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Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model
(15.06.2020)
International Journal of Central Banking 3 ; June
International Journal of Central Banking 3 ; June
This paper studies the challenge that increasing the inflation target poses to equilibrium determinacy in a mediumsized New Keynesian model without indexation fitted to the Great Moderation era. For moderate targets of the ...
Why So Low for So Long? A Long-Term View of Real Interest Rates
(05.09.2022)
International Journal of Central Banking 3
International Journal of Central Banking 3
Prevailing explanations of the long-term decline in real interest rates are premised on the notion that real interest rates over long periods are driven by variations in the underlying real forces governing desired saving ...
What does "below, but close to, two per cent" mean? Assessing the ECB's reaction function with real time data
(01.06.2021)
International Journal of Central Banking 2 ; June
International Journal of Central Banking 2 ; June
Using unique real-time quarterly macroeconomic projections of the Eurosystem/ECB staff, we estimate competing specifications of the ECB's monetary policy reaction function. We consider specifications which include inflation ...
Monetary Policy, Private Debt and Financial Stability Risks
(15.09.2017)
International Journal of Central Banking 3 ; September
International Journal of Central Banking 3 ; September
Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses ...
Evaluating Indicators for Use in Setting the Countercyclical Capital Buffer
(01.03.2018)
International Journal of Central Banking 2 ; March 2018
International Journal of Central Banking 2 ; March 2018
The European Systemic Risk Board (ESRB) recently issued a recommendation on the use of early warning indicators in macroprudential decisions involving the countercyclical capital buffer (Basel III framework). In addition ...
Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates
(15.09.2017)
International Journal of Central Banking 4 ; September
International Journal of Central Banking 4 ; September
Do the prevailing unusually and persistently low real interest rates reflect a decline in the natural rate of interest as commonly thought? We argue that this is only part of the story. The critical role of financial factors ...
Comparing Fiscal Consolidation Multipliers across Models in Europe
(15.09.2019)
International Journal of Central Banking September 2019
International Journal of Central Banking September 2019
This paper employs fifteen dynamic macroeconomic models maintained within the European System of Central Banks to assess the macroeconomic effects of a temporary fiscal tightening when the zero lower bound (ZLB) on monetary ...
Monetary Policy and Stock Market Valuation
(01.03.2023)
International Journal of Central Banking 1 ; March 2023
International Journal of Central Banking 1 ; March 2023
This paper estimates the effect of monetary policy on the term structure of stock market risk premia. The implied stock market risk premia are obtained using analysts' dividend forecasts and dividend future prices. The ...
The Power of Forward Guidance and the Fiscal Theory of the Price Level
(01.12.2021)
International Journal of Central Banking 5 ; 2021
International Journal of Central Banking 5 ; 2021
Standard models predict implausible responses to forward-guidance announcements when interest rates are pegged (the "forward-guidance puzzle"). This paper develops conditions for regime-switching models to exhibit a ...