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Taylor Rules and Monetary Policy : A Global 'Great Deviation'?
Hofmann, Boris - 2013
Policy rates have on aggregate been below the levels implied by the Taylor rule for most of the period since the early 2000s in both advanced and emerging market economies. This finding suggests that monetary policy has probably been systematically accommodative for most of the past decade. The...
Persistent link: https://www.econbiz.de/10013088020
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The Role of Stock and Currency Market Information in the Taylor Rule : Evidence from OECD Countries
Junttila, Juha-Pekka - 2013
The role of stock and currency market information in a forward-looking Taylor rule is analysed for monthly data from 13 OECD countries and the U.S. during the years 1988-2012. Based on a simple set of partial equilibrium conditions we fi nd that the stock market information in the form of...
Persistent link: https://www.econbiz.de/10013088739
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Endogenous Monetary Policy Regime Changes
Davig, Troy - 2013
This paper makes changes in monetary policy rules (or regimes) endogenous. Changes are triggered when certain endogenous variables cross specified thresholds. Rational expectations equilibria are examined in three models of threshold switching to illustrate that (i) expectations formation...
Persistent link: https://www.econbiz.de/10014055201
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Endogenous Monetary Policy Regime Change
Davig, Troy; Leeper, Eric M. - 2013
This paper makes changes in monetary policy rules (or regimes) endogenous. Changes are triggered when certain endogenous variables cross specified thresholds. Rational expectations equilibria are examined in three models of threshold switching to illustrate that (i) expectations formation...
Persistent link: https://www.econbiz.de/10014055631
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Robust frequency-based monetary policy rules
Dück, Alexander; Verona, Fabio - 2023
that minimize the unconditional volatilities of inflation and real activity. In our proposed approach, we take a large set … be more restrained in their inflation responses when their aim is to stabilize inflation and output growth at specific …
Persistent link: https://www.econbiz.de/10013545641
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Inflation targeting, credibility and non-linear Taylor rules
Neuenkirch, Matthias; Tillmann, Peter - 2012
In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a … stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re …-)establish credibility, optimal monetary policy under discretion is shown to set higher interest rates today if average inflation exceeded …
Persistent link: https://www.econbiz.de/10010294449
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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/10010274753
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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
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Inflation targeting, credibility and non-linear Taylor rules
Neuenkirch, Matthias; Tillmann, Peter - 2012
In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a … stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re …-)establish credibility, optimal monetary policy under discretion is shown to set higher interest rates today if average inflation exceeded …
Persistent link: https://www.econbiz.de/10009564263
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Is Monetary Policy in New Members States Asymmetric?
Vasicek, Borek - 2010
inflation targeting regime. Two different empirical frameworks are used: (i) a Generalized Method of Moments (GMM) estimation of …
Persistent link: https://www.econbiz.de/10013135011