Monetary Policy Rules in a New Keynesian Euro Area Model

Casares, Miguel

doi:10.1111/j.1538-4616.2007.00049.x

Cited by 21 publications

(21 citation statements)

References 57 publications

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“…The calibration of α, β, θ , η, and ε comes from Galí (2008) and Casares (2007). The relative weight of real money balances in the utility function (b) is calibrated to 0.25, as in Benchimol and Fourçans (2012) Barthélemy et al (2011), and Benchimol (2014, 2015; analogous priors as those used by Smets and Wouters (2003) for the monetary policy parameters.…”

Section: B Calibration and Priorsmentioning

confidence: 99%

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Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Benchimol¹,

Fourçans

2016

Macroecon. Dynam.

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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.

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Section: B Calibration and Priorsmentioning

confidence: 99%

“…The calibration of σ is inspired by Rabanal and Rubio-Ramírez (2005) and by Casares (2007). They choose risk aversion parameters of 2.5 and 1.5, respectively.…”

Section: B Calibration and Priorsmentioning

confidence: 99%

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Benchimol¹,

Fourçans

2016

Macroecon. Dynam.

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“…The calibration of is inspired by Rabanal and Rubio-Ramirez (2005) and by Casares (2007). They choose, respectively, a risk aversion parameter of 2:5 and 1:5.…”

Section: Appendixmentioning

confidence: 99%

“…The calibration of , , , , and " comes from Galí (2008) and Casares (2007). The smoothed Taylor rule ( i ,…”

Section: Appendixmentioning

confidence: 99%

The Role of Money and Monetary Policy in Crisis Periods: The Euro Area Case

Benchimol

Fourçans

2012

SSRN Journal

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In this paper, we test two models of the Eurozone, with a special emphasis on the role of money and monetary policy during crises. The role of separability between money and consumption is investigated further and we analyse the Euro area economy during three di¤erent crises: 1992, 2001 and 2007. We …nd that money has a rather signi…-cant role to play in explaining output variations during crises whereas, at the same time, the role of monetary policy on output decreases signi…cantly. Moreover, we …nd that a model with non-separability between consumption and money has better forecasting performance than a baseline separable model over crisis periods.

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“…The intertemporal elasticity of substitution is assumed to be σ = 2. We follow Casares (2006) and set the habit formation parameter to h = 0.85. The Frisch elasticity of labor supply is set 1. χ is set to 8 which implies a steadystate mark-up in the goods market of approximately 14 percent.…”

Section: A Hybrid New Keynesian Modelmentioning

confidence: 99%

News Shocks and Optimal Simple Rules

Winkler

Wohltmann

2011

Review of Economics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractThis paper evaluates the performance of optimal simple policy rules in the presence of news shocks. It is shown that the inclusion of forward-looking elements enhances the performance of simple optimized interest rate rules when agents learn about future disturbances in advance. We provide a rationale for this result by demonstrating that, if shocks are news shocks, the optimal unrestricted control rule under commitment contains as a basic principle a forward-looking element.JEL classification: E32, E52, E58

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Monetary Policy Rules in a New Keynesian Euro Area Model

Cited by 21 publications

References 57 publications

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

The Role of Money and Monetary Policy in Crisis Periods: The Euro Area Case

News Shocks and Optimal Simple Rules

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