In this paper we construct a new monetary policy indicator (MPI) for Jamaica. Further to the construction of this indicator, two variants of augmented VAR are estimated. These are the structural VAR and a variant of the fusion between VAR and the analytical narrative-approach (ANA); forming the...

I propose a discrete choice method for estimating monetary policy reaction functions based on research by Hu and Phillips (2004). This method distinguishes between determining the underlying desired rate which drives policy rate changes and actually implementing interest rate changes. The method...

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...

This paper assesses time variation in monetary policy rules by applying a Time-Varying Parameter Generalised Methods of Moments (TVP-GMM) framework. Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries...

Exploiting confidential data on individual German bank balance-sheets, I analyse what characterises a bank that opts to apply negative interest rates to corporate deposits. The results suggest that banks that are highly exposed to the negative interest rate policy (NIRP), i.e. funded by a larger...

This paper utilizes a modified structural VAR (SVAR-X) model to analyse the process of monetary policy reaction function in turbulent period compared to the period of tranquillity. The study finds that it is crucial to distinguish between the response of monetary policy to output growth and...

No. I demonstrate that econometric estimations of nominal interest rate rules may tell little, if anything, about an economy's determinacy properties. In particular, correct inference about the interest-rate response to inflation provides no information about determinacy. Instead, it could...

Monetary policy rule parameters are usually estimated at the mean of the interest rate distribution conditional on inflation and an output gap. This is an incomplete description of monetary policy reactions when the parameters are not uniform over the conditional distribution of the interest...