scholarly journals MONEY AND MONETARY POLICY IN THE EUROZONE: AN EMPIRICAL ANALYSIS DURING CRISES

2016 ◽  
Vol 21 (3) ◽  
pp. 677-707 ◽  
Author(s):  
Jonathan Benchimol ◽  
André Fourçans
Keyword(s):  
Monetary Policy ◽  
Global Financial Crisis ◽  
Dynamic Stochastic General Equilibrium ◽  
New Keynesian ◽  
Forecasting Performance ◽  
Out Of Sample ◽  
Dynamic Stochastic ◽  
Bayesian Estimations ◽  
The Global Financial Crisis ◽  
The Impact

This paper analyzes the role of money and monetary policy as well as the forecasting performance of New Keynesian dynamic stochastic general equilibrium models with and without separability between consumption and money. The study is conducted over three crisis periods in the Eurozone, namely, the ERM crisis, the dot-com crisis, and the global financial crisis (GFC). The results of successive Bayesian estimations demonstrate that during these crises, the nonseparable model generally provides better out-of-sample output forecasts than the baseline model. We also demonstrate that money shocks have some impact on output variations during crises, especially in the case of the GFC. Furthermore, the response of output to a money shock is more persistent during the GFC than during the other crises. The impact of monetary policy also changes during crises. Insofar as the GFC is concerned, this impact increases at the beginning of the crisis, but decreases sharply thereafter.

ARE MAJOR CENTRAL BANKS BLINDED BY THE ANALYTICAL ELEGANCE OF THEIR MODELS? POSSIBLE COSTS OF UNCONVENTIONAL MONETARY POLICY MEASURES

2017 ◽  
Vol 62 (01) ◽  
pp. 87-108 ◽  
Author(s):  
PIOTR CIŻKOWICZ ◽  
ANDRZEJ RZOŃCAZ
Keyword(s):  
Monetary Policy ◽  
Global Financial Crisis ◽  
Significant Risk ◽  
Central Banks ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Unconventional Monetary Policy ◽  
Keynesian Model ◽  
Policy Measures ◽  
The Global Financial Crisis

We survey the possible costs of the unconventional monetary policy measures undertaken by major central banks after the outbreak of the global financial crisis in 2008. We argue that these costs are not easily discernable in the new Keynesian (NK) model, which defines a theoretical framework for monetary policy. First, the costs may result from the effects of unconventional monetary policy measures on the intensity of restructuring and the persistence of uncertainty (which increased after the outbreak of the crisis). However, neither of these processes is considered in the new Keynesian model. Second, costs may be generated not only by distortions in the choices made by economic agents but may also be a result of the decisions made by governments, particularly in terms of the fiscal deficit level. However, the new Keynesian model does not consider the effects of unconventional monetary policy measures on the quality of fiscal policy. Without carefully considering the costs, there is a significant risk that unconventional monetary policy measures could become a conventional response to recurrent crises.

scholarly journals Thai Monetary Policy Under the Inflation Targeting Regime

2020 ◽  
Author(s):  
Nipit Wongpunya
Keyword(s):  
Monetary Policy ◽  
Steady State ◽  
Inflation Targeting ◽  
Aggregate Demand ◽  
State Level ◽  
Dynamic Stochastic General Equilibrium ◽  
New Keynesian ◽  
Keynesian Model ◽  
Trend Inflation ◽  
Dynamic Stochastic

Abstract This paper explores the macroeconomic effects of inflation targeting in Thailand. Furthermore, this study uses a nonlinear new Keynesian model under the dynamic stochastic general equilibrium framework with price indexation to analyze the monetary policy under inflation targeting in Thailand. The model is estimated using a Bayesian statistic for the Thai economy. It shows that inflation is more stabilized and inflation persistence has fallen after adopting inflation targeting. The paper also indicates that the Bank of Thailand is more responsive to the deviation of inflation from its target using inflation targeting. The key monetary mechanism exists through changes in the real interest rate which affect aggregate demand. It is worth noting that the larger the inflation targeting rate is, the lower the steady state output from its steady state level given no trend inflation.

Monetary Policy in Low-Income Countries in the Face of the Global Crisis

2018 ◽  
Author(s):  
Alfredo Baldini ◽  
Jaromir Benes ◽  
Andrew Berg ◽  
Mai C. Dao ◽  
Rafael Portillo
Keyword(s):  
Monetary Policy ◽  
General Equilibrium ◽  
Low Income ◽  
Dynamic Stochastic General Equilibrium ◽  
Policy Implications ◽  
Low Income Countries ◽  
Policy Response ◽  
Risk Appetite ◽  
Dynamic Stochastic ◽  
The Impact

The authors develop a dynamic stochastic general equilibrium (DSGE) model with a banking sector to analyse the impact of the financial crisis in developing countries and the role of the monetary policy response, with an application to Zambia. The crisis is interpreted as a combination of three related shocks: a worsening in the terms of the trade, an increase in the country’s risk premium, and a decrease in the risk appetite of local banks. Model simulations broadly match the path of the economy during this period. The model-based analysis reveals that the initial policy response contributed to the domestic impact of the crisis by further tightening financial conditions. The authors derive policy implications for central banks, and for dynamic stochastic general equilibrium modelling of monetary policy, in low-income countries.

THE SIGNAL EXTRACTION PROBLEM REVISITED: A NOTE ON ITS IMPACT ON A MODEL OF MONETARY POLICY

2009 ◽  
Vol 14 (3) ◽  
pp. 405-426 ◽  
Author(s):  
Benjamin D. Keen
Keyword(s):  
Monetary Policy ◽  
Imperfect Information ◽  
Dynamic Stochastic General Equilibrium ◽  
New Keynesian ◽  
Policy Changes ◽  
Keynesian Model ◽  
Dynamic Stochastic ◽  
Monetary Policy Shock ◽  
Future Policy ◽  
Sticky Wages

This paper develops a dynamic stochastic general equilibrium (DSGE) model with sticky prices and sticky wages, in which agents have imperfect information on the stance and direction of monetary policy. Agents respond by using Kalman filtering to unravel persistent and temporary monetary policy changes in order to form optimal forecasts of future policy actions. Our results show that a New Keynesian model with imperfect information and real rigidities can account for several key effects of an expansionary monetary policy shock: the hump-shaped increase in output, the delayed and gradual rise in inflation, and the fall in the nominal interest rate.

scholarly journals Monetary policy and bank lending in euro area since the outset of the global financial crisis

2020 ◽  
pp. 10-10
Author(s):  
Agata Wierzbowska
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Euro Area ◽  
Global Financial Crisis ◽  
Banking System ◽  
Bank Lending ◽  
Liquidity Provision ◽  
The Individual ◽  
The Global Financial Crisis ◽  
The Impact

In this article, we present the impact of the monetary policy stance of the European Central Bank(ECB)since 2007 on bank lending in the euro area and compare the effects of the main measures: interest rate changes, liquidity provision, and asset purchase programmes. We also analyse the channels through which monetary policy might influence the banking system and narrow our focus to the individual countries. The main results indicate stimulating impact of ECB?s policy stance on bank lending that extends its influence mainly through interest rate cuts further supported by the liquidity provision and asset purchase programmes. However, we also find considerable differences across the member states, of ten depending on the state of the banking system and loan demand in the member state. The results support the variety of monetary policy measures introduced by the ECB, as each played its own role in supporting the banking system and encouraging bank lending in the euro area.

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