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Displaying results 1 to 4 of 4.

  1. Whose inflation rates matter most?
    a DSGE model and machine learning approach to monetary policy in the Euro area
    Author: Stempel, Daniel; Zahner, Johannes
    Published: 2023
    Publisher:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 464
    Inter-library loan:
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    In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European Central Bank (ECB) conducted monetary policy between 2002 and 2022 according to the weighted average of the inflation rates within the European Monetary Union (EMU) or reacted more strongly to the inflation rate developments of certain EMU countries. The New Keynesian model first generates data which is used to train and evaluate several machine learning algorithms. They authors find that a neural network performs best out-of-sample. They use this algorithm to generally classify historical EMU data, and to determine the exact weight on the inflation rate of EMU members in each quarter of the past two decades. Their findings suggest disproportional emphasis of the ECB on the inflation rates of EMU members that exhibited high inflation rate volatility for the vast majority of the time frame considered (80%), with a median inflation weight of 67% on these countries. They show that these results stem from a tendency of the ECB to react more strongly to countries whose inflation rates exhibit greater deviations from their long-term trend.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/273083
    Edition: This version: May 31, 2023
    Series: Working paper series / Institute for Monetary and Financial Stability ; no. 188 (2023)
    Subjects: New Keynesian Models; Monetary Policy; European Monetary Union; Neural Networks; Transfer Learning
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  2. Procyclical productivity in New Keynesian models
    Author: Qiu, Zhesheng; Ríos-Rull, José-Víctor
    Published: December 31, 2021
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Rechte
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: PIER working paper ; 22, 006
    Subjects: Procyclical Productivity; New Keynesian Models; Labor Share; Markups; Search
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  3. DSGE models and machine learning
    an application to monetary policy in the euro area
    Author: Stempel, Daniel; Zahner, Johannes
    Published: [2022]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    In the euro area, monetary policy is conducted by a single central bank for 19 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 102
    Inter-library loan:
    No inter-library loan

     

    In the euro area, monetary policy is conducted by a single central bank for 19 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European Central Bank (ECB) conducted monetary policy between 2002 and 2022 according to the weighted average of the inflation rates within the European Monetary Union (EMU) or reacted more strongly to the inflation rate developments of certain EMU countries. The New Keynesian model first generates data which is used to train and evaluate several machine learning algorithms. We find that a neural network performs best out-of-sample. Thus, we use this algorithm to classify historical EMU data. Our findings suggest disproportional emphasis on the inflation rates experienced by southern EMU members for the vast majority of the time frame considered (80%). We argue that this result stems from a tendency of the ECB to react more strongly to countries whose inflation rates exhibit greater deviations from their long-term trend.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/266030
    Edition: Draft: August 15, 2022
    Series: Joint discussion paper series in economics ; no. 2022, 32
    Subjects: New Keynesian Models; Monetary Policy; European Monetary Union; Neural Networks; Transfer Learning
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  4. Doubts on the role of disturbance variance in new Keynesian models and suggested refinements
    Author: Welfens, Paul J. J.
    Published: October 28th 2020
    Publisher:  Bergische Universität Wuppertal, Europäisches Institut für Internationale Wirtschaftsbeziehungen (EIIW), Wuppertal, Germany

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: EIIW discussion paper ; 275
    Subjects: New Keynesian Models; DSGE; Rational behavior; Risk; Digital Economics; Macroeconomics
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen