The Preparation of Monetary Policy Essays on a Multi-Model Approach
Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties
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The Preparation of Monetary Policy Essays on a Multi-Model Approach
by
Jan Marc Berk
De Nederlandsche Bank, Amsterdam, Free University, Amsterdam
Springer-Science+Business Media, B.Y.
A C.I.P. Catalogue record for this book is available from the Library of Congress.
ISBN 978-1-4419-4869-4 ISBN 978-1-4757-3405-8 (eBook) DOl 10.1007/978-1-4757-3405-8
Printed on acid-free paper
All Rights Reserved © 2001 Springer Science+Business Media Dordrecht Originally published by Kluwer Academic Publishers, Boston in 2001. Softcover reprint of the hardcover 1st edition 2001 No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical, including photocopying, recording or by any information storage and retrieval system, without written permission from the copyright owner.
CONTENTS Acknowledgements
VB
1 Introduction and Overview 1. Outline of the chapter 2. Monetary policy - some conceptual issues 3. The monetary transmission mechanism 4. Implications for the foundations of monetary policy: a multi-model approach 5. Topics studied
1 2 7 14
20
2 The Information Content of the Yield Curve for Monetary Policy: a Survey 1. 2.
Introduction Theories of the yield curve 2.1 Yield curve and future inflation rates 2.2 Yield curve and future economic activity 3. The empirical validity of different theories 3.1 The information content with respect to future inflation 3.2 The information content with respect to future economic activity 4. Implications for monetary policy 5. Concluding remarks
23 25 25 27 29 29 32 33 36
3 Co-Movements in Long-Term Interest Rates and the Role of Exchange Rate Expectations: Evidence from Survey Data 1. 2. 3. 4. 5.
Introduction Recent developments in international bond markets: a first look Survey data and methodology Empirical results Concluding remarks
39 40 46 52 57
VI
4 International Interdependence of Business Cycles: The Use of Leading Indicators for Forecasting and Analysis
1. 2. 3. 4. 5. 6. 7. 8.
Introduction Measuring business cycles Constructing a composite leading indicator Selection of basic indicators and countries Empirical results International interdependence of business cycles National indicators with an international component Concluding remarks
59
60
63 65 67 76 79 81
5 Measuring Inflation Expectations: a Survey Data Approach
1. 2.
Introduction On the estimation of inflationary expectations from qualitative responses 2.1 The distribution of inflation expectations 2.2 The perceived inflation rate 3. Empirical analysis 4. The usefulness of directly estimated expected inflation measures for monetary policy 5. Concluding remarks Appendix
87 88 89 92 93 100 102 103
6 Price Movements in the Netherlands and Germany and the Guilder-Dmark Peg
1. Introduction 2. Theoretical framework 3. Empirical results 4. Concluding remarks Appendix 7 Summary and Concluding Remarks 1. Summary 2. Concluding remarks
109 109 113 119
120 121 124
References
127
Index
147
vii
Acknowledgements This stu
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