Results 1 - 10 of 749

Monetary Policy Shocks: What Have we Learned and to What End?

by Lawrence J. Christiano, Martin Eichenbaum , Charles L. Evans , 1998
"... This paper reviews recent research that grapples with the question: What happens after an exogenous shock to monetary policy? We argue that this question is interesting because it lies at the center of a particular approach to assessing the empirical plausibility of structural economic models that c ..."
Abstract - Cited by 988 (26 self) - Add to MetaCart
that can be used to think about systematic changes in monetary policy institutions and rules. The literature has not yet converged on a particular set of assumptions for identifying the effects of an exogenous shock to monetary policy. Nevertheless, there is considerable agreement about the qualitative

Rules, discretion, and reputation in a model of monetary policy

by Robert J. Barro, David B. Gordon - JOURNAL OF MONETARY ECONOMICS , 1983
"... In a discretionary regime the monetary authority can print more money and create more inflation than people expect. But, although these inflation surprises can have some benefits, they cannot arise systematically in equilibrium when people understand the policymakor's incentives and form their ..."
Abstract - Cited by 812 (9 self) - Add to MetaCart
In a discretionary regime the monetary authority can print more money and create more inflation than people expect. But, although these inflation surprises can have some benefits, they cannot arise systematically in equilibrium when people understand the policymakor's incentives and form

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
are highly crosscorrelated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macro-economic and financial variables as candidate proxies, we cannot explain this common systematic component. Our results suggest that monthly credit spread

Systematic Monetary Policy and the Effects of Oil Price Shocks

by Ben S. Bernanke, Mark Gertler, Mark Watson, Christopher A. Sims, Benjamin M. Friedman - BROOKINGS PAPERS ON ECONOMIC ACTIVITY , 1997
"... ..."
Abstract - Cited by 185 (2 self) - Add to MetaCart
Abstract not found

Time varying structural vector autoregressions and monetary policy

by Giorgio E. Primiceri - REVIEW OF ECONOMIC STUDIES , 2005
"... Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the co-efficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy f ..."
Abstract - Cited by 306 (8 self) - Add to MetaCart
. In particular, systematic responses of the interest rate to inflation and unemployment exhibit a trend toward a more aggressive behavior, despite remarkable oscillations; 2) this has had a negligible effect on the rest of the economy. The role played by exogenous non-policy shocks seems more important than

Systematic Monetary Policy and the

by Ben S. Bernanke, Ilian Mihov - Effects of Oil Price Shocks,’’ Brookings Papers on Economic Activity , 1997
"... We develop a model-based, VAR methodology for measuring innovations in monetary policy and their macroeconomic effects. Using this framework, we are able to compare existing approaches to measuring monetary policy shocks and derive a new measure of policy innovations based directly on (possibly time ..."
Abstract - Cited by 152 (3 self) - Add to MetaCart
We develop a model-based, VAR methodology for measuring innovations in monetary policy and their macroeconomic effects. Using this framework, we are able to compare existing approaches to measuring monetary policy shocks and derive a new measure of policy innovations based directly on (possibly

A New Measure of Monetary Shocks: Derivation and Implications

by D. Romer, David, H. Romer - American Economic Review , 2004
"... This paper develops a measure of U.S. monetary policy shocks for the period 1969–1996 that is relatively free of endogenous and anticipatory movements. Quantitative and narrative records are used to infer the Federal Reserve’s intentions for the federal funds rate around FOMC meetings. This series i ..."
Abstract - Cited by 135 (6 self) - Add to MetaCart
This paper develops a measure of U.S. monetary policy shocks for the period 1969–1996 that is relatively free of endogenous and anticipatory movements. Quantitative and narrative records are used to infer the Federal Reserve’s intentions for the federal funds rate around FOMC meetings. This series

Oil price shocks and systematic monetary policy

by Ana María Herrera, Elena Pesavento - and the ‛Great Moderation’”, Macroeconomic Dynamics , 2009
"... The U.S. economy has experienced a reduction in volatility since the mid 1980’s. In this paper we investigate the changes in the response of the economy to an oil price shock and the role of the systematic monetary policy response in accounting for changes in the response of output, prices, inventor ..."
Abstract - Cited by 32 (0 self) - Add to MetaCart
The U.S. economy has experienced a reduction in volatility since the mid 1980’s. In this paper we investigate the changes in the response of the economy to an oil price shock and the role of the systematic monetary policy response in accounting for changes in the response of output, prices

A Quantitative Analysis of Oil-Price Shocks, Systematic Monetary Policy, and Economic Downturns

by Sylvan Leduc, Keith Sill, Sylvain Leduc, Keith Sill - Journal of Monetary Economics , 2004
"... for their comments. The views expressed here are those of the authors and do not necessarily represent Are the recessionary consequences of oil-price shocks due to oil-price shocks themselves or to contractionary monetary policies that arise in response to inflation concerns engendered by rising oil ..."
Abstract - Cited by 82 (1 self) - Add to MetaCart
oil prices? Can systematic monetary policy be used to alleviate the consequences of oil shocks on the economy? This paper builds a dynamic general equilibrium model of monopolistic competition in which oil and money matter to study these questions. The economy's response to oil-price shocks

Technology Shocks and Monetary Policy: Assessing the Fed's Performance

by Jordi Galí, J. David, López-salido Javier Vallés - Journal of Monetary Economics , 2003
"... The purpose of the present paper is twofold. First, we characterize the Feds systematic response to technology shocks and its implications for U.S. output, hours and inßation. Second we evaluate the extent to which those responses can be accounted for by a simple monetary policy rule (including the ..."
Abstract - Cited by 104 (7 self) - Add to MetaCart
The purpose of the present paper is twofold. First, we characterize the Feds systematic response to technology shocks and its implications for U.S. output, hours and inßation. Second we evaluate the extent to which those responses can be accounted for by a simple monetary policy rule (including
Results 1 - 10 of 749