Monetary policy, interest rate rules, and the term structure of interest rates: theoretical considerations and empirical implications/
Ralf Fendel.
- New York: Peter Lang, 2007.
- 187 p.
Part I: Monetary Policy and Interest Rate Rules 1 The New Neoclassical Synthesis and the New Directions in Stabilization Policies: An Overview 1.1 Introduction. 1.2 Foundations of the New Neoclassical Synthesis 1.2.1 The Contribution of the Real Business Cycle Theory. 1.2.2 The Contribution of the New Keynesian Macroeconomics. 1.2.3 The Unifying Characteristics of the New Neoclassical Synthesis 1.3 The Transmission of Shocks 1.4 Revisiting the Phillips Curve.. 1.5 Monetary Policy Implications in Brief.. 1.6 The'New Consensus Model'. 1.7 The Value Added of the New Neoclassical Synthesis. Appendix A: A Technical Presentation of the New Neoclassical Synthesis 2 The Theoretical Foundations of Interest Rate Rules.. 2.1 Introduction.... 2.2 The Reappearance of Monetary Policy Rules .... 2.3 A General Classification of Monetary Policy Rules 2.4 An Analj^ical Foundation of Interest Rate Rules 2.5 Uniqueness of Equilibrium and the Taylor Principle 2.6 Interest Rate Rules and the Role of Money 2.7 Limits and Perspectives for the Use of Interest Rate Rules Appendix B: A Second-order Approximation to Household's Utility.. Appendix C: Derivation of an Optimal Interest Rate Rule. Appendix Di The Analytical Foundation of the Taylor-Principle, 3 Estimating Empirical Monetary Reaction Functions for the Deutsche Bxmdesbank and European Central Bank 3.1 Introduction.. 3.2 The estimation Procedure 3.3 Empirical Reaction Functions for the Deutsche Bundesbank. 3.4 Empirical Reaction Functions for the European Central Bank. Part II: Interest Rate Rules and the Term Structure of Interest Rates / 4 Optimal Monetary Policy Rules in the Presence of Term Structure Effects .... 4.1 Introduction. 4.2 The Term Structure of Interest Rates and Monetary Policy. 4.2.1 Interpreting the term structure of interest rates.. 4.2.2 How does monetary policy affect the term structure of interest rates?... 4.2.3 Implications of the term structure of interest rates for monetary policy. 4.3 An Optimal Interest Rate Rule with Term Structure Effects... 4.4 A 'Quasi Optimal' Rule in a Generalized (Hybrid) Model Appendix E: Derivation of an Optimal Rule with Term Structure Effects . 5 The Empirics of Monetary Reaction Functions and Term Structure. 5.1 Introduction. 5.2 Theoretical Considerations. 5.3 Estimation Results. 6 A Joint Determination of Interest Rate Rules and the Dynamics of the Term Structure of Interest Rates 6.1 Introduction. 6.2 An Arbitrage-Free Perspective of the Term Structure of Interest Rates.. 6.2.1 A Non-technical Characterization of Affme Term Structure Models. 6.2.2 The Implications of the Absence of Arbitrage.. 6.3 A General Affine Tenn Structure Model in Discrete Time. 6.4 A Gaussian Model for the German Term Structure of Interest Rates. 6.5 Combining Monetary Policy Rules with the Term Structure Dynamics. 6.6 Estimation Procedure and Results..