Suche nach Schlagworten '19259-6'

8 entries found on 1 pages. starting on record 1 ending on 8

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Title: Inflation persistence and robust monetary policy design
Abstract
This paper investigates the performance of optimised interest rate rules when there is uncertainty about a key determinant of the monetary transmission mechanism, namely the degree of persistence characterising the inflation process. The paper focuses on the euro area and utilises two variants of an estimated small-scale macroeconomic model featuring distinct types of staggered contracts specifications which induce quite different degrees of inflation persistence. The paper shows that a cautious monetary policy-maker is welladvised to design and implement interest rate policies under the assumption that inflation persistence is high when uncertainty about the prevailing degree of inflation persistence is pervasive. [Günter Coenen]
Author: Coenen, Günter
Series Title: Working paper series / European Central Bank ; 290
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionMonetary PolicyAnti-inflation policyRobust methodTheoryMonetary transmissionInterest rate policy
Subject: Currency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Identifying the monetary transmission mechanism using structural breaks
Abstract
We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our method we estimate the parameters of a model of the USA monetary transmission mechanism. We estimate a vector autoregression and find that its parameters are unstable. However, using our proposed identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the policy rule. We recover parameter estimate of the recoverable structure and we demonstrate the these parameters are invariant to changes in policy. Since the recoverable structure includes future expectations as explanatory variables our parameter estimates are not subject to the Lucas [24] critique of econometric policy evaluation. [Andreas Beyer ; Roger E. A. Farmer]
Author: Beyer, Andreas | Farmer, Roger E. A.
Series Title: Working paper series / European Central Bank ; 275
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Rational expectationsMonetary transmissionUnited StatesVAR model
Subject: Investment returns. Financial market. Interest rates
Countries Scheme: USA
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: The output composition puzzle
Title (other): a difference in the monetary transmission mechanism in the euro area and U.S
Abstract
We revisit recent evidence on how monetary policy affects output and prices in the U.S. and in the euro area. The response patterns to a shift in monetary policy are similar in most respects, but differ noticeably as to the composition of output changes. In the euro area investment is the predominant driver of output changes, while in the U.S. consumption shifts are significantly more important. We dub this difference the output composition puzzle and explore its implications and several potential explanations for it. While the evidence seems to point at differences in consumption responses, rather than investment, as the proximate cause for this fact, the source of the consumption difference remains a puzzle. [Ignazio Angeloni, Anil K. Kashyap, Benoît Mojon and Daniele Terlizzese]
Author: Angeloni, Ignazio | Kashyap, Anil K. | Mojon, Benoît | Terlizzese, Daniele
Series Title: Working paper series / European Central Bank ; 268
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesMonetary PolicyAggregate ProductionAggregate consumptionMonetary transmissionUnited States
Countries Scheme: USA
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Macroeconomic modelling of monetary policy
Abstract
This paper proposes a new paradigm for the analysis of monetary policy. From an econometric point of view this new approach is just as easy to implement as reduced form analysis, but is robust to the Lucas critique. It requires no explicit prior theory and yet it encompasses all standard DSGE models. After introducing this new paradigm I study US monetary policy and look at the nature and the effect of monetary policy, discuss the transmission mechanism and the policy rule implied by the data, and perform counterfactual policy analysis. [Matt Klaeffling]
Author: Klaeffling, Matt
Series Title: Working paper series / European Central Bank ; 257
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicyRational expectationsMonetary transmissionUnited StatesVAR modelTime series analysisEconometric Model
Subject: Currency. Monetary policy
Countries Scheme: USA
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Persistence, the transmission mechanism and robust monetary policy
Abstract
In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks in an estimated DSGE model of euro area. We then analyse its impact on optimal monetary policy and investigate the performance of various monetary policies when the policy maker is uncertain about the degree of nominal and real persistence. [Ignazio Angeloni ; Günter Coenen ; Frank Smets]
Author: Angeloni, Ignazio | Coenen, Günter | Smets, Frank
Series Title: Working paper series / European Central Bank ; 250
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionMonetary PolicyTheoryMonetary transmission
Subject: Currency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Monetary policy transmission in the euro area
Title (other): any changes after EMU?
Abstract
We examine the euro area monetary policy transmission process using post-1999 data, with two main questions in mind: has it changed after - and because of - EMU and, if so, is it becoming homogeneous across countries. Given the data limitations, we concentrate on three blocks of transmission: the banking, interest-rate and asset-market channels. We find evidence that the transmission through banks has become more potent and homogeneous across countries because of EMU. On the financial-market channels, our evidence is somewhat weaker but suggestive. The interest-rate channel appears to have changed even before EMU, and to now affect national economies in a broadly similar way. The asset-market channel (proxied by the stock-market effects of monetary policy) also seems to work rather homogeneously across national markets (no comparison with pre-EMU is available here). A positive answer to both questions raised above represents, in our view, the best working hypothesis under current knowledge. [Ignazio Angeloni and Michael Ehrmann]
Author: Angeloni, Ignazio | Ehrmann, Michael
Series Title: Working paper series / European Central Bank ; 240
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuroEuropean Economic and Monetary UnionMonetary PolicyMonetary transmission
Subject: Currency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Monetary policy shocks in the euro area and global liquidity spillovers
Abstract
This paper analyses the international transmission of monetary shocks with a special focus on the effects of foreign money ("global liquidity") on the euro area. We estimate structural VAR models for the euro area and the global economy including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity leads to permanent increases in the euro area M3 aggregate and the price level, a temporary rise in real output and a temporary appreciation of the real effective exchange rate of the euro. Moreover, we find that innovations in global liquidity play an important role in explaining price and output fluctuations in the euro area and in the global economy. [João Sousa and Andrea Zaghini]
Author: Sousa, João | Zaghini, Andrea
Series Title: Working paper series / European Central Bank ; 309
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionMonetary PolicyShockTheoryMonetary transmissionForeign exchange reserves
Subject: Currency. Monetary policyInternational monetary system
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: What are the spill-overs from fiscal shocks in Europe?
Title (other): An empirical analysis
Abstract
We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski decomposition and a structural VAR, both of which lead to the same results. Then, we turn to study the cross-border spill-overs of fiscal shocks via the trade channel. Fiscal expansions in Germany, France and Italy lead to significant increases in imports from a number of European countries. In order to mimic the case of monetary union, we also shut off the effects via the short-term interest rate and the nominal exchange rate and find a slight strengthening on average of the cross-country spill-overs from a fiscal expansion. These results suggest that it may be worthwhile to further investigate the possibility of enhanced fiscal coordination. [Massimo Giuliodori and Roel Beetsma]
Author: Giuliodori, Massimo | Beetsma, Roel
Series Title: Working paper series / European Central Bank ; 325
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesFiscal PolicyMonetary PolicyShockTheoryMonetary transmissionVAR model
Subject: Taxation. Fiscal policyCurrency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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