Quantitative Easing, Financial Risk and Portfolio Diversification

Borello, Giuliana; Lossani, Marco Angelo; Modena, Matteo

doi:10.1016/b978-0-12-415875-7.00034-8

Cited by 1 publication

(2 citation statements)

References 35 publications

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“…We measure the credibility of the monetary policy using the following formula:

CMP = \frac{(||, π ‐ π^{e})}{()(, 1 + (||, π ‐ π^{e}))} \times 100

where CMP, π and π e are the credibility of monetary policy, actual inflation rates and expected inflation rate, respectively. In measuring the expected rate of inflation, we forecast it from a backward‐looking Phillips curve in which actual inflation responds to its lagged quarterly average and to the Hodrick–Prescott detrended unemployment rate (Matteo et al ., 2013).…”

Section: Empirical Strategymentioning

confidence: 99%

“…A higher (lower) CMP indicates a more (less) credible monetary policy. The rate of expected inflation is generated from a backward-looking Phillips Curve, in which actual inflation responds to its lagged quarterly average and the Hodrick-Prescott detrended unemployment rate (Matteo, Marco, & Giuliana, 2013). Source: Authors' calculations [Colour figure can be viewed at wileyonlinelibrary.com]…”

Section: Interdependency Between Monetary Policy Credibility and Procmentioning

confidence: 99%

See 1 more Smart Citation

Inflation and Financial Stability Trade‐off: Role of Monetary Policy Credibility and Fiscal Cyclicality

Kurnia

Izzulhaq

Maharda

et al. 2020

J of App Econs and Policy

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This paper examines the role of monetary credibility and fiscal cyclicality in generating the trade‐off between inflation rates and financial stability. We systematically develop simple theoretical models to shape the rationalisation framework, which demonstrates the role of fiscal cyclicality behaviour in arousing a trade‐off for the monetary policy to target low inflation rates and a stable financial system at the same time. By utilising the generalised method of moment (GMM), we find that a credible monetary policy generates a trade‐off between inflation and financial stability as long as the fiscal policy is procyclical.

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“…We measure the credibility of the monetary policy using the following formula:

CMP = \frac{(||, π ‐ π^{e})}{()(, 1 + (||, π ‐ π^{e}))} \times 100

Section: Empirical Strategymentioning

confidence: 99%

Section: Interdependency Between Monetary Policy Credibility and Procmentioning

confidence: 99%

Inflation and Financial Stability Trade‐off: Role of Monetary Policy Credibility and Fiscal Cyclicality

Kurnia

Izzulhaq

Maharda

et al. 2020

J of App Econs and Policy

View full text Add to dashboard Cite

show abstract

Quantitative Easing, Financial Risk and Portfolio Diversification

Cited by 1 publication

References 35 publications

Inflation and Financial Stability Trade‐off: Role of Monetary Policy Credibility and Fiscal Cyclicality

Inflation and Financial Stability Trade‐off: Role of Monetary Policy Credibility and Fiscal Cyclicality

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