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News and Monetary Shocks at a High Frequency: A Simple Approach 高频新闻和货币冲击:一个简单的方法
ERN: Monetary Policy (Topic) Pub Date : 2014-09-01 DOI: 10.5089/9781498324854.001.A001
Troy D. Matheson, Emil Stavrev
{"title":"News and Monetary Shocks at a High Frequency: A Simple Approach","authors":"Troy D. Matheson, Emil Stavrev","doi":"10.5089/9781498324854.001.A001","DOIUrl":"https://doi.org/10.5089/9781498324854.001.A001","url":null,"abstract":"We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its quantitative easing program. Our findings show that the sharp rise in 10-year Treasury bond yields immediately after the taper talk was largely due to monetary shocks, with positive economic news becoming increasingly important in subsequent months.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124626329","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 48
Estimating Time-Varying DSGE Models Using Minimum Distance Methods 用最小距离法估计时变DSGE模型
ERN: Monetary Policy (Topic) Pub Date : 2014-08-22 DOI: 10.2139/ssrn.2487806
L. Giraitis, G. Kapetanios, Konstantinos Theodoridis, T. Yates
{"title":"Estimating Time-Varying DSGE Models Using Minimum Distance Methods","authors":"L. Giraitis, G. Kapetanios, Konstantinos Theodoridis, T. Yates","doi":"10.2139/ssrn.2487806","DOIUrl":"https://doi.org/10.2139/ssrn.2487806","url":null,"abstract":"This paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the US data set constructed by Smets and Wouters. We use an indirect inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium (DSGE) parameters. We find that many parameters change substantially, particularly those defining nominal rigidities, habits and investment adjustment costs. In contrast to the ‘Great Moderation’ literature our monetary policy parameter estimates suggest that authorities tried to deliver a low and stable inflation from 1975 onwards. However, the severe adverse supply shocks in the 70s could have caused these policies to fail.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127107955","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
The Liquidity Premium of Near-Money Assets 近货币资产的流动性溢价
ERN: Monetary Policy (Topic) Pub Date : 2014-06-01 DOI: 10.2139/ssrn.2458082
S. Nagel
{"title":"The Liquidity Premium of Near-Money Assets","authors":"S. Nagel","doi":"10.2139/ssrn.2458082","DOIUrl":"https://doi.org/10.2139/ssrn.2458082","url":null,"abstract":"This article examines the link between the opportunity cost of money and time-varying liquidity premia of near-money assets. Higher interest rates imply higher opportunity costs of holding money and hence a higher premium for the liquidity service benefits of assets that are close substitutes for money. Consistent with this theory, short-term interest rates in the United States, United Kingdom, and Canada have a strong positive relationship with the liquidity premium of Treasury bills and other near-money assets over periods going back to the 1920s. Once the opportunity cost of money is taken into account, Treasury security supply variables lose their explanatory power for the liquidity premium, except for transitory short-run effects. These findings indicate a high elasticity of substitution between money and near-money assets. As a consequence, a central bank that follows an interest rate operating target not only elastically accommodates and neutralizes shocks to money demand, but effectively also shocks to near-money asset supply and demand.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114402598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 287
Has U.S. Monetary Policy Tracked the Efficient Interest Rate? 美国货币政策跟踪有效利率了吗?
ERN: Monetary Policy (Topic) Pub Date : 2014-05-19 DOI: 10.2139/ssrn.2438903
Vasco Cúrdia, A. ferrero, G. Ng, Andrea Tambalotti
{"title":"Has U.S. Monetary Policy Tracked the Efficient Interest Rate?","authors":"Vasco Cúrdia, A. ferrero, G. Ng, Andrea Tambalotti","doi":"10.2139/ssrn.2438903","DOIUrl":"https://doi.org/10.2139/ssrn.2438903","url":null,"abstract":"Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This result holds for a variety of specifications of the other ingredients of the policy rule, including the output gap, and of private agents׳ behavior.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"122 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124603535","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 77
Structural Evolution of the Postwar U.S. Economy 战后美国经济的结构演变
ERN: Monetary Policy (Topic) Pub Date : 2014-03-07 DOI: 10.2139/ssrn.2277334
Yuelin Liu, J. Morley
{"title":"Structural Evolution of the Postwar U.S. Economy","authors":"Yuelin Liu, J. Morley","doi":"10.2139/ssrn.2277334","DOIUrl":"https://doi.org/10.2139/ssrn.2277334","url":null,"abstract":"We consider a time-varying parameter vector autoregressive model with stochastic volatility and mixture innovations to study the empirical relevance of the Lucas critique for the postwar U.S. economy. The model allows blocks of parameters to change at endogenously estimated points of time. Contrary to the Lucas critique, there are large changes at certain points of time in the parameters associated with monetary policy that do not correspond to changes in “reduced-form” parameters for inflation or the unemployment rate. However, the structure of the U.S. economy has evolved considerably over the postwar period, with an apparent reduction in the late 1980s in the impact of monetary policy shocks on inflation, though not on the unemployment rate. Related, we find changes in the Phillips curve tradeoff between inflation and cyclical unemployment (measured as the deviation from the time-varying steady-state unemployment rate implied by the model) in the 1970s and especially since the mid-1990s.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131036630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program 闻起来像财政政策?评估欧洲央行OMT计划的潜在有效性
ERN: Monetary Policy (Topic) Pub Date : 2014-02-20 DOI: 10.2139/ssrn.2404864
Nikolay Hristov, Oliver Hülsewig, Thomas Siemsen, T. Wollmershaeuser
{"title":"Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program","authors":"Nikolay Hristov, Oliver Hülsewig, Thomas Siemsen, T. Wollmershaeuser","doi":"10.2139/ssrn.2404864","DOIUrl":"https://doi.org/10.2139/ssrn.2404864","url":null,"abstract":"This paper explores the potential effectiveness of the ECB’s Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting sovereign bond purchases on secondary markets, a stable relationship between bank lending rates and government bond rates is of prime importance. Using vector autoregressive models with time varying parameters (TVP–VAR) we evaluate the stability of this relationship by focusing on the reaction of bank lending rates to movements in government bond rates over the period 2003–2013. Our results suggest that the potential success of OMTs in restoring the monetary transmission mechanism is limited as the link between bank lending rates and government bond rates has substantially weakened since the end of 2008.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"144 5-6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129462977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Measuring the Stance of Monetary Policy in Conventional and Unconventional Environments 衡量传统和非常规环境下的货币政策立场
ERN: Monetary Policy (Topic) Pub Date : 2014-01-19 DOI: 10.2139/ssrn.2381654
Leo Krippner
{"title":"Measuring the Stance of Monetary Policy in Conventional and Unconventional Environments","authors":"Leo Krippner","doi":"10.2139/ssrn.2381654","DOIUrl":"https://doi.org/10.2139/ssrn.2381654","url":null,"abstract":"This article introduces an idea for summarizing of the stance of monetary policy with quantities derived from a class of yield curve models that respect the zero lower bound constraint for interest rates. The \"economic stimulus measure\" aggregates the current and estimated expected path of interest rates relative to the neutral interest rate from the yield curve model. Unlike shadow short rates, economic stimulus measures are consistent and comparable across conventional and unconventional monetary policy environments, and are less subject to variation with modelling choices, as I demonstrate with two and three factor models estimated with different data sets. Full empirical testing of the inter-relationships between ES measures and macroeconomic data remains a topic for future work.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114990775","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 56
Monetary Policy and Real Borrowing Costs at the Zero Lower Bound 零下限下的货币政策和实际借贷成本
ERN: Monetary Policy (Topic) Pub Date : 2013-12-19 DOI: 10.2139/ssrn.2446845
Simon Gilchrist, D. López-Salido, Egon Zakraǰsek
{"title":"Monetary Policy and Real Borrowing Costs at the Zero Lower Bound","authors":"Simon Gilchrist, D. López-Salido, Egon Zakraǰsek","doi":"10.2139/ssrn.2446845","DOIUrl":"https://doi.org/10.2139/ssrn.2446845","url":null,"abstract":"This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the 2-year Treasury yield around policy announcements and changes in the 10-year Treasury yield that are orthogonal to those in the 2-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114632718","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 184
Aiming Low or Reacting Strongly? Investigating the Source of the Time Variation in U.S. Monetary Policy 目标低还是反应强烈?美国货币政策时间变化的根源研究
ERN: Monetary Policy (Topic) Pub Date : 2013-11-18 DOI: 10.2139/ssrn.2356261
Yu-Fan Huang
{"title":"Aiming Low or Reacting Strongly? Investigating the Source of the Time Variation in U.S. Monetary Policy","authors":"Yu-Fan Huang","doi":"10.2139/ssrn.2356261","DOIUrl":"https://doi.org/10.2139/ssrn.2356261","url":null,"abstract":"Through the lens of the Taylor rule, New Keynesian models suggest that a central bank can enhance the macroeconomic stability by aiming for a low inflation target and by strengthening the response to changes in inflation, but these two strategies are difficult to be identified empirically.Using the Bayesian model comparison, I find that the evidence for the Markov-switching response to inflation vanishes when the time variations of the inflation target in the past four decades are taken account for. This paper provides empirical supports for the hypothesis that the low-inflation-target policy conducted by Volcker stabilized inflation expectation and contributed to the Great Moderation.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115097971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Inflation&Apos;S Role in Optimal Monetary-Fiscal Policy 通货膨胀在最优货币财政政策中的作用
ERN: Monetary Policy (Topic) Pub Date : 2013-11-01 DOI: 10.3386/w19686
E. Leeper, Xuan Zhou
{"title":"Inflation&Apos;S Role in Optimal Monetary-Fiscal Policy","authors":"E. Leeper, Xuan Zhou","doi":"10.3386/w19686","DOIUrl":"https://doi.org/10.3386/w19686","url":null,"abstract":"We study how the maturity structure of nominal government debt affects optimal monetary and fiscal policy decisions and equilibrium outcomes in the presence of distortionary taxes and sticky prices. Key findings are: (1) there is always a role for current and future inflation innovations to revalue government debt, reducing reliance on distorting taxes; (2) the role of inflation in optimal fiscal financing increases with the average maturity of government debt; (3) as average maturity rises, it is optimal to tradeoff inflation for output stabilization; (4) inflation is relatively more important as a fiscal shock absorber in high-debt than in low-debt economies; (5) in some calibrations that are relevant to U.S. data, welfare under the fully optimal monetary and fiscal policies can be made equivalent to the welfare under the conventional optimal monetary policy with passively adjusting lump-sum taxes by extending the average maturity of bond.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116731227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 21
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