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The Analysis of Forward-Looking Monetary Policy in a SVAR Framework

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Author Info

  • Thomas J. Jordan
  • Peter Kugler

    ()

  • Carlos Lenz

    ()

  • Marcel R. Savioz

    (University of Basel)

Abstract

This paper analyzes forward-looking monetary policy rules in structural VAR’s. First, an approach for modeling a monetary policy which aims at a strict medium term inflation or output growth target is developed. Second, the ex ante inflation-output-growth volatility trade-off for a forward-looking policy aiming at a convex combination these strategies is derived. Finally, an illustration of our approach using Swiss data is given.

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Bibliographic Info

Paper provided by Faculty of Business and Economics - University of Basel in its series Working papers with number 2005/10.

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Date of creation: 2005
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Handle: RePEc:bsl:wpaper:2005/10

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Related research

Keywords: Structural VAR; forward-looking monetary policy; efficiency frontier;

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Cited by:
  1. Kugler, Peter & Jordan, Thomas J. & Lenz, Carlos & Savioz, Marcel R., 2005. "GDP data revisions and forward-looking monetary policy in Switzerland," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 351-372, December.
  2. Gregor Bäurle & Elizabeth Steiner, 2013. "How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data," Working Papers 2013-09, Swiss National Bank.

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