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You searched for: Content Type Working Paper Remove constraint Content Type: Working Paper Publishing Institution Board of Governors of the Federal Reserve System Remove constraint Publishing Institution: Board of Governors of the Federal Reserve System Topic Economics Remove constraint Topic: Economics
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  • Author: Neil R. Ericsson, Kari H. Eika, Ragnar Nymoen
  • Publication Date: 10-1996
  • Content Type: Working Paper
  • Institution: Board of Governors of the Federal Reserve System
  • Abstract: Some recent studies have suggested constructing a Monetary Conditions Index (or MCI) to serve as an indicator of monetary policy stance. The central banks of Canada, Sweden, and Norway all construct an MCI and (to varying degrees) use it in conducting monetary policy. Empirically, an MCI is calculated as the weighted sum of changes in a short-term interest rate and the exchange rate relative to values in a baseline year. The weights aim to reflect these variables' effects on longer-term focuses of policy — economic activity and inflation. This paper derives analytical and empirical properties of MCIs in an attempt to ascertain their usefulness in monetary policy.
  • Topic: Economics, International Trade and Finance
  • Political Geography: Europe, North America
  • Author: Chan Huh
  • Publication Date: 01-1996
  • Content Type: Working Paper
  • Institution: Board of Governors of the Federal Reserve System
  • Abstract: This paper examines the dynamic relationship between changes in the finds rate and nonborrowed reserves within a reduced form framework that allows the relationship to have WO distinct patterns over time. A regime switching model a la Hamilton (1989) is estimated. On average, CPI inflation has been significantly higher in the regime and volatile changes in funds rate. Innovations in money growth are characterized by large associated with a strong anticipated inflation effect in this high inflation regime, and a moderate liquidity effect in the low inflation regime. Furthermore, an identical money innovation generates a much bigger increase in the interest rate during a transition period from the low to high inflation regime than during a steady high inflation period. This accords well with economic intuition since the transition period is when the anticipated inflation effect initially gets incorporated into the interest rate. The converse also holds. That is, the liquidity effect becomes stronger when the economy leaves a high inflation regime period and enters a low inflation regime period.
  • Topic: International Relations, Development, Economics, International Trade and Finance
  • Author: Neil R. Ericsson, Sunil Sharma
  • Publication Date: 07-1996
  • Content Type: Working Paper
  • Institution: Board of Governors of the Federal Reserve System
  • Abstract: This paper develops a constant, data-coherent, error correction model for broad money demand (M3) in Greece. This model contributes to a better understanding of the effects of monetary policy in Greece, and of the portfolio consequences of financial innovation in general. The broad monetary aggregate M3 was targeted until recently, and current monetary policy still uses such aggregates as guidelines, yet analysis of this aggregate has been dormant for over a decade.
  • Topic: Economics, Government, International Trade and Finance
  • Political Geography: Europe