Financial Variables in a Policy Rule: Does It Bring Macroeconomic Benefits?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10394417" target="_blank" >RIV/00216208:11230/19:10394417 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=EOtHWUuY3I" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=EOtHWUuY3I</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Financial Variables in a Policy Rule: Does It Bring Macroeconomic Benefits?

Popis výsledku v původním jazyce

The main aim of this research is to find whether direct incorporation of the financial variables in the monetary policy rule can bring macroeconomic benefits in terms of lower volatility of inflation and output. This paper sheds light on the performance of the augmented Taylor rules with financial variables in a small open economy. For this purpose, a New Keynesian DSGE model with two types of financial frictions is constructed. This work provides three conclusions. First, incorporation of asset prices in the monetary policy rule can be beneficial for macroeconomic stabilisation in terms of lower implied volatilities of inflation and output in the response to certain domestic shocks. Second, the usefulness of the augmented monetary policy rule with asset prices deteriorates in case of the shocks originating abroad. The most favourable results as a response to foreign shocks delivers the rule accounting for movements in inflation and output, since this rule can accommodate foreign first-round effects. Third, when all shocks are set to be operative, the best performance delivers the rule accounting for movements in output.

Název v anglickém jazyce

Financial Variables in a Policy Rule: Does It Bring Macroeconomic Benefits?

Popis výsledku anglicky

The main aim of this research is to find whether direct incorporation of the financial variables in the monetary policy rule can bring macroeconomic benefits in terms of lower volatility of inflation and output. This paper sheds light on the performance of the augmented Taylor rules with financial variables in a small open economy. For this purpose, a New Keynesian DSGE model with two types of financial frictions is constructed. This work provides three conclusions. First, incorporation of asset prices in the monetary policy rule can be beneficial for macroeconomic stabilisation in terms of lower implied volatilities of inflation and output in the response to certain domestic shocks. Second, the usefulness of the augmented monetary policy rule with asset prices deteriorates in case of the shocks originating abroad. The most favourable results as a response to foreign shocks delivers the rule accounting for movements in inflation and output, since this rule can accommodate foreign first-round effects. Third, when all shocks are set to be operative, the best performance delivers the rule accounting for movements in output.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

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Svazek periodika

69

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

27

Strana od-do

122-148

Kód UT WoS článku

000466373000001

EID výsledku v databázi Scopus

2-s2.0-85067564241