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Robust Monetary Policy in a New Keynesian Model with Imperfect Interest Rate Pass-Through

Gerke, Rafael - 2016

We use robust control to study how a central bank in an economy with imperfect interest rate pass-through conducts monetary policy if it fears that its model could be misspecified. The effects of the central bank's concern for robustness can be summarised as follows. First, depending on the...

Persistent link: https://www.econbiz.de/10012991061

Investigating the zero lower bound on the nominal interest rate under financial instability

Carrillo, Julio A.; Poilly, Céline - 2014

This paper studies the effects of three financial shocks in the economy: a net-worth shock, an uncertainty or risk shock, and a credit-spread shock. We argue that only the latter can push the nominal interest rate against its zero lower bound. Further, a recessionary shock to the net worth or...

Persistent link: https://www.econbiz.de/10010243420

An investigation of the gains from commitment in monetary policy

Schaumburg, Ernst (contributor); … - 2003 - [Elektronische Ressource]

degrees of credibility, in which commitment and discretion become special cases of what we call quasi commitment. The monetary … measure of the (lack of) credibility of the monetary policy authority, we investigate the welfare effect of a marginal … increase in credibility. Our main finding is that, in a simple model of the monetary transmission mechanism, most of the gains …

Persistent link: https://www.econbiz.de/10001783067

An Investigation of the Gains from Commitment in Monetary Policy

Schaumburg, Ernst - 2006

Persistent link: https://www.econbiz.de/10012735594

Monetary policy and large crises in a financial accelerator agent-based model

Giri, Federico; Riccetti, Luca; Russo, Alberto; … - 2016

An accommodating monetary policy followed by a sudden increase of the short term interest rate often leads to a bubble burst and to an economic slowdown. Two examples are the Great Depression of 1929 and the Great Recession of 2008. Through the implementation of an Agent Based Model with a...

Persistent link: https://www.econbiz.de/10011509432

Monetary policy disconnect

Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah - 2020 - This version: December 11, 2020

Although designed to support monetary policy, two crucial aspects of the central bank framework can disconnect the monetary policy transmission: banks' access to central bank deposits and Quantitative Easing (QE). We show how both hinder the monetary policy transmission through the main...

Persistent link: https://www.econbiz.de/10012387237

Reversal interest rate and macroprudential policy

Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2020

Could a monetary policy loosening entail the opposite effect than the intended expansionary impact in a low interest rate environment? We demonstrate that the risk of hitting the rate at which the effect reverses depends on the capitalization of the banking sector by using a non-linear...

Persistent link: https://www.econbiz.de/10012312177

Reversal interest rate and macroprudential policy

Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2021

Could a monetary policy loosening in a low interest rate environment have unintended recessionary effects? Using a non-linear macroeconomic model fitted to the euro area economy, we show that the effectiveness of monetary policy can decline in negative territory until it reaches a turning point,...

Persistent link: https://www.econbiz.de/10012596371

Forward guidance under the cost channel

Finck, David - 2020

A common finding in the literature is that forward guidance cannot be credible under discretionary policy as long as the zero lower bound is an one-off event. However, this is not the case when recurring episodes of zero interest rates are possible. In this paper, we contribute to this new...

Persistent link: https://www.econbiz.de/10012153467

Estimating the effective lower bound for the Czech National Bank's policy rate

Kolcunova, Dominika; Havránek, Tomáš - 2018

The paper focuses on the estimation of the effective lower bound for the Czech National Bank's policy rate. The effective lower bound is determined by the value below which holding and using cash would be preferable to deposits with negative yields. This bound is approximated based on storage,...

Persistent link: https://www.econbiz.de/10011901964