文章基本信息

标题：CONSISTENTA POLITICII MONETARE BCE SI PREVEDERILE RATELOR DOBANZII INTERBANCARE CONSISTENTA POLITICII MONETARE BCE SI PREVEDERILE RATELOR DOBANZII INTERBANCARE
本地全文：下载
作者：Giovanni VERGA
期刊名称：Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
印刷版ISSN：1844-7007
出版年度：2011
卷号：01
出版社：Academica Brâncuşi
摘要：The European Central Bank has often declared that it has two main monetary policy tools: the official interest rate (Repo) and its communications to the public (the monthly President’s Conferences above all). In this paper an ECB’s reaction function formed by a system of two non-linear equations is employed to explain both ECB’s Repo and communications, and to verify if the two policy instruments are used consistently. It turned out that the estimated system is particularly robust, and the consistently is proved. During the financial crisis, however, also an index of monetary market risk must enter the equations in order to maintain the other parameters stable. By employing those two monetary policy tools as regressors, along with risk and liquidity, a good deal of the future changes in the interbank interest rates can be explained. During the crisis such forecasts are much better than those obtained by applying the usual term structure theory.
关键词：monetary policy; communications;crisis; forecasting and simulatione