scholarly journals Finite-Order VAR Representation of Linear Rational Expectations Models: With Some Lessons for Monetary Policy

2018 ◽  
Vol 2016 (285) ◽  
Author(s):  
Enrique Martínez-García ◽  
Keyword(s):  
Monetary Policy ◽  
Finite Order ◽  
Rational Expectations

scholarly journals A SUNSPOT-BASED THEORY OF UNCONVENTIONAL MONETARY POLICY

2020 ◽  
pp. 1-32
Author(s):  
Roger E. A. Farmer ◽  
Pawel Zabczyk
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Financial Markets ◽  
Rational Expectations ◽  
Balance Sheet ◽  
Unconventional Monetary Policy ◽  
Efficient Outcome ◽  
Complete Set ◽  
Pareto Efficient ◽  
Financial Securities

This paper is about the effectiveness of qualitative easing, a form of unconventional monetary policy that changes the risk composition of the central bank balance sheet. We construct a general equilibrium model where agents have rational expectations, and there is a complete set of financial securities, but where some agents are unable to participate in financial markets. We show that a change in the risk composition of the central bank’s balance sheet affects equilibrium asset prices and economic activity. We prove that, in our model, a policy in which the central bank stabilizes non-fundamental fluctuations in the stock market is self-financing and leads to a Pareto efficient outcome.

scholarly journals Stabilizing Powers of Monetary Policy under Rational Expectations

1977 ◽  
Vol 85 (1) ◽  
pp. 163-190 ◽  
Author(s):  
Edmund S. Phelps ◽  
John B. Taylor
Keyword(s):  
Monetary Policy ◽  
Rational Expectations

Money, Inflation and Growth in Germany. A Vector-Error-Correction-P-Star Model / Der Zusammenhang zwischen Geldmenge, Output und Preisen in Deutschland. Ein Vektorfehlerkorrektur-P-Star-Ansatz

2002 ◽  
Vol 222 (6) ◽  
Author(s):  
Jörg Clostermann ◽  
Franz Seitz
Keyword(s):  
Monetary Policy ◽  
Error Correction ◽  
Rational Expectations ◽  
Surprising Result ◽  
Star Model ◽  
Vector Error Correction ◽  
The Real ◽  
Vector Error ◽  
Price Effects ◽  
German Monetary Policy

SummaryThe present paper uses the P-Star approach to analyze the real and price effects of German monetary policy on the basis of a multivariate vector-error-correction-model. One surprising result is that the Bundesbank does not cause the price effects of its monetary policy actions directly via (rational) expectations but only indirectly via influencing the output gap. The real effects of monetary policy are only of a temporary nature. In the long run money is neutral.

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