil - in the Cointegrated...

Persistent link: https://www.econbiz.de/10010255144

Explaining inflation persistence by a time-varying Taylor rule

Conrad, Christian; Eife, Thomas A. - 2010

In a simple New Keynesian model, we derive a closed form solution for the inflation persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...

Persistent link: https://www.econbiz.de/10008758155

Explaining inflation-gap persistence by a Time-Varying Taylor rule

Conrad, Christian; Eife, Thomas A. - 2012 - This draft: January 2012

In a simple New Keynesian model, we derive a closed form solution for the inflation-gap persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...

Persistent link: https://www.econbiz.de/10009526206

US-euro area monetary policy interdependence : new evidence from Taylor rule-based VECMs

Belke, Ansgar; Cui, Yuhua - In: The world economy : the leading journal on … 33 (2010) 5, pp. 778-797

Persistent link: https://www.econbiz.de/10003976654

Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

, recursive estimation methods. Using data between 2002 and 2014, we find limited evidence that QE1 caused a breakup or a …

Persistent link: https://www.econbiz.de/10011414128

Monetary policy analysis in real-time : vintage combination from a real-time dataset

Altavilla, Carlo; Ciccarelli, Matteo - 2011

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...

Persistent link: https://www.econbiz.de/10009011352