Essays on Central Bank credibility and monetary policy predictability

Diplôme Thèse Essays on Central Bank credibility and monetary policy predictability eng 2012-06-26 author Markov Nikolay 551802 director Louberge Henri 25591 director Wyplosz Charles 601857 10.13097/archive-ouverte/unige:22784 urn:nbn:ch:unige-227848 SES 782 This thesis contributes to the literature through an empirical analysis of the first decade of single European monetary policy within a real-time approach and offers new specifications of the policy reaction function of Central Banks based on a novel econometric modeling technique. The results of the thesis show that the policy interest rate of the European Central Bank (ECB) has been broadly well predicted by the market participants. Second, there is evidence that the ECB's monetary policy has switched between a normal regime where the Central Bank focuses on its price stability commitment and a crisis regime where it puts a higher emphasis on stabilizing the economic outlook. Finally, the semi-parametric specifications of the policy reaction function permit to better predict the actual policy rate of several OECD Central Banks than the standard linear Taylor Rule and the policy rule with interest rate smoothing in the medium and longer terms. Monetary policy predictability European Central Bank Taylor Rule Regime switching Semi-parametric modeling Real-time data Dewey 330 Dewey 330/650 9 Faculté d'économie et de management S false 450be5e7-9ab3-4ef3-a8d7-49447e9669c7 Thesis Public Thesis_25_05_12.pdf 6179919 application/pdf openAccess Faculté d'économie et de management

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Essays on Central Bank credibility and monetary policy predictability				2012	1,319	718

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Markov, Nikolay