Data uncertainty and the role of money as an information variable for monetary policy

European Economic Review

Volumn 49, Issue 4, 2005, Pages 975-1006

  Coenen, Gunter ^a   Levin, Andrew ^b   Wieland, Volker ^a,c  

^a EUROPEAN CENTRAL BANK   (Germany)

^b Division of Monetary Affairs   (United States)

^c GOETHE UNIVERSITY   (Germany)

Author keywords

Euro area; Kalman filter; Macroeconomic modelling; Measurement error; Monetary policy rules; Rational expectations

Indexed keywords

CURRENCY MARKET; EUROPEAN MONETARY UNION; INFORMATION; MONETARY POLICY; UNCERTAINTY ANALYSIS;

EASTERN HEMISPHERE; EURASIA; EUROPE; WORLD;

EID: 13444265934     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.euroecorev.2003.08.005     Document Type: Article

References (43)

1. Angeloni I. Cottarelli C. Levy A. Cross-border deposits, aggregation, and money demand in the transition to EMU Journal of Policy Modelling 16 1994 27-54
2. Aoki K. On the optimal monetary policy response to noisy indicators Journal of Monetary Economics 50 2003 501-523
3. Brayton, F., Tinsley, P., 1996. A guide to FRB/US: A macroeconomic model of the United States, Finance and Economics Discussion Series, 1996-1942, Board of Governors of the Federal Reserve System.
4. Buiter, W.H., Jewitt, I., 1981. Staggered wage setting with real wage relativities: Variations on a theme of Taylor, The Manchester School 49, 211-228 (Reprinted. In: Buiter, W.H. (Ed.), 1989. Macroeconomic Theory and Stabilization Policy. Manchester University Press, Manchester).
5. Coenen G. Vega J.L. The demand for M3 in the euro area Journal of Applied Econometrics 16 2001 727-748
6. Coenen, G., Wieland, V., 2000. A small estimated euro area model with rational expectations and nominal rigidities, ECB Working Paper No. 30, European Central Bank, September and European Economic Review, forthcoming.
7. Coenen, G., Levin, A., Wieland, V., 2001. Data uncertainty and the role of money as an information variable for monetary policy. ECB Working Paper No. 84, European Central Bank, November.
8. Croushore, D., Stark, T., 1999. A real-time data set for macroeconomists. Federal Reserve Bank of Philadelphia Working Paper 99-4.
9. Dotsey M. Changing policy orientation in the United States In: Siebert H. (Ed.), Monetary Policy in an Integrated World Economy 1996 95-113 J.C.B. Mohr Tübingen
10. Dotsey M. Hornstein A. Is the behavior of money useful to a discretionary policy maker? 2000 Mimeo. Federal Reserve Bank of Richmond
11. Dotsey M. Lantz C. Santucci L. Is money useful in the conduct of monetary policy? Federal Reserve Bank of Richmond Economic Quarterly 86 2000 23-48
12. Ehrmann, M., Smets, F., 2000. Uncertain potential output: Implications for monetary policy. ECB Working Paper No. 59, European Central Bank, April.
13. Fagan, G., Henry, J., Mestre, R., 2001. An area-wide model (AWM) for the euro area. ECB Working Paper, No. 42, European Central Bank, January.
14. Friedman B.M. Targets, instruments and indicators of monetary policy Journal of Monetary Economics 1 1975 443-473
15. Friedman B.M. Targets and instruments of monetary policy Friedman In: B.M. Hahn F.H. (Eds.), Handbook of Monetary Economics 1990 1185-1230 North-Holland Amsterdam
16. Fuhrer J.C. Inflation/output variability trade-offs and optimal monetary policy Journal of Money, Credit, and Banking 29 1997 214-234
17. Fuhrer J.C. Moore G.R. Inflation persistence Quarterly Journal of Economics 110 1995 127-159
18. Gerlach, S., Svensson, L.E.O., 2000. Money and inflation in the euro area: A case for monetary indicators? BIS Working Paper No. 98, Bank for International Settlements.
19. Hallman J.J. Porter R.D. Small D.H. Is the price level tied to the M2 aggregate in the long run? American Economic Review 81 1991 841-858
20. Ireland, P.N., 2001. Money's role in the monetary business cycle, paper presented at the ECB workshop on 'Stochastic dynamic general-equilibrium (SDGE) models and their uses in monetary policy', European Central Bank in Frankfurt, 5-6 June 2001.
21. Kareken J.H. Muench T. Wallace N. Optimal open market strategies: The use of information variables American Economic Review 63 1973 156-172
22. Leahy J. Comment on McCallum: Monetary policy analysis in models without money Federal Reserve Bank of St. Louis Review 83 2001 161-163
23. McCallum B.T. Monetary policy analysis in models without money Federal Reserve Bank of St. Louis Review 83 2001 144-160
24. Meyer L.H. Swanson E.T. Wieland V. NAIRU uncertainty and nonlinear policy rules American Economic Review 91 2001 226-231
25. Nicoletti-Altimari, S., 2001. Does money lead inflation in the euro area? ECB Working Paper No. 63, European Central Bank, May.
26. Orphanides, A., 1998. Monetary policy evaluation with noisy information. Finance and Economics. Discussion Series 98-50, Board of Governors of the Federal Reserve System.
27. Orphanides, A., 2000, The quest for prosperity without inflation. ECB Working Paper No. 15, European Central Bank, March.
28. Orphanides, A., Wieland, V., 1998. Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero. Finance and Economics Discussion Series 98-35, Board of Governors of the Federal Reserve System.
29. Orphanides A. Porter R.D. Reifschneider D. Tetlow R. Finan F. Errors in the measurement of the output gap and the design of monetary policy Journal of Economics and Business 52 2000 117-141
30. Pearlman J.G. Currie D. Levine P. Rational expectations models with partial information Economic Modelling 3 1986 90-105
31. Rotemberg J.J. Woodford M. An optimization-based econometric framework for the evaluation of monetary policy In: Bernanke B.S. Rotemberg J.J. (Eds.), NBER Macroeconomics Annual 1997 1997 297-346 MIT Press Cambridge, MA
32. Rudebusch G.D. Is the Fed too timid? Monetary policy in an uncertain world 2000 Mimeo. Federal Reserve Bank of San Francisco
33. Sargent T.J. Two models of measurement and the investment accelerator Journal of Political Economy 97 1989 251-287
34. Svensson, L.E.O., Woodford, M., 2000. Indicator variables for optimal policy. ECB Working Paper No. 12, European Central Bank, February.
35. Svensson, L.E.O., Woodford, M., 2001. Indicators for optimal policy under asymmetric information. NBER Working Paper No. 8255, National Bureau of Economic Research, Cambridge, MA.
36. Taylor J.B. Aggregate dynamics and staggered contracts Journal of Political Economy 88 1980 1-24
37. Taylor J.B. Macroeconomic Policy in the World Economy: From Econometric Design to Practical Operation 1993 W.W. Norton New York
38. Taylor J.B. Discretion versus policy rules in practice Carnegie-Rochester Conference Series on Public Policy 39 1993 195-214
39. Theil H. Economics and Information Theory 1967 North-Holland Amsterdam
40. Tinsley P.A. Spindt P.A. Friar M.E. Indicator and filter attributes of monetary aggregates: A nit-picking case for disaggregation Journal of Econometrics 14 1980 61-91
41. Tödter K.H. Reimers H.E. P-Star as a link between money and prices in Germany Weltwirtschaftliches Archiv 130 1994 273-289
42. von zur Muehlen P. An optimal interest rate rule with information from money and auction markets Journal of Money, Credit, and Banking 26 1994 917-933
43. Wieland, V., 1998. Monetary policy under uncertainty about the natural unemployment rate. Finance and Economics Discussion Series 98-22, Board of Governors of the Federal Reserve System.