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  1. Optimal monetary policy regime switches
    Author: Choi, Jason; Foerster, Andrew
    Published: January 28, 2019
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2019, 03 (January 2019)
    Subjects: growth rate; optimal policy; regime switching; Taylor rule; inflation target; zero lower bound
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. Gains from wage flexibility and the zero lower bound
    Author: Billi, Roberto M.; Galí, Jordi
    Published: (December 2018)
    Publisher:  GSE, Graduate School of Economics, Barcelona

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This versión: February 2019
    Series: Barcelona GSE working paper series ; no 1066
    Subjects: labor market áexibility; nominal rigidities; optimal monetary policy with commitment; Taylor rule; ZLB
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. Endogenous monetary policy regime change
    Author: Davig, Troy; Leeper, Eric M.
    Published: 2006
    Publisher:  National Bureau of Economic Research, Cambridge, Mass.

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    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 12405
    Subjects: Geldpolitik; Regelbindung versus Diskretion; Inflationssteuerung; Taylor-Regel; Wirkungsanalyse; Schock; Erwartungsbildung; Theorie; Threshold switching
    Other subjects: Array
    Scope: 35 S., graph. Darst.
    Notes:

    Literaturverz. S. 20 - 22

    Internetausg.: papers.nber.org/papers/w12405.pdf - lizenzpflichtig
  4. The Taylor rule and the transformation of monetary policy
    Published: 2007
    Publisher:  Federal Research Bank of Kansas City, Research Division, Kansas City, Mo.

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    Series: Working papers / Federal Research Bank of Kansas City, Economic Research Department ; 07,11
    Subjects: Taylor-Regel; Geldpolitik; Ökonomische Ideengeschichte; Regelbindung versus Diskretion; Regelbindung versus Diskretion; Vergleich; Theorie; USA
    Other subjects: Array
    Scope: Online-Ressource (39 S.)
  5. Financial stability and the Fed
    evidence from congressional hearings
    Author: Wischnewsky, Arina; Jansen, David-Jan; Neuenkirch, Matthias
    Published: [2019]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Series: Working paper / De Nederlandsche Bank NV ; no. 633 (May 2019)
    Subjects: monetary policy; financial stability; Taylor rule; text mining
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  6. Gains from wage flexibility and the zero lower bound
    Author: Billi, Roberto M.; Galí, Jordi
    Published: March 2019
    Publisher:  Sveriges Riksbank, Stockholm

    We analyze the welfare impact of greater wage flexibility while taking into account explicitly the existence of the zero lower bound (ZLB) constraint on the nominal interest rate. We show that the ZLB constraint generally amplifies the adverse... more

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    We analyze the welfare impact of greater wage flexibility while taking into account explicitly the existence of the zero lower bound (ZLB) constraint on the nominal interest rate. We show that the ZLB constraint generally amplifies the adverse effects of greater wage flexibility on welfare when the central bank follows a conventional Taylor rule. When demand shocks are the driving force, the presence of the ZLB implies that an increase in wage flexibility reduces welfare even under the optimal monetary policy with commitment.

     
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    Language: English
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    hdl: 10419/215445
    Series: Sveriges Riksbank working paper series ; 367
    Subjects: labor market ‡flexibility; nominal rigidities; optimal monetary policy with commitment; Taylor rule; ZLB
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  7. The monetary policy of the South African Reserve Bank
    stance, communication and credibility
    Author: Coco, Alberto; Viegi, Nicola
    Published: June 2020
    Publisher:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    Source: Union catalogues
    Language: English
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    Format: Online
    Series: South African Reserve Bank working paper series ; WP, 20, 06
    Subjects: Inflation Targeting; Taylor rule; Natural Language Processing; Inflation Expectations; South Africa
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  8. A note on temporary supply shocks with aggregate demand inertia
    Author: Simsek, Alp; Caballero, Ricardo J.
    Published: 15 December 2021
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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  9. Taylor rule yield curve
    Author: Hattori, Masazumi; Mineyama, Tomohide; Nakajima, Jouchi
    Published: January 2021
    Publisher:  Tokyo Center for Economic Research, Tokyo, Japan

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: TCER working paper series ; E-156
    Subjects: global financial crisis (GFC); monetary policy; Taylor rule; unconventional monetary policy
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  10. Financial stability and the Fed
    evidence from congressional hearings
    Author: Wischnewsky, Arina; Jansen, David-Jan; Neuenkirch, Matthias
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper retraces how financial stability considerations interacted with U.S. monetary policy before and during the Great Recession. Using text-mining techniques, we construct indicators for financial stability sentiment expressed during... more

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    This paper retraces how financial stability considerations interacted with U.S. monetary policy before and during the Great Recession. Using text-mining techniques, we construct indicators for financial stability sentiment expressed during testimonies of four Federal Reserve Chairs at Congressional hearings. Including these text-based measures adds explanatory power to Taylor-rule models. In particular, negative financial stability sentiment coincided with a more accommodative monetary policy stance than implied by standard Taylor-rule factors, even in the decades before the Great Recession. These findings are consistent with a preference for monetary policy reacting to financial instability rather than acting pre-emptively to a perceived build-up of risks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201883
    Edition: This version: May 2019
    Series: Array ; no. 7657 (May 2019)
    Subjects: monetary policy; financial stability; Taylor rule; text mining
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  11. Trend fundamentals and exchange rate dynamics
    Author: Huber, Florian; Kaufmann, Daniel
    Published: [2019]
    Publisher:  University of Salzburg, [Salzburg]

    We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy... more

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    We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of unemployment, and interest rate smoothing. Compared to the existing literature, our model simultaneously provides estimates of the latent components included in a typical Taylor rule specification and the model-based real exchange rate. Our estimates closely track major movements along with important time series properties of real and nominal exchange rates across all currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend unemployment. More precisely, the proposed approach improves upon competing models in tracking the actual evolution of the real exchange rate in terms of simple correlations while it appreciably improves upon simpler competitors in terms of matching the persistence of the real exchange rate.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/224101
    Series: Working papers in economics ; no. 2019, 04
    Subjects: Exchange rate models; trend inflation; natural rate of unemployment; Taylor rule; unobserved components stochastic volatility model
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  12. The signalling channel of negative interest rates
    Author: De Groot, Oliver; Haas, Alexander
    Published: 03 January 2020
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP14268
    Subjects: monetary policy; Taylor rule; forward guidance; liquidity trap
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  13. Modeling changes in US monetary policy
    Author: Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David
    Published: [{2016]
    Publisher:  Lancaster University Management School, Lancester

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    Source: Union catalogues
    Language: English
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    Format: Online
    Series: Economics working paper series ; 2016/011
    Subjects: Real-time data; Taylor rule; Monetary policy rules; Particle filter; Asymmetric objective; Time-varying parameter model; Stochastic volatility
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  14. Forecasting the nominal exchange rate movements in a changing world
    the case of the US and the UK
    Author: Promponas, Pantelis; Peel, David
    Published: [2016]
    Publisher:  Lancaster University Management School, Lancester

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    Series: Economics working paper series ; 2016/022
    Subjects: Forecasting exchange rate; Exchange rate literature; Instability; Taylor rule; PPP; UIP; Money supply; Real-time estimation; Time-Varying models; DSGE model; Bayesianmethods
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  15. Financial frictions and the volatility of monetary policy in a DSGE model
    Author: Nguyen, Anh D. M.
    Published: [2015]
    Publisher:  Lancaster University Management School, Lancester

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    Series: Economics working paper series ; 2015/006
    Subjects: DSGE models; Financial accelerator; Taylor rule; Monetary policy; Stochastic Volatility; Particle Filter; Higher-order approximations; Policy uncertainty
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  16. Central banks going long
    Author: Reis, Ricardo
    Published: [2018]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Language: English
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    Series: CFM discussion paper series ; CFM-DP 2018, 10 (April 2018)
    Subjects: Geldpolitik; Taylor-Regel; Zinspolitik; USA; Großbritannien; Taylor rule; yield curve; pegs; ceilings; affine models
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  17. Unemployment fluctuations and nominal GDP targeting
    Author: Billi, Roberto M.
    Published: January 2020
    Publisher:  Sveriges Riksbank, Stockholm

    I evaluate the welfare performance of a target for the level of nominal GDP in a New Keynesian model with unemployment, accounting for a zero lower bound (ZLB) constraint on the nominal interest rate. Nominal GDP targeting is compared to employment... more

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    I evaluate the welfare performance of a target for the level of nominal GDP in a New Keynesian model with unemployment, accounting for a zero lower bound (ZLB) constraint on the nominal interest rate. Nominal GDP targeting is compared to employment targeting, a conventional Taylor rule, and the optimal monetary policy with commitment. I find that employment targeting is optimal when supply shocks are the source of ‡fluctuations; however, facing demand shocks and the ZLB constraint, nominal GDP targeting can outperform substantially employment targeting.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/215463
    Series: Sveriges Riksbank working paper series ; 385
    Subjects: employment targeting; optimal monetary policy; Taylor rule; ZLB
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  18. Deciphering monetary policy board minutes through text mining approach
    the case of Korea
    Author: Park, Ki Young; Lee, Youngjoon; Kim, Soohyon
    Published: 2019. 1
    Publisher:  The Bank of Korea, Seoul, Korea

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    Series: BOK working paper ; no. 2019, 1
    Subjects: Monetary policy; Text mining; Central banking; Bank of Korea; Taylor rule
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  19. Alternative Strategies
    how do they work? ; how might they help?
    Author: Arias, Jonas; Bodenstein, Martin; Chung, Hess; Drautzburg, Thorsten; Raffo, Andrea
    Published: August 2020
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Source: Union catalogues
    Language: English
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    Series: Finance and economics discussion series ; 2020, 068
    Subjects: Inflation stabilization; effective lower bound; Taylor rule; alternativemonetary policy strategies; monetary policy communication
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  20. Financial stability and the fed
    evidence from congressional hearings
    Author: Wischnewsky, Arina; Jansen, David-Jan; Neuenkirch, Matthias
    Published: 2020
    Publisher:  Verein für Socialpolitik, [Köln]

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    Source: Union catalogues
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    hdl: 10419/224527
    Edition: First draft: December 2018, this version: January 2020
    Series: Jahrestagung 2020 / Verein für Socialpolitik ; 36
    Subjects: monetary policy; financial stability; Taylor rule; text mining
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  21. On the use of current or forward-looking data in monetary policy
    a behavioural macroeconomic approach
    Author: De Grauwe, Paul; Ji, Yuemei
    Published: January 2021
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We analyse the use of current and forward-looking data in the setting of monetary policy (Taylor rule). We answer the question of whether the use of forward-looking data is to be preferred over the use of current data. We use a behavioural... more

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    We analyse the use of current and forward-looking data in the setting of monetary policy (Taylor rule). We answer the question of whether the use of forward-looking data is to be preferred over the use of current data. We use a behavioural macroeconomic model that generates periods of tranquillity alternating with crisis periods characterized by fat tails in the distribution of output gap. We find that the answer to our question depends on the nature of the monetary policy regime. In general, in a strict inflation targeting regime the use of forward-looking data leads to a lower quality of monetary policymaking than in a dual mandate monetary policy regime. Finally, nowcasting tends to improve the quality of monetary policy especially in a strict inflation targeting regime.

     
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    hdl: 10419/232450
    Series: CESifo working paper ; no. 8853 (2021)
    Subjects: Taylor rule; behavioural macroeconomics; animal spirits; strict inflation targeting; dual mandate; nowcasting
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  22. Communicating monetary policy rules
    Author: Davig, Troy; Foerster, Andrew
    Published: 2021
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Source: Union catalogues
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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2021, 11 (April 2021)
    Subjects: monetary policy; in‡ation targeting; Taylor rule; communication
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
    Notes:

    Zählung in dem Heft ist fälschlicherweise 2021-11 anstatt 2021-12
  23. A computational algorithm to analyze unobserved sequential reactions of the central banks
    inference on complex lead-lag relationship in evolution of policy stances
    Author: Chakrabarti, Anindya S.; Kumar, Sudarshan
    Published: [2019]
    Publisher:  Indian Institute of Management, Ahmedabad, India

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    Source: Union catalogues
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    Series: [Working papers] / Indian Institute of Management ; W.P. no. 2019, 06-02 (June 2019)
    Subjects: Monetary policy; Taylor rule; time-varying coefficients; Hilbert transformation; principle component
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  24. Taylor rule estimation by OLS
    Author: Carvalho, Carlos Viana de; Eusepi, Stefano; Mönch, Emanuel; Preston, Bruce
    Published: [2021]
    Publisher:  [Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro], [Rio de Janeiro, RJ]

    Ordinary Least Squares (OLS) estimation of monetary policy rules produces potentially inconsistent estimates of policy parameters. The reason is that central banks react to variables, such as in ation and the output gap, which are endogenous to... more

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    Ordinary Least Squares (OLS) estimation of monetary policy rules produces potentially inconsistent estimates of policy parameters. The reason is that central banks react to variables, such as in ation and the output gap, which are endogenous to monetary policy shocks. Endogeneity implies a correlation between regressors and the error term, and hence, an asymptotic bias. In principle, Instrumental Variables (IV) estimation can solve this endogeneity problem. In practice, IV estimation poses challenges, as the validity of potential instruments depends on various unobserved features of the economic environment. We argue in favor of OLS estimation of monetary policy rules. To that end, we show analytically in the three-equation New Keynesian model that the asymptotic OLS bias is proportional to the fraction of the variance of regressors accounted for by monetary policy shocks. Using Monte Carlo simulation, we then show that this relationship also holds in a quantitative model of the U.S. economy. As monetary policy shocks explain only a small fraction of the variance of regressors typically included in monetary policy rules, the endogeneity bias is small. Using simulations, we show that, for realistic sample sizes, the OLS estimator of monetary policy parameters outperforms IV estimators.

     
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    hdl: 10419/249734
    Series: Texto para discussão / PUC Rio, Departamento de Economia ; no. 686
    Subjects: Taylor rule; OLS; GMM; endogeneity bias; weak instruments; New Keynesian models
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  25. Interest rate rules, rigidities and inflation risks in a macro-finance model
    Author: Horváth, Roman; Kaszab, Lorant; Mars, Ales
    Published: June 2021
    Publisher:  Magyar Nemzeti Bank, Budapest

    Long-term bond yields contain a risk-premium, an important part of which is compensation for inflation risks. The substantial increase in the Fed funds rate in the mid-2000s did not raise long-term US Treasury yields due to the reduction in the term... more

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    Long-term bond yields contain a risk-premium, an important part of which is compensation for inflation risks. The substantial increase in the Fed funds rate in the mid-2000s did not raise long-term US Treasury yields due to the reduction in the term premium (so-called Greenspan conundrum) which was typically thought to be exogenous for monetary policy. We show using a New Keynesian macro-finance model that the term premium is endogenous and is greatly influenced by the specification of the Taylor rule. Finally, we extend the model with frictions (richer fiscal setup and wage rigidity) that are known to help jointly match macro and finance data and estimate the model on US data in 1961-2007 by the generalized methods of moments and simulated methods of moments.

     
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    Other identifier:
    hdl: 10419/241079
    Series: MNB working papers ; 2021, 2
    Subjects: zero-coupon bond; nominal term premium; inflation risk; Taylor rule; New Keynesian; labor income taxation; wage rigidity; GMM; SMM
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen