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Displaying results 1 to 4 of 4.

  1. Data uncertainty and the role of money as an information variable for monetary policy
    Author: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Published: 2003
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  2. The zero-interest-rate and the role of the exchange rate for monetary policy in Japan
    Author: Coenen, Günter; Wieland, Volker
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,9)
    Inter-library loan:
    No inter-library loan

     

    In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations and nominal rigidities. First, we provide a quantitative analysis of the impact of the zero bound on the effectiveness of interest rate policy in Japan in terms of stabilizing output and inflation. Then we evaluate three concrete proposals that focus on depreciation of the currency as a way to ameliorate the effect of the zero bound and evade a potential liquidity trap. Finally, we investigate the international consequences of these proposals.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72634
    Series: CFS Working Paper ; 2003/09
    Subjects: monetary policy rules; zero interest rate bound; liquidity trap; rational expectations; nominal rigidities; exchange rates; monetary transmission.
    Scope: Online-Ressource (41 S.), graph. Darst.
  3. A small estimated euro area model with rational expectations and nominal rigidities
    Author: Coenen, Günter; Wieland, Volker
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    In this paper we estimate a small model of the euro area to be used as a laboratory for evaluating the performance of alternative monetary policy strategies. We start with the relationship between output and inflation and investigate the fit of the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,8)
    Inter-library loan:
    No inter-library loan

     

    In this paper we estimate a small model of the euro area to be used as a laboratory for evaluating the performance of alternative monetary policy strategies. We start with the relationship between output and inflation and investigate the fit of the nominal wage contracting model due to Taylor (1980)and three different versions of the relative real wage contracting model proposed by Buiter and Jewitt (1981)and estimated by Fuhrer and Moore (1995a) for the United States. While Fuhrer and Moore reject the nominal contracting model in favor of the relative contracting model which induces more inflation persistence, we find that both models fit euro area data reasonably well. When considering France, Germany and Italy separately, however, we find that the nominal contracting model fits German data better, while the relative contracting model does quite well in countries which transitioned out of a high inflation regime such as France and Italy. We close the model by estimating an aggregate demand relationship and investigate the consequences of the different wage contracting specifications for the inflation-output variability tradeoff, when interest rates are set according to Taylor s rule.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72639
    Series: CFS Working Paper ; 2003/08
    Subjects: European Monetary Union; euro area; macroeconomic modelling; rational expectations; nominal rigidities; overlapping wage contracts; inflation persistence; monetary policy rules
    Scope: Online-Ressource (30 S.), graph. Darst.
  4. Data uncertainty and the role of money as an information variable for monetary policy
    Author: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,7)
    Inter-library loan:
    No inter-library loan

     

    In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about current real output. We then proceed to analyze the information content of money in a forward-looking model in which monetary policy is optimally determined subject to incomplete information about the true state of the economy. We show that monetary aggregates may have substantial information content in an environment with high variability of output measurement errors, low variability of money demand shocks, and a strong contemporaneous linkage between money demand and real output. As a practical matter, however, we conclude that money has fairly limited information content as an indicator of contemporaneous aggregate demand in the euro area.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72628
    Series: CFS Working Paper ; 2003/07
    Subjects: euro area; Kalman filter; macroeconomic modelling; measurement error; monetary policy rules; rational expectations
    Scope: Online-Ressource (43 S.), graph. Darst.