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Evaluating inflation targeting based on the distribution of inflation and inflation volatility

Ginindza, Mzwandile; Maasoumi, Esfandiar - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 497-518

In this paper the Financial Development Index (FDI) is used to rank 57 of the world's leading financial systems. Its calculation is based on the following 7 economic pillars: (1) Institutional environment, (2) Business environment, (3) Financial stability, (4) Banking financial services, (5)...

Persistent link: https://www.econbiz.de/10011056698

Dove or Hawk? Characterizing monetary policy regime switches in India

Hutchison, Michael M.; Sengupta, Rajeswari; Singh, Nirvikar - In: Emerging Markets Review 16 (2013) C, pp. 183-202

monetary regime or identify the nominal monetary anchor in India. Is central bank policy in India following a predictable rule … using a Markov switching model to estimate a time-varying Taylor-type rule for the Reserve Bank of India. We find that the … the first of these two regimes, the central bank reveals a greater relative (though not absolute) weight on controlling …

Persistent link: https://www.econbiz.de/10011056999

Using wavelets to decompose the time–frequency effects of monetary policy

Aguiar-Conraria, Luís; Azevedo, Nuno; Soares, Maria Joana - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2863-2878

Central banks have different objectives in the short and long run. Governments operate simultaneously at different timescales. Many economic processes are the result of the actions of several agents, who have different term objectives. Therefore, a macroeconomic time series is a combination of...

Persistent link: https://www.econbiz.de/10011058640

Impact of monetary policy changes on the Chinese monetary and stock markets

Tang, Yong; Luo, Yong; Xiong, Jie; Zhao, Fei; Zhang, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 19, pp. 4435-4449

market might have a certain ability to predict a potential monetary change, while it is kept secret by the central bank … changes impact the markets as surprises by the central bank without a pre-decided schedule. This is totally different from …

Persistent link: https://www.econbiz.de/10011062919

Monetary policy rules in practice: Re-examining the case of Turkey

Hasanov, Mübariz; Omay, Tolga - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4309-4318

This paper investigates possible asymmetries in the monetary policy reaction function of the Central Bank of Republic … of Turkey over the business cycles. It is found that the bank reacted more aggressively towards output stabilisation … Bank was accommodative rather than stabilising. Furthermore, it is found that although the Central Bank of Republic of …

Persistent link: https://www.econbiz.de/10011064579

Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns

Jubinski, Daniel; Tomljanovich, Marc - In: Review of Financial Economics 22 (2013) 3, pp. 86-97

This paper examines the 2006 to 2007 time period to determine the extent to which the release of the Federal Reserve minutes affects equity volatility and returns for 2832 individual firms. Using intraday data, we find that equity returns are essentially unaffected by FOMC minutes releases. We...

Persistent link: https://www.econbiz.de/10011064877

Monetary policy and stock-price dynamics in a DSGE framework

Nisticò, Salvatore - In: Journal of Macroeconomics 34 (2012) 1, pp. 126-146

This paper analyzes the role of stock prices in driving monetary policy for price stability in a non-Ricardian DSGE model. It shows that the dynamics of the interest rate consistent with price stability requires a response to stock-price changes that depends on the shock driving them: a supply...

Persistent link: https://www.econbiz.de/10011065303

Interest rates, government purchases and the Taylor rule in recessions and expansions

López-Villavicencio, Antonia - In: Journal of Macroeconomics 38 (2013) PB, pp. 382-392

In this paper we study asymmetries in the Taylor rule for the United States during the 1970–2012 period. We show that monetary authorities have been constantly concerned with excess demand in overheated periods – when the output gap is positive or the unemployment rate falls below 7% or 7.5%...

Persistent link: https://www.econbiz.de/10011065304

Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter?

Frömmel, Michael; Garabedian, Garo; Schobert, Franziska - In: Journal of Macroeconomics 33 (2011) 4, pp. 807-818

We estimate monetary policy rules for six Central and Eastern European Countries (CEEC) during the period when they prepared for membership to the EU and monetary union. By taking changes in the policy settings explicitly into account and by splitting up the exchange rate impact into two...

Persistent link: https://www.econbiz.de/10011065322

Monetary policy and bank lending to small firms

Kandrac, John - In: Journal of Macroeconomics 34 (2012) 3, pp. 741-748

This paper presents an empirical test of the balance sheet channel of monetary policy. I take advantage of a panel data set containing nearly all domestic banks to search for an adjustment in lending patterns induced by changes in the stance of monetary policy. I find that in response to...

Persistent link: https://www.econbiz.de/10011065330