The Effectiveness of Structural Monetary Policy and Macro-Prudential Policies — Based on the DSGE Model That Includes Bank Heterogeneous Credit

2021 ◽  
Vol 34 (6) ◽  
pp. 2267-2290
Author(s):  
Xiong Kuang ◽  
Qian Wang ◽  
Xia Chen
Keyword(s):  
Monetary Policy ◽  
Dsge Model

scholarly journals South Africa’s economic response to monetary policy uncertainty

2017 ◽  
Vol 44 (2) ◽  
pp. 282-293 ◽  
Author(s):  
Mehmet Balcilar ◽  
Rangan Gupta ◽  
Charl Jooste
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Economic Consequences ◽  
Policy Uncertainty ◽  
Dsge Model ◽  
Content Type ◽  
Volatility Model ◽  
Central Bankers

Purpose The purpose of this paper is to study the evolution of monetary policy uncertainty and its impact on the South African economy. Design/methodology/approach The authors use a sign restricted SVAR with an endogenous feedback of stochastic volatility to evaluate the sign and size of uncertainty shocks. The authors use a nonlinear DSGE model to gain deeper insights about the transmission mechanism of monetary policy uncertainty. Findings The authors show that monetary policy volatility is high and constant. Both inflation and interest rates decline in response to uncertainty. Output rebounds quickly after a contemporaneous decrease. The DSGE model shows that the size of the uncertainty shock matters – high uncertainty can lead to a severe contraction in output, inflation and interest rates. Research limitations/implications The authors model only a few variables in the SVAR – thus missing perhaps other possible channels of shock transmission. Practical implications There is a lesson for monetary policy: monetary policy uncertainty, in isolation from general macroeconomic uncertainty, often creates unintended adverse consequences and can perpetuate a weak economic environment. The tasks of central bankers are incredibly difficult. Their models project output and inflation with relatively large uncertainty based on many shocks emanating from various sources. It matters how central bankers react to these expectations and how they communicate the underlying risks associated with setting interest rates. Originality/value This is the first study that looks into monetary policy uncertainty into South Africa using a stochastic volatility model and a nonlinear DSGE model. The results should be very useful for the Central Bank as it highlights how uncertainty, that they create, can have adverse economic consequences.

scholarly journals Optimal Monetary Policy in an Operational Medium-Sized DSGE Model

2011 ◽  
Vol 43 (7) ◽  
pp. 1287-1331 ◽  
Author(s):  
MALIN ADOLFSON ◽  
STEFAN LASÉEN ◽  
JESPER LINDÉ ◽  
LARS E.O. SVENSSON
Keyword(s):  
Monetary Policy ◽  
Optimal Monetary Policy ◽  
Dsge Model

scholarly journals Optimal Monetary Policy in an Operational Medium-Sized DSGE Model

2009 ◽  
Author(s):  
Malin Adolfson ◽  
Stefan Laseen ◽  
Jesper Linde ◽  
Lars E. O. Svensson
Keyword(s):  
Monetary Policy ◽  
Optimal Monetary Policy ◽  
Dsge Model
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