¿Existe evidencia de asimetrías en la gestión de la política monetaria por parte del Banco Central Europeo? (1999-2014)

Abstract

The main goal of this paper is to detect an asymmetric behaviour in the management of the European Central Bank (ECB) since the beginning of its mandate until 2014. The methodology used is twofold. This paper estimates by the generalized method of moments (GMM) an optimal monetary policy rule and a rule including dummy variables which can detect the presence of asymmetries. The crisis in the euro-zone and the liquidity problems caused the implementation of nonconventional policy measures from 2008. Our results show a) asymmetries in the interest rate-setting behaviour of ECB and b) changes in the monetary policy decisions to enhance economic growth.

Monetary Policy and Unemployment—A Study on the Relationship Exists in the United States

“…Secondly, more empirical papers adjusted their model by introducing the labour market frictions to gain a better fit and accuracy. As substantial work was done by Charpe and Kühn (2012) allowing for unemployment and staggered nominal salary, they found a different result that is in contrast to many existing empirical studies, as the result points out that the efficiency of employment of existing workers is positive, which in turn proves that the model is immune to the criticism from Barros et al (2016) who argues that model relies on wage rigidity ignore mutual achievements from trade between firms and labours who have ongoing contracts. Significant evidence shows that the DSGE model with rigidity is a better description of the data, which is superior to a model with flexible wage measurement.…”

El esquema de objetivos de inflación: Evidencia para América Latina (1999-2015)

“…Dichas asimetrías en el comportamiento del banco central, si existen, tienen su origen: i) en una función de preferencias del banco central asimétrica, ii) en una curva de Phillips convexa o iii) en ambas. En este ámbito, destacamos los trabajos de Schaling (1998) (2013), , Barros-Campello et al (2015, 2016a, entre otros.…”

Los productos financieros derivados y la política monetaria: evidencia para la Reserva Federal (2000-2015)

“…Esta variable exógena x t ha sido utilizada en la investigación empírica para detectar los efectos de una serie de variables sobre el instrumento principal de política monetaria del banco central. Entre otras, con diferentes adaptaciones, se utilizó el tipo de cambio real (Clarida et al, 1998), el tipo de interés internacional (Dolado et al, 2005), el déficit presupuestario primario (García Iglesias y Pateiro Rodríguez, 2009), la oferta monetaria, la deuda pública y el tipo de cambio real (Barros-Campello et al, 2015; Barros-Campello et al, 2016) o el crédito al sector privado (Barros-Campello et al, 2015;Barros-Campello et al, 2016). Nosotros utilizamos como variable x t la volatilidad implícita, por ser esta una variable fundamental en el mercado de opciones y que refleja las expectativas de los agentes sobre la evolución futura del mercado.…”