Similar Search Results

Estimated Interest Rate Rules : Do They Determine Determinacy Properties?

Jensen, Henrik - 2011

economy's determinacy properties. In particular, correct inference about the interest-rate response to inflation provides no …

Persistent link: https://www.econbiz.de/10013131936

A Model of the Euro-Area Yield Curve with Discrete Policy Rates

Renne, Jean-Paul - 2013

This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behavior of risk premia at the short end of the yield curve. These risk premia are neglected by the...

Persistent link: https://www.econbiz.de/10013090277

A Model of the Euro-Area Yield Curve with Discrete Policy Rates

Renne, Jean-Paul - 2013

In this paper, I investigate the effects of the ECB's monetary policy on the yield curve, and make contributions at three levels. First, I propose a novel and tractable model of the yield curve that belongs to the class of affine term-structure models. Importantly, this model is consistent with...

Persistent link: https://www.econbiz.de/10013090831

Are Taylor-Based Monetary Policy Rules Forward-Looking? An Investigation Using Superexogeneity Tests

Sooreea, Rajeev - 2008

inflation changes, that is the Lucas critique applies, then inflation is not superexogenous for the parameters of the Taylor … the volatility of inflation (captured by a discrete heteroskedastic variance model of regime shifts) reduced by almost 50 … percent, we fail to reject the null that inflation is superexogenous to the parameters of the Taylor rule. This implies that …

Persistent link: https://www.econbiz.de/10012768362

Monetary Policy Rule Re-Estimated

Arefeva, Alina; Arefyev, Nikolay - 2021

We propose a new method of identification of the monetary policy rule. Using this method, we argue that, before the Great Moderation, the Federal Reserve implemented the Friedman policy of steady money growth as could be interpreted and adopted by the policymakers in the 1960s and 1970s. During...

Persistent link: https://www.econbiz.de/10013221128

Estimated Policy Rules for Capital Controls

Pasricha, Gurnain - 2020

-through to export prices, and having an inflation targeting regime with non-freely floating exchange rates, increase …

Persistent link: https://www.econbiz.de/10012829284

Inflation Targeting and Nonlinear Policy Rules : The Case of Asymmetric Preferences

Surico, Paolo - 2021

-makers are allowed to weight differently positive and negative deviations of inflation and output from the target values. Reduced … expansions of the same magnitude. This asymmetry is shown to induce an average inflation bias of 1.11% that appears to have … substantially contributed to the great inflation of the 1960s and 1970s …

Persistent link: https://www.econbiz.de/10013318978

Forecasting ECB policy rates with different monetary policy rules

Belke, Ansgar; Klose, Jens - 2019

This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared....

Persistent link: https://www.econbiz.de/10012063951

Forecasting ECB policy rates with different monetary policy rules

Belke, Ansgar; Klose, Jens - 2019

Persistent link: https://www.econbiz.de/10012034314

U.S. monetary-fiscal regime changes in the presence of endogenous feedback in policy rules

Chang, Yoosoon; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 2017

We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to...

Persistent link: https://www.econbiz.de/10011657240