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

Author

Listed:
  • Jordan, Thomas J.
  • Kugler, Peter
  • Lenz, Carlos
  • Savioz, Marcel R.

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.

Suggested Citation

  • Jordan, Thomas J. & Kugler, Peter & Lenz, Carlos & Savioz, Marcel R., 2005. "The Analysis of Forward-Looking Monetary Policy in a SVAR Framework," Working papers 2005/10, Faculty of Business and Economics - University of Basel.
    • Handle: RePEc:bsl:wpaper:2005/10
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    References listed on IDEAS

    as
    1. Peter Kugler & Thomas J. Jordan, 2004. "Structural Vector Autoregressions and the Analysis of Monetary Policy Interventions: The Swiss Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(I), pages 67-87, March.
    2. Kugler, Peter, 1990. "The term structure of Euro interest rates and rational expectations," Journal of International Money and Finance, Elsevier, vol. 9(2), pages 234-244, June.
    3. Peter Kugler & Georg Rich, 2002. "Monetary Policy Under Low Interest Rates: The Experience of Switzerland in the late 1970s," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 241-269, September.
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    Cited by:

    1. Gregor Bäurle & Elizabeth Steiner, 2015. "How do Individual Sectors Respond to Macroeconomic Shocks? A Structural Dynamic Factor Approach Applied to Swiss Data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 167-225, September.
    2. repec:bsl:wpaper:2005/05 is not listed on IDEAS
    3. 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.

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    More about this item

    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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