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Displaying results 1 to 25 of 84.

  1. The performance of forecast-based monetary policy rules under model uncertainty
    Author: Levin, Andrew T.; Wieland, Volker; Williams, John C.
    Published: 2003
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Language: English
    Media type: Book
    Format: Online
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    DDC Categories: 330; 380; 650; 670
    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,06
    Subjects: Inflation Targeting; Geldpolitik; Aggregiertes Nationalmodell; LIMA <Modell, 1983>; HERMES-Modell; Prognoseverfahren; Theorie; Geldpolitik
    Other subjects: (stw)Inflationssteuerung; (stw)Geldpolitisches Ziel; (stw)Makroökonometrie; (stw)Prognoseverfahren; (stw)Theorie; inflation forecast targeting; optimal monetary policy; Arbeitspapier; Graue Literatur; Buch; Online-Publikation
    Scope: Online-Ressource
  2. Macroprudential policy in the New Keynesian world
    Author: Gersbach, Hans; Hahn, Volker; Liu, Yulin
    Published: [2018]
    Publisher:  CER-ETH - Center of Economic Research at ETH Zurich, Zürich

    We integrate banks and the coexistence of bank and bond financing into an otherwise standard New Keynesian framework. There are two policy-makers: a central banker, who can decide on short-term nominal interest rates, and a macroprudential... more

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    We integrate banks and the coexistence of bank and bond financing into an otherwise standard New Keynesian framework. There are two policy-makers: a central banker, who can decide on short-term nominal interest rates, and a macroprudential policy-maker, who can vary aggregate capital requirements. The two policy instruments can be used to stabilize shocks, to moderate bank credit cycles, and to induce a more efficient allocation of resources across sectors. Moreover, we investigate the optimal combination of simple policy rules for interest rates and capital requirements. The optimal policy rules imply that the central bank should focus exclusively on price stability and the macroprudential policy-maker should react exclusively to changes in loan rate premia.

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/194117
    Series: Working paper / CER-ETH - Center of Economic Research at ETH Zurich ; 18, 294 (August 2018)
    Subjects: central banks; banking regulation; capital requirements; optimal monetary policy
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  3. Optimal inflation weights in the euro area
    = Il sistema di pesi ottimale per i tassi di inflazione dei paesi dell'area euro
    Author: Bragoli, Daniela; Rigon, Massimiliano; Zanetti, Francesco
    Published: [2016]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1045 (January 2016)
    Subjects: optimal monetary policy; euro area regions; asymmetric shocks; asymmetric price stickiness
    Scope: 1 Online-Ressource (circa 37 Seiten)
  4. Reading between the lines
    uncovering asymmetry in the central bank loss function
    Author: Haavio, Markus; Heikkinen, Joni; Jalasjoki, Pirkka; Kilponen, Juha; Paloviita, Maritta; Vänni, Ilona
    Published: 12 June 2024
    Publisher:  Bank of Finland, Helsinki

    We depart from the common reaction function-based approach used to infer central bank preferences. Instead, we extract the tone from the textual information in the central bank communication using both a lexicon-based approach and a language model.... more

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    We depart from the common reaction function-based approach used to infer central bank preferences. Instead, we extract the tone from the textual information in the central bank communication using both a lexicon-based approach and a language model. We combine the tone with real-time information available to the monetary policy decision-maker and directly estimate the loss function. We find strong and robust evidence of asymmetry in the case of the European Central Bank during 1999-2021: the slope of the loss function was roughly three times steeper when inflation exceeded the target compared to when it was below the target. This represents a significant departure from the quadratic and symmetric monetary policy loss function typically applied in macro models.

     
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    hdl: 10419/298852
    Series: Bank of Finland research discussion papers ; 2024, 6
    Subjects: central bank communication; textual analysis; language models; asymmetric loss function; optimal monetary policy
    Scope: 1 Online-Ressource (circa 95 Seiten), Illustrationen
  5. Optimal quantitative easing and tightening
    Author: Harrison, Richard
    Published: [2024]
    Publisher:  Bank of England, London

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    Series: Staff working paper / Bank of England ; no. 1063 (March 2024)
    Subjects: Quantitative easing; quantitative tightening; optimal monetary policy; zero lower bound
    Scope: 1 Online-Ressource (circa 80 Seiten), Illustrationen
  6. Strike while the iron is hot
    optimal monetary policy with a nonlinear Phillips curve
    Author: Karadi, Peter; Nakov, Anton; Nuño, Galo; Pasten, Ernesto; Thaler, Dominik
    Published: September 2024
    Publisher:  CESifo, Munich, Germany

    We study the Ramsey optimal monetary policy within the Golosov and Lucas (2007) state-dependent pricing framework. The model provides micro-foundations for a nonlinear Phillips curve: the sensitivity of inflation to activity increases after large... more

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    We study the Ramsey optimal monetary policy within the Golosov and Lucas (2007) state-dependent pricing framework. The model provides micro-foundations for a nonlinear Phillips curve: the sensitivity of inflation to activity increases after large shocks due to an endogenous rise in the frequency of price changes, as observed during the recent inflation surge. In response to large cost-push shocks, optimal policy leverages the lower sacrifice ratio to reduce inflation and stabilize the frequency of price adjustments. When facing total factor productivity shocks, an efficient disturbance, the optimal policy commits to strict price stability, similar to the prescription in the standard Calvo (1983) model.

     
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    hdl: 10419/305614
    Edition: This version: September 19, 2024
    Series: CESifo working papers ; 11372 (2024)
    Subjects: state-dependent pricing; large shocks; nonlinear Phillips curve; optimal monetary policy
    Scope: 1 Online-Ressource (circa 80 Seiten), Illustrationen
  7. Information acquisition by price-setters and monetary policy
    Author: Hahn, Volker
    Published: [2007]
    Publisher:  CER-ETH - Center of Economic Research at ETH Zurich, Zurich

    In this paper we examine a model where firms decide on the intensity of information acquisition about shocks. We analyze how the monetary policy framework impacts on the aggregate amount of information collected by firms. We show that it is socially... more

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    In this paper we examine a model where firms decide on the intensity of information acquisition about shocks. We analyze how the monetary policy framework impacts on the aggregate amount of information collected by firms. We show that it is socially beneficial to delegate monetary policy to a conservative central bank even if there are no incentives to push output above its long-run level. Transparency of central banks about economic shocks has ambiguous e ects on welfare. If an extreme level of opacity is feasible, it represents the social optimum. Otherwise full transparency may be a second-best solution.

     
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    hdl: 10419/171516
    Edition: This version: September 2007
    Series: Working paper / CER-ETH - Center of Economic Research at ETH Zurich ; 07, 73 (September 2007)
    Subjects: Informationsversorgung; Preisführer; Unvollkommener Wettbewerb; Geldpolitik; Schock; Politische Kommunikation; Phillips-Kurve; Theorie; yeoman farmer model; conservative central banker; optimal monetary policy; information; acquisition; Phillips curve; transparency
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  8. Incomplete markets and households' exposure to interest rate and inflation risk
    implications for the monetary policy maker
    Published: Oct. 2007
    Publisher:  Federal Reserve Bank of Cleveland, Cleveland, Ohio

    "The present paper studies optimal monetary policy when the representative agent assumption is abandoned and financial wealth heterogeneity across households is introduced. Incomplete markets make households incapable of perfectly insuring against... more

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    "The present paper studies optimal monetary policy when the representative agent assumption is abandoned and financial wealth heterogeneity across households is introduced. Incomplete markets make households incapable of perfectly insuring against interest rate and inflation risk, creating a trade-off between price level and debt-servicing stabilization. We derive a welfare-based loss function for the policymaker, which includes an additional target related to the cross-sectional distribution of household debt. The extent of the deviation from price stability depends on the initial level of debt dispersion. Using U.S. microdata to calibrate the model, we find an optimal inflation volatility equal to almost 20 percent of the actual volatility of the last 15 years. Finally, the paper studies the design of optimal simple implementable rules. Superinertial rules, which imply a hump-shaped interest rate response to shocks, significantly outperform standard rules."--Federal Reserve Bank of Cleveland web site

     
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    Media type: Book
    Format: Online
    Series: Working paper / Federal Reserve Bank of Cleveland ; 0709
    Subjects: Geldpolitik; Private Verschuldung; Zinsrisiko; Inflation; Unvollkommener Markt; Theorie; Schätzung; USA; Monetary policy; Inflation (Finance); Interest rates
    Other subjects: Array
    Scope: Online-Ressource, 60 S. = 438 KB, Text
    Notes:

    Title from PDF file as viewed on 10/25/2007

    Includes bibliographical references

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  9. The effectiveness of monetary policy
    an assessment
    Published: June 2005

    "When monetary policies are endogenous, the conventional VAR approach for detecting the effect of monetary policies is powerless. This paper proposes to test the implication of monetary policies along a different dimension. That implication is to... more

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    "When monetary policies are endogenous, the conventional VAR approach for detecting the effect of monetary policies is powerless. This paper proposes to test the implication of monetary policies along a different dimension. That implication is to exploit the policy induced exogeneity of endogenous variables that are the source of monetary non-neutrality. We illustrate the idea by constructing a new Keynesian sticky wage model with capital accumulation and then testing the implications of optimal monetary policies for nominal wages under both complete and incomplete information. Econometric test using post war US data suggests that the nominal wage is exogenous with respect to lagged macro variables. Such exogeneity is consistent with new Keynesian models in which the monetary authority pursues active monetary policy based on information with a lag"--Federal Reserve Bank of St. Louis web site

     
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    Format: Online
    Series: Working paper series / Federal Reserve Bank of St. Louis ; 2005,052
    Subjects: Geldpolitik; Lohnrigidität; Preisrigidität; Konjunktur; USA; Monetary policy; optimal monetary policy
    Scope: Online-Ressource, 32 p., text, graph. Darst.
    Notes:

    Includes bibliographical references

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  10. Optimal monetary policy with heterogeneous agents
    Author: Nuño, Galo; Thomas, Carlos
    Published: 2016
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1624
    Subjects: optimal monetary policy; incomplete markets; Gâteaux derivative; nominal debt; inflation; redistributive effects; continuous time
    Scope: 1 Online-Ressource (circa 89 Seiten), Illustrationen
  11. Robust monetary policy under uncertainty about the lower bound
    Author: Tillmann, Peter
    Published: [2019]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    Central banks face uncertainty about the true location of the effective lower bound (ELB) on nominal interest rates. We model optimal discretionary monetary policy during a liquidity trap when the central bank designs policy that is robust with... more

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    Central banks face uncertainty about the true location of the effective lower bound (ELB) on nominal interest rates. We model optimal discretionary monetary policy during a liquidity trap when the central bank designs policy that is robust with respect to the location of the ELB. If the central bank fears the worst-case location of the ELB, monetary conditions will be more expansionary before the liquidity trap occurs.

     
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    hdl: 10419/204808
    Series: Joint discussion paper series in economics ; no. 2019, 14
    Subjects: optimal monetary policy; discretion; robust control; uncertainty; liquidity trap
    Scope: 1 Online-Ressource (circa 15 Seiten), Illustrationen
  12. Optimal monetary policy with the risk-taking channel
    Author: Abbate, Angela; Thaler, Dominik
    Published: 2021
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2137
    Subjects: risk-taking channel; optimal monetary policy; inertial policy rate
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  13. Asymmetric monetary policy rules for the euro area and the US
    Author: Maih, Junior; Mazelis, Falk; Motto, Roberto; Ristiniemi, Annukka
    Published: [2021]
    Publisher:  Norges Bank, Oslo

    We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to inflation was more forceful when inflation was... more

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    We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to inflation was more forceful when inflation was above 2% than below 2%. Since then, the ECB's policy can be characterised as symmetric, and we quantify the macroeconomic implications of this policy change. We uncover asymmetries also in the Fed's policy, which has responded more strongly in times of crisis. We compute an optimal simple rule for the EA and the US in an environment with the effective lower bound and a low neutral real rate, and find that it prescribes a stronger response to inflation and the output gap when inflation is below target compared to when it is above target. We document its stabilisation properties had this optimal rule been implemented over the last two decades.

     
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    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283792027
    Other identifier:
    hdl: 11250/2783870
    hdl: 10419/246130
    Series: Working paper / Norges Bank ; 2021, 7
    Subjects: Inflation targeting; Markov-switching DSGE; optimal monetary policy; effective lower bound; Bayesian Estimation
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  14. The macroeconomic stabilization of tariff shocks
    what is the optimal monetary response?
    Author: Bergin, Paul R.; Corsetti, Giancarlo
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Edition: Revised 28 July 2021
    Series: Cambridge working paper in economics ; 2026
    Cambridge-INET working paper series ; no.: 2020, 12
    Subjects: Social Learning; Confirmation Bias; Network; Elections; Media; tariff shock; tariff war; optimal monetary policy; comparative advantage; productionchains
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  15. The limited power of monetary policy in a pandemic
    Author: Lepetit, Antoine; Fuentes-Albero, Cristina
    Published: May 2022
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Series: BIS working papers ; no 1018
    Subjects: COVID-19; SIR macro model; state-dependent effects of monetary policy; forward guidance; monetary policy trade-offs; optimal monetary policy
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  16. Assessing Australian monetary policy in the twenty-first century
    Author: Gross, Isaac; Leigh, Andrew
    Published: September 2022
    Publisher:  IZA - Institute of Labor Economics, Bonn, Germany

    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a... more

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    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a potential recession in 2001 and mitigating the downturn in 2008-2009. By contrast we find that the cash rate was too high during 2016-2019, keeping inflation below the Reserve Bank's target band. Optimal monetary policy in 2016-2019 would have involved a substantially lower cash rate and would have produced significantly better employment outcomes.

     
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    hdl: 10419/265782
    Series: Discussion paper series / IZA ; no. 15561
    Subjects: optimal monetary policy; unemployment; output gap; inflation
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  17. Assessing Australian monetary policy in the twenty-first century
    Author: Gross, Isaac; Leigh, Andrew
    Published: September 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a... more

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    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a potential recession in 2001 and mitigating the downturn in 2008-2009. By contrast we find that the cash rate was too high during 2016-2019, keeping inflation below the Reserve Bank's target band. Optimal monetary policy in 2016-2019 would have involved a substantially lower cash rate and would have produced significantly better employment outcomes.

     
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    hdl: 10419/265994
    Series: CESifo working paper ; no. 9959 (2022)
    Subjects: optimal monetary policy; unemployment; output gap; inflation
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  18. An efficient application of the extended path algorithm in Matlab with examples
    Author: Binning, Andrew
    Published: July 2022
    Publisher:  New Zealand Treasury, Wellington, New Zealand

    Recent experience with interest rates hitting the effective lower bound and agents facing binding borrowing constraints has emphasised the importance of understanding the behaviour of an economy in which some variables may be restricted at times. The... more

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    Recent experience with interest rates hitting the effective lower bound and agents facing binding borrowing constraints has emphasised the importance of understanding the behaviour of an economy in which some variables may be restricted at times. The extended path algorithm is a commonly used and fairly general method for solving dynamic nonlinear models with rational expectations. This algorithm can be used for a wide range of cases, including for models with occasionally binding constraints, or for forecasting with models in which some variables must satisfy a certain path. In this paper I propose computational improvements to the algorithm that speed up the calculations via vectorisations of the Jacobian matrix and residual equations. I illustrate the advantages of the method with a number of policy relevant applications: conditional forecasting with both exactly identified and underidentified shocks, occasionally binding constraints on interest rates, anticipated shocks, calendar-based forward guidance, optimal monetary policy with a binding constraint and transition paths.

     
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    hdl: 10419/268088
    Series: New Zealand Treasury working paper ; 22, 02
    Subjects: Extended path algorithm; conditional forecasting; occasionally binding constraints; effective lower bound; optimal monetary policy; transition paths
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  19. More gray, more volatile?
    aging and (optimal) monetary policy
    Author: Baksa, Daniel; Munkacsi, Zsuzsa
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    The evidence on the inflation impact of aging is mixed, and there is no evidence regarding the volatility of inflation. Based on advanced economies' data and a DSGE-OLG model, we find that aging leads to downward pressure on inflation and higher... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Bibliothek der Pädagogischen Hochschule Freiburg/Breisgau
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Technische Universität Hamburg, Universitätsbibliothek
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    Thüringer Universitäts- und Landesbibliothek
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    Fachhochschule Kiel, Zentralbibliothek
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    The evidence on the inflation impact of aging is mixed, and there is no evidence regarding the volatility of inflation. Based on advanced economies' data and a DSGE-OLG model, we find that aging leads to downward pressure on inflation and higher inflation volatility. Our paper is also the first, using this framework, to discuss how aging affects the transmission channels of monetary policy. We are also the first to examine aging and optimal central bank policies. As aging redistributes wealth among generations and the labor force becomes more scarce, our model suggests that aging makes monetary policy less effective and in more gray societies central banks should react more strongly to nominal variables

     
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  20. Uninsured unemployment risk and optimal monetary policy
    Author: Challe, Edouard
    Published: [2017]
    Publisher:  Centre de recherche en economie et statistique, [Palaiseau]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 647
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Série des documents de travail / Centre de recherche en economie et statistique ; no. 2017, 54
    Subjects: Unemployment risk; imperfect insurance; optimal monetary policy
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  21. Measuring uncertainty of optimal simple monetary policy rules in DSGE models
    Author: Górajski, Mariusz; Kuchta, Zbigniew
    Published: [2018]
    Publisher:  Faculty of Economics and Sociology, University of Lodz, [Lodz]

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    Language: English
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    Other identifier:
    hdl: 11089/26083
    Series: Lodz economics working papers ; 2018, 6
    Subjects: optimal monetary policy; DSGE; uncertainty
    Scope: 1 Online-Ressource (circa 33Seiten), Illustrationen
  22. Monetary policy for a bubbly world
    Author: Ventura, Jaume; Asriyan, Vladimir; Fornaro, Luca; Martin, Alberto
    Published: 16 June 2019
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Language: English
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    Series: Array ; DP13803
    Subjects: bubbles; financial frictions; optimal monetary policy; liquidity trap
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  23. Lords and vassals
    power, patronage, and the emergence of inequality
    Author: Akerlof, Robert; Li, Hongyi; Yeo, Jonathan
    Published: 16 June 2019
    Publisher:  University of Warwick, Department of Economics, Coventry, United Kingdom

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    Series: Warwick economics research papers ; no: 1251 (March 2020)
    Subjects: bubbles; financial frictions; optimal monetary policy; liquidity trap
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  24. Optimal monetary policy according to HANK
    Author: Acharya, Sushant; Challe, Edouard; Dogra, Keshav
    Published: [2020]
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We study optimal monetary policy in a heterogeneous agent new Keynesian economy. A utilitarian planner seeks to reduce consumption inequality, in addition to stabilizing output gaps and inflation. The planner does so both by reducing income risk... more

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    We study optimal monetary policy in a heterogeneous agent new Keynesian economy. A utilitarian planner seeks to reduce consumption inequality, in addition to stabilizing output gaps and inflation. The planner does so both by reducing income risk faced by households, and by reducing the pass-through from income to consumption risk, trading off the benefits of lower inequality against productive inefficiency and higher inflation. When income risk is countercyclical, policy curtails the fall in output in recessions to mitigate the increase in inequality. We uncover a new form of time inconsistency of the Ramsey plan-the temptation to exploit households' unhedged interest rate exposure to lower inequality.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/241109
    Series: Staff report / Federal Reserve Bank of New York ; no. 916 (February 2020)
    Subjects: new Keynesian model; incomplete markets; optimal monetary policy
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  25. 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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    Language: English
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    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