Analysis of monetary policy responses after financial market crises in a continuous time new Keynesian model : conference paper
Niehof, Britta; Hayo, Bernd
We develop a dynamic stochastic full equilibrium New Keynesian model of two open economies based on stochastic differential equations to analyse the interdependence between monetary policy and financial markets in the context of the recent financial crisis. The effect of bubbles on stock and housing markets and their transmission to the domestic real economy and the contagious effects on foreign markets are studied. We simulate adjustment paths for the economies under two monetary policy rules: an open-economy Taylor rule and a modified Taylor rule, which takes into account stabilisation of financial markets as a monetary policy objective. We find that for the price of a strong hike in inflation a severe economic recession can be avoided under the modified rule. Using Bayesian estimation techniques, we calibrate the model to the case of the United States and Canada and find that the resulting
Year of publication: |
2014 ; Preliminary draft
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Authors: | Hayo, Bernd ; Niehof, Britta |
Published in: | |
Publisher: |
[Kiel : ZBW |
Subject: | Dynamisches Gleichgewicht | Dynamic equilibrium | Stochastischer Prozess | Stochastic process | Neoklassische Synthese | Neoclassical synthesis | Offene Volkswirtschaft | Open economy | Geldpolitik | Monetary policy | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Spekulationsblase | Bubbles | Wohnungsmarkt | Housing market | Geldpolitische Transmission | Monetary transmission | Ansteckungseffekt | Contagion effect |
Saved in:
freely available
Extent: | Online-Ressource (32 S.) graph. Darst. |
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Conferences: | Jahrestagung des Vereins für Socialpolitik: Evidenzbasierte Wirtschaftspolitik ; 2014 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Konferenzschrift ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/100410 [Handle] |
Classification: | C02 - Mathematical Methods ; E44 - Financial Markets and the Macroeconomy ; F41 - Open Economy Macroeconomics |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010484315