Paradigm uncertainty in the conduct of monetary policy: the role of monetary aggregates and the output gap
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Aachen
Shaker
2004
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| Series: | Berichte aus der Volkswirtschaft
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 231 S. graph. Darst. |
| ISBN: | 3832227997 |
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Record in the Search Index
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IMAGE 1
BERICHTE AUS DER VOLKSWIRTSCHAFT
JENS R. CLAUSEN
PARADIGM UNCERTAINTY IN THE CONDUCT OF MONETARY POLICY
THE ROLE OF MONETARY AGGREGATES AND THE OUTPUT GAP
D 38 (DISS. UNIVERSITY KOLN)
SHAKER VERLAG AACHEN 2004
IMAGE 2
CONTENTS
LIST OF TABLES V
LIST OF FIGURES VII
1 INTRODUCTION 1
1.1 PARADIGM UNCERTAINTY IN THE CONDUCT OF MONETARY POLICY . . . 2
1.2 STRUCTURE OF THIS STUDY 9
2 ACTIVE-MONEY VIEW: THE STRATEGY OF THE ECB 13
2.1 INTRODUCTION 13
2.2 THE EMPIRICAL EVIDENCE FOR THE ROLE OF MONEY 15
2.2.1 A COMPARISON OF US VERSUS EURO AREA DATA 15
2.2.2 THE LITERATURE ON EURO AREA M3 24
2.3 THE ROLE OF MONEY WITHIN THE ECB'S STRATEGY 25
2.3.1 THE REVIEW OF THE STRATEGY 26
2.3.2 THE ACTUAL EXPERIENCE WITH M3 27
2.4 FORECASTS AND THE ISSUE OF TRANSPARENCY AND COMMUNICATION . . 30
2.5 SUMMARY 33
IMAGE 3
CONTENTS
PASSIVE-MONEY VIEW: INFLATION FORECAST TARGETING 35
3.1 INTRODUCTION 36
3.2 THE ORIGINS AND THE BACKGROUND IN THE LITERATURE 38
3.2.1 THEORETICAL BACKGROUND 39
3.2.2 EMPIRICAL THOUGHTS ON THE OUTPUT GAP 40
3.3 THE ROLE OF FORECASTS 45
3.3.1 CONDITIONAL FORECASTS 47
3.3.2 UNCONDITIONAL FORECASTS 51
3.3.3 FORECASTS BASED ON MARKET EXPECTATIONS 54
3.3.4 THE ROLE OF MONEY 55
3.4 TRANSPARENCY, CREDIBILITY, AND COMMUNICATION 57
3.5 SUMMARY 61
THE ROLE OF MONEY AND MONEY DEMAND 63
4.1 INTRODUCTION 63
4.2 MONEY DEMAND IN THE EURO AREA - AN OVERVIEW 65
4.2.1 THEORETICAL BACKGROUND 65
4.2.2 ECONOMETRIC BACKGROUND AND EMPIRICAL EVIDENCE . . . 67
4.3 SELECTIVE MONEY DEMAND MODELS REVISITED 73
4.3.1 THE CHOICE OF THE OPPORTUNITY COST VARIABLE 73
4.3.2 STABILITY OF MONEY DEMAND REVISITED 77
4.4 MONEY DEMAND AND STOCK MARKETS IN THE EURO AREA 85
4.4.1 STOCK MARKET VARIABLES IN RECENT MONEY DEMAND STUDIES 86
4.4.2 SPECIFICATION OF STOCK MARKET VARIABLES TESTED 87
4.4.3 DATA AND PRELIMINARY ANALYSIS 92
4.5 SPECIFICATION AND ESTIMATION OF A MONEY DEMAND MODEL . . . 98
4.5.1 INCLUDING STOCK MARKET VARIABLES 99
4.5.2 EXCLUDING STOCK MARKET VARIABLES 102
4.5.3 STABILITY PROPERTIES 103
4.5.4 ROBUSTNESS TESTS AND OUT-OF-SAMPLE FORECASTS 108
4.6 SUMMARY 113
APPENDIX 115
IMAGE 4
CONTENTS III
5 THE ROLE OF THE OUTPUT GAP - A SIMULATION EXERCISE 129
5.1 INTRODUCTION 130
5.2 THE TAYLOR RULE AND THE BUNDESBANK 132
5.3 CONSTRUCTION OF A REAL-TIME GERMAN GNP/GDP DATASET . . 138 5.4 THE
ESTIMATION OF OUTPUT GAP SERIES FOR GERMANY 142
5.4.1 THE IMPACT OF DIFFERENT DETRENDING TECHNIQUES 144 5.4.2 EX POST
VERSUS REAL-TIME OUTPUT GAP SERIES 149
5.4.3 THE ROLE OF DATA REVISIONS 153
5.4.4 THE SVR'S REAL-TIME OUTPUT GAP 154
5.5 CALIBRATED TAYLOR RULES FOR THE BUNDESBANK 158
5.5.1 CALIBRATION 159
5.5.2 ROBUSTNESS TESTS 163
5.6 ESTIMATION OF THE BUNDESBANK'S REACTION FUNCTION 165
5.6.1 SPECIFICATION 165
5.6.2 DYNAMIC ESTIMATES 169
5.6.3 STABILITY TESTS AND FORECAST QUALITIES 175
5.6.4 THE ROLE OF MONEY 177
5.7 SUMMARY 180
APPENDIX 183
6 FINAL REMARKS 197
REFERENCES 205 |
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| spelling | Clausen, Jens R. Verfasser aut Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap Jens R. Clausen Aachen Shaker 2004 X, 231 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Köln, Univ., Diss., 2004 Europäische Union (DE-588)5098525-5 gnd rswk-swf Deutsche Bundesbank (DE-588)1002465-7 gnd rswk-swf Taylor-Regel (DE-588)4764048-0 gnd rswk-swf Geldmengensteuerung (DE-588)4113692-5 gnd rswk-swf Währungsunion (DE-588)4188829-7 gnd rswk-swf Geldnachfrage (DE-588)4128444-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Europäische Union (DE-588)5098525-5 b Währungsunion (DE-588)4188829-7 s Geldnachfrage (DE-588)4128444-6 s Geldmengensteuerung (DE-588)4113692-5 s Taylor-Regel (DE-588)4764048-0 s Deutsche Bundesbank (DE-588)1002465-7 b DE-188 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022065089&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Clausen, Jens R. Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap Europäische Union (DE-588)5098525-5 gnd Deutsche Bundesbank (DE-588)1002465-7 gnd Taylor-Regel (DE-588)4764048-0 gnd Geldmengensteuerung (DE-588)4113692-5 gnd Währungsunion (DE-588)4188829-7 gnd Geldnachfrage (DE-588)4128444-6 gnd |
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| title | Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap |
| title_auth | Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap |
| title_exact_search | Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap |
| title_full | Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap Jens R. Clausen |
| title_fullStr | Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap Jens R. Clausen |
| title_full_unstemmed | Paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap Jens R. Clausen |
| title_short | Paradigm uncertainty in the conduct of monetary policy |
| title_sort | paradigm uncertainty in the conduct of monetary policy the role of monetary aggregates and the output gap |
| title_sub | the role of monetary aggregates and the output gap |
| topic | Europäische Union (DE-588)5098525-5 gnd Deutsche Bundesbank (DE-588)1002465-7 gnd Taylor-Regel (DE-588)4764048-0 gnd Geldmengensteuerung (DE-588)4113692-5 gnd Währungsunion (DE-588)4188829-7 gnd Geldnachfrage (DE-588)4128444-6 gnd |
| topic_facet | Europäische Union Deutsche Bundesbank Taylor-Regel Geldmengensteuerung Währungsunion Geldnachfrage Hochschulschrift |
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