Record ID
|
649
[ Page 5 of 68, No. 1 ]
|
Date
|
2016-07 |
Author
|
Michelle Lewis and John McDermott
|
Affiliation
|
Reserve Bank of New Zealand |
Title
|
New Zealand's experience with changing its inflation target and the impact on inflation expectations |
Summary / Abstract
|
We document the experience of the Reserve Bank of New Zealand in changing its inflation target, particularly the effects on inflation expectations. Firstly, the Reserve Bank of New Zealand's DSGE model is used to highlight expectation-formation in the transmission following a change in the inflation target. Secondly, a Nelson-Siegel model is used to combine a number of inflation expectation surveys into a continuous curve where expectations can be plotted as a function of the forecast horizon. Using estimates of long-run inflation expectations derived from the Nelson-Siegel model, we find that numerical changes in the inflation target result in an immediate change in inflation expectations. |
Keywords
|
Inflation target, inflation expectations |
URL
|
http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Discussion%20papers/2016/dp16-07.pdf
|
Record ID
|
648
[ Page 5 of 68, No. 2 ]
|
Date
|
2016-05 |
Author
|
Nicoletta Batini, Giovanni Melina, and Stefania Villa
|
Affiliation
|
European Department, IMF, Research Department, IMF, and University of Foggia & KU Leuven |
Title
|
Fiscal Buffers, Private Debt, and Stagnation: The Good, the Bad and the Ugly |
Summary / Abstract
|
We revisit the empirical relationship between private/public debt and output, and build a model that reproduces it. In the model, the government provides financial assistance to credit-constrained agents to mitigate deleveraging. As we observe in the data, surges in private debt are potentially more damaging for the economy than surges in public debt. The model suggests two policy implications. First, capping leverage leads to milder recessions, but also implies more muted expansions. Second, with fiscal buffers, financial assistance to credit-constrained agents helps avoid stagnation. The growth returns from intervention decline as the government approaches the fiscal limit. |
Keywords
|
Private debt, public debt, borrowing constraints, fiscal limits, DSGE |
URL
|
http://www.imf.org/external/pubs/ft/wp/2016/wp16104.pdf
|
Record ID
|
647
[ Page 5 of 68, No. 3 ]
|
Date
|
2016-03 |
Author
|
Iversen, Jens; Laséen, Stefan; Lundvall, Henrik; and Söderström, Ulf
|
Affiliation
|
Monetary Policy Department, Central Bank of Sweden; International Monetary Fund; National Institute of Economic Research; Monetary Policy Department, Central Bank of Sweden |
Title
|
Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank |
Summary / Abstract
|
We evaluate forecasts made in real time to support monetary policy decisions at Sveriges Riksbank (the central bank of Sweden) from 2007 to 2013. We compare forecasts made with a DSGE model and a BVAR model with judgmental forecasts published by the Riksbank, and we evaluate the usefulness of conditioning information for the model-based forecasts. We also study the perceived usefulness of model forecasts for central bank policymakers when producing the judgmental forecasts. |
Keywords
|
Real-time forecasting; Forecast evaluation; Monetary policy; Inflation targeting |
URL
|
http://www.riksbank.se/Documents/Rapporter/Working_papers/2016/rap_wp318_160323.pdf
|
Record ID
|
646
[ Page 5 of 68, No. 4 ]
|
Date
|
2016-04 |
Author
|
Boyarchenko, Nina; Haddad, Valentin; and Plosser, Matthew
|
Affiliation
|
Federal Reserve Bank of New York; Princeton University; and Federal Reserve Bank of New York |
Title
|
The Federal Reserve and market confidence |
Summary / Abstract
|
We discover a novel monetary policy shock that has a widespread impact on aggregate financial conditions. Our shock can be summarized by the response of long-horizon yields to Federal Open Market Committee (FOMC) announcements; not only is it orthogonal to changes in the near-term path of policy rates, but it also explains more than half of the abnormal variation in the yield curve on announcement days. We find that our long-rate shock is positively related to changes in real interest rates and market volatility, and negatively related to market returns and mortgage demand, consistent with policy announcements affecting market confidence. Our results demonstrate that Federal Reserve pronouncements influence markets independent of changes in the stance of conventional monetary policy. |
Keywords
|
Policy announcement; risk premium; uncertainty; financial conditions |
URL
|
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr773.pdf?la=en
|
Record ID
|
645
[ Page 5 of 68, No. 5 ]
|
Date
|
2016-03 |
Author
|
Kashiwabara, Chie
|
Affiliation
|
Institute of Developing Economies, Japan |
Title
|
Asset composition of the Philippines' universal and commercial banks : monetary policy or self-discipline? |
Summary / Abstract
|
The central bank of the Philippines (Bangko Sentral ng Pilipinas, BSP) has improved its monetary policy measures since the 2000s. After rationalizing the country's banking sector since late-1990s, its monetary policy and the uniiversal/commercial banks' (UCBs) behavior in allocating their assets has changed since mid-2000s. Though further and more detailed studies are nesessary, based on the results of simple correlation analyses conducted in this paper suggest a possible mixture of the country's monetary policy and their own decision-making in asset allocations, instead of a "follow-through" attitude. |
Keywords
|
Monetary policy, Banks, Monetary policy measure, Universal and commercial banks, The Philippines |
URL
|
http://ir.ide.go.jp/dspace/bitstream/2344/1540/1/ARRIDE_Discussion_No.586_kashiwabara.pdf
|
Record ID
|
644
[ Page 5 of 68, No. 6 ]
|
Date
|
2016-01 |
Author
|
Lars E. O. Svensson
|
Affiliation
|
Research Department, International Monetary Fund |
Title
|
Cost-Benefit Analysis of Leaning Against the Wind : Are Costs Larger Also with Less Effective Macroprudential Policy? |
Summary / Abstract
|
“Leaning against the wind” (LAW) with a higher monetary policy interest rate may have benefits in terms of lower real debt growth and associated lower probability of a financial crisis but has costs in terms of higher unemployment and lower inflation, importantly including a higher cost of a crisis when the economy is weaker. For existing empirical estimates, costs exceed benefits by a substantial margin, even if monetary policy is non-neutral and permanently affects real debt. Somewhat surprisingly, less effective macro-prudential policy and generally a credit boom, with resulting higher probability, severity, or duration of a crisis, increases costs of LAW more than benefits, thus further strengthening the strong case against LAW. |
Keywords
|
Monetary policy, financial stability, macroprudential policy |
URL
|
http://www.imf.org/external/pubs/ft/wp/2016/wp1603.pdf
|
Record ID
|
643
[ Page 5 of 68, No. 7 ]
|
Date
|
2015-12 |
Author
|
Zeyyad Mandalinci
|
Affiliation
|
Queen Mary University of London |
Title
|
Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models |
Summary / Abstract
|
This paper carries out a comprehensive forecasting exercise to assess out-of-sample forecasting performance of various econometric models for inflation across three dimensions; time, emerging market countries and models. The competing forecasting models include univariate and multivariate, fixed and time varying parameter, constant and stochastic volatility, small and large dataset, with and without bayesian variable selection models. Results indicate that the forecasting performance of different models change notably both across time and countries. Similar to some of the recent findings of the literature that focus on developed countries, models that account for stochastic volatility and time-varying parameters provide more accurate forecasts for inflation than alternatives in emerging markets. |
Keywords
|
Forecasting, Bayesian Analysis, Emerging Markets, Forecast Comparison |
URL
|
http://d.repec.org/n?u=RePEc:qmm:wpaper:3&r=mon
|
Record ID
|
642
[ Page 5 of 68, No. 8 ]
|
Date
|
2012-12 |
Author
|
Bullard, James B.
|
Affiliation
|
President and CEO, Federal Reserve Bank of St. Louis |
Title
|
A Hat Trick for the FOMC |
Summary / Abstract
|
At Ball State University in Muncie, Ind., St. Louis Fed President James Bullard assessed the Federal Open Market Committee's forecasts running up to 2015 and discussed implications for monetary policy. He said that the forecasts look to have missed on all three key variables—real GDP growth, unemployment and inflation—and that the misses are such that they continue to pull the committee in different directions on monetary policy. |
Keywords
|
Forecasting growth, unemployment, and inflation; monetary policy |
URL
|
https://www.stlouisfed.org/~/media/Files/PDFs/Bullard/remarks/Bullard-Muncie-IN-7Dec2015.pdf
|
Record ID
|
641
[ Page 5 of 68, No. 9 ]
|
Date
|
2015-12 |
Author
|
Michael Woodford and Vasco Curdia
|
Affiliation
|
CEPR and Columbia University |
Title
|
Credit Frictions and Optimal Monetary Policy |
Summary / Abstract
|
We extend the basic (representative-household) New Keynesian [NK] model of the monetary transmission mechanism to allow for a spread between the interest rate available to savers and borrowers, that can vary for either exogenous or endogenous reasons. We find that the mere existence of a positive average spread makes little quantitative difference for the predicted effects of particular policies. Variation in spreads over time is of greater significance, with consequences both for the equilibrium relation between the policy rate and aggregate expenditure and for the relation between real activity and inflation. Nonetheless, we find that the target criterion—a linear relation that should be maintained between the inflation rate and changes in the output gap—that characterizes optimal policy in the basic NK model continues to provide a good approximation to optimal policy, even in the presence of variations in credit spreads. Such a flexible inflation target" can be implemented by a central-bank reaction function that is similar to a forward-looking Taylor rule, but adjusted for changes in current and expected future credit spreads. |
Keywords
|
Credit spreads; flexibllation targeting; policy rules; quadratic loss function; target criterion |
URL
|
http://d.repec.org/n?u=RePEc:cpr:ceprdp:11016&r=cba
|
Record ID
|
640
[ Page 5 of 68, No. 10 ]
|
Date
|
2015-10 |
Author
|
Claude Lopez, Donald Markwardt, and Keith Savard
|
Affiliation
|
Milken Institute |
Title
|
Macroprudential Policy: What Does It Really Mean |
Summary / Abstract
|
As many central banks contemplate the normalization of monetary policy, their focus is turning to the promise of macroprudential policy as a tool to manage possible future systemic risk in financial markets. Janet Yellen and Mario Draghi, among others, are pinning much of their hopes for managing financial stability in the context of Basel III on macroprudentialism. Despite central banks’ clear intention that this policy will play a significant role in developed economies, few policymakers or financial players know what macroprudential policy is, much less how to assess its efficacy or necessity. The paper is a shorter version of a report on the same subject. It aims to clarify the concept of macroprudential policy for a broader audience, cultivating a better understanding of these tools and their implications for broader monetary policy going forward. |
Keywords
|
Macroprudential, Systemic Risk |
URL
|
https://mpra.ub.uni-muenchen.de/68157/1/MPRA_paper_68157.pdf
|
|