Back Matter

Back Matter

Author(s):
Tobias Adrian, Douglas Laxton, and Maurice Obstfeld
Published Date:
April 2018
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Index

A

  • Accountability
    • of central banks, 114
    • feedback from, 258
    • transparency and, 114, 257–59
  • Acheson, K., 20n4
  • Ad hoc forward guidance, 34
  • Adrian, T., 70, 72, 74, 83, 87–88, 97–98, 100
  • Aggregate demand equation, core model and, 48
  • Alichi, A., 162n9
  • Allen, F. , 70n3
  • Amplification mechanisms, 91
  • Arrow-Debreu securities, 88–89, 91
  • Article IV, 252
  • Asian financial crisis, 157
  • Asset prices
    • shock absorption and, 144–46
    • shock amplification and, 146

B

  • Balance sheets
    • central bank, 56f
    • of Federal Reserve, 66n17
  • Bank for International Settlements, 264
  • Bank of Canada, 3, 6, 9, 19, 21, 114, 124
    • conventional forward guidance used by, 142
    • Governor of, 131
    • history of, 119
    • on inflation, 260
    • inflation-forecast targeting of, 24, 134t
    • policy rates of, 130
  • Bank of England, 38
    • threshold rules of, 131
  • Bank of Israel, 40
  • Bank of Mexico, 59
  • Bank of Tanzania, 55
  • Barro, R., 17
  • Baseline event set, interest rates around, 215t
  • Battini, N., 39
  • Bayesian methodology, 50n2, 76
  • Beaupain, R., 65n16
  • Bech, M., 65n16
  • Below-target inflation, 35n3
  • Berg, A., 251
  • Bernanke, B. S., 20n3, 36n4, 71 n4, 98, 99, 216
  • Bernhardsen, T., 65n16
  • Bindseil, U., 62, 66
  • Blanchard, O., 70n3, 261
  • Blinder, A. S., 115
  • Bond yields, 123
  • Borio, C, 70n2
  • Boundary conditions, 197
  • Boyarchenko, N., 70, 83, 98
  • Brazil, 58–60
  • Bretton Woods system, 17
  • Brůha, J., 168
  • Brunnermeier, M. K., 71 n4, 99
  • Buiter, W., 66

C

  • Calvo, G., 70n3
  • Canada, 8–9, 58–60, 114
    • alternative policy strategies in, 134–42
    • consensus inflation expectations for, 120f
    • conventional forward guidance in, 124, 128–30
    • effective lower bound in, 125n5
    • exchange rate in, 122f
    • expectations in, 126–28
    • fiscal policy in, 140
    • inflation expectations in, 121f
    • inflation for, 120f
    • inflation targeting in, 9n9
    • interest rates in, 122n3
    • model simulations and, 134–42
    • monetary policy in, 134–35
    • New Keynesian models for, 146–52
    • oil prices in, 122
    • stimulus in, 140
    • unconventional forward guidance in, 130–31, 133–34
  • Caruana, J., 70n2
  • Ceiling systems, of central banks, 60ni10
  • Central Bank of Chile
    • inflation-forecast targeting of, 24
    • interbank rates capped by, 57n5
  • Central banks, 3, 7
    • accountability of, 114
    • balance sheet, 56f
    • ceiling systems of, 60n10
    • communication programs of, 258
    • conventional forward guidance of, 129–30
    • GaR and, 89
    • goal independence of, 19n2
    • inflation-forecast targeting and, 108, 257n1
    • in inflation targets, 19–20
    • instrument independence of, 19
    • interest rates and, 27
    • in low-income countries, 241
    • mid-corridor system with policy rate attached to, 60, 61f
    • in non-inflation-targeting regimes, 257n2
    • objectives of, 257
    • on policy rates, 57
    • publication of forecasts, 109–11
    • short-term rates and, 57, 125
    • statement of record of, 108–9
    • in Sub-Saharan Africa, 250
    • understanding policies of, 20
  • Cerra, V., 70n3
  • Cerutti, E., 70n3
  • Chant, J., 20n4
  • Charbonneau, K., 132
  • Chile, 58–60
    • Monetary Policy Reports for, 109–10
  • China, 252, 262
  • Christensen, J. H. E., 65n16
  • Christiano, L. J. C, 99
  • Clinton, K., 6n6, 27n9
  • CNB. See Czech National Bank
  • Cochrane, J., 91
  • Coefficients, on financial conditions, 95
  • Coibion, O., 23
  • Commodity terms of trade, in New-Keynesian models, 151–52
  • Common media, communication and, 110
  • Communication
    • of central banks, 258
    • at CNB, 173–79
    • common media and, 110
    • costs of, 258
    • inflation-forecast targeting and, 112, 258
    • monetary policy and, 110
    • on Policy Rate Path, 129
    • in taper tantrum, 216
    • of uncertainty, 114–15
    • unconventional forward guidance and, 130
  • Composite rates, 58
  • Conditionality, 25
  • Conditional volatility, 92
  • Confidence bands, 8
    • CNB, 162n8
    • for federal funds rate, 227f
    • loss-minimizing strategies and, 226–30
    • for output gap, 229f
    • for PCE inflation, 228f
  • Constant Relative Risk Aversion (CRRA), 90n8
  • Consumer price index (CPI), 21, 85–86, 119
    • food prices in, 191–92
    • inflation, 124, 189
  • Contractionary shocks, inflation and, 127
  • Conventional forward guidance, 9, 34, 263
    • Bank of Canada using, 142
    • in Canada, 124, 128–30
    • of central banks, 129–30
    • inflation-forecast targeting and, 128
    • systematic publication and, 128–29
  • Core inflation, 22, 135, 136f, 139f, 141f, 143f
  • Core model
    • aggregate demand equation and, 48
    • equations, 48
    • expectations and, 50
    • Phillips curve and, 48–49
    • typical, 50
  • Core projection models, 24
  • Core-QPM
    • demand shocks and, 198–201
    • disinflation and, 198
    • equations, 194
    • monetary policy experiments, 197–201
    • supply shocks and, 201
  • Council of Economic Advisers, 123
  • Counterparties, 57
  • CPI. See Consumer price index
  • Credibility, 196
    • endogenous policy, 199f, 220n10
    • in India, 193
    • of inflation forecasting, 263–64
    • inflation targeting and, 255
    • perfect policy, 200f
    • policy, 144–45
    • shock absorption and, 37
    • stock, 202f, 203f, 204f
  • Credit allocation, Federal Reserve and, 63n14
  • Credit growth, 256
  • Crisis risk, interest rates and, 72–74
  • CRRA. See Constant Relative Risk Aversion
  • Curdia, V., 85, 99
  • Czech National Bank (CNB), 5, 10–11, 10n10, 19, 110, 120, 155
    • board responsibility at, 172
    • clarity of language of, 174
    • communications at, 173–79
    • confidence bands, 162n8
    • DSGE model, 167, 167n11
    • exchange rate instruments and, 176–79
    • forecast evaluation at, 171n16
    • FPAS, 163–73
    • full disclosure at, 174–79
    • human resource input at, 169–71
    • inflation-forecast targeting of, 24, 260
    • Inflation Report, 113, 172
    • inflation targeting by, 158
    • Macroeconomic Forecasting Division, 168
    • managed float, 157
    • modeling team at, 171n17
    • Monetary Department, 169–71, 172
    • organizational structure at, 169f
    • QPM-gap model, 165, 166f
    • senior management at, 170
    • staff, 170n15
    • stages of development, 164f
    • on tolerance band, 157
    • transparency of, 231n15
    • uncertainty and, 169
  • Czech Republic, 8–9, 13, 58–60, 77n14
    • assessment of, 162
    • economic performance of, 160
    • IMF and, 156
    • inflation expectations in, 121f, 178t
    • inflation in, 161f
    • inflation targeting in, 158–59
    • loss-function values for, 163f
    • monetary policy in, 155–63
    • nominal interest rates in, 160f
    • real interest rates in, 160f
    • unemployment rate in, 159n4, 161f

D

  • D’avila, E., 98
  • Debelle, G., 33n1
  • De facto fixed exchange rate, 156–58
  • Deflation trap, 37, 220n10
  • Dell’Ariccia, G., 71, 73
  • Demand shocks, 202f
    • core-QPM and, 198–201
    • expansionary, 225f
    • inflation targeting and, 261–62
  • Dincer, N. N., 175
  • Dincer-Eichengreen index, 120, 121f
  • Disinflation
    • core-QPM and, 198
    • in India, 189
  • DM1 loss function, 221
  • Dooley, M. R., 108
  • Dornbusch, R., 108
  • Dots, 233n16
  • DSGE. See Dynamic stochastic general equilibrium methodology
  • Dual mandate CB loss function, IFB reaction function and, 222f
  • Duarte, F., 87, 88, 100
  • Durre, A., 65n16
  • Dynamic stochastic general equilibrium (DSGE) methodology, 50–51
    • CNB, 167, 167n11

E

  • East African Community, 245
  • Economic expansion, interest rates during, 69–70
  • Economic structure, of low-income countries, 245t
  • Effective lower bound
    • in Canada, 125n5
    • historic, 148n14
    • in New-Keynesian models, 148
  • Eggertsson, G. B., on expectations, 130n8
  • Eichengreen, B., 175
  • Eisenbach, T. M., 71 n4
  • Emerging market economies
    • expectations in, 39–42
    • foreign exchange market index in, 249f
    • inflation targeting in, 39–42
  • Employment, 3n1
  • Endogenous policy rate, 129
    • credibility, 199f, 220n10
  • Energy prices, positive shocks to, 26
  • Engen, E. T., 132, 215
  • Equilibrium, long-term, 33–34
  • Equilibrium real interest rate, for United States, 123
  • Etula, T., 97
  • Euro area, inflation expectations in, 121f
  • European Central Bank, 60
  • Evans, C. J., 230
  • Exchange rate instruments, CNB and, 176–79
  • Exchange rates, 136f, 139f, 141f, 143f
    • in Canada, 122f
    • equations, 195
    • fixed, 57, 156–58, 256
    • in Israel, 40f, 41f
    • in low-income countries, 5
    • managed exchange rate framework, 55
    • oil prices and, 122f
    • pegs, 4n4, 155
    • real, 145–46, 148–49, 202f, 203f, 204f
    • reserve money operating targets and, 55
    • shock absorption and, 144–45
    • Svensson on, 176
  • Exit policy, 35–38
  • Exogenous interest rate paths, 27
  • Expansionary demand shock, with nonlinear Phillips curve, 225f
  • Expectations
    • backward-looking, 143f
    • in Canada, 126–28
    • consensus inflation, 120f
    • core model and, 50
    • defining, 32
    • Eggertsson on, 130n8
    • in emerging market economies, 39–42
    • inflation-forecast targeting and, 256
    • management of, in Israel, 40–41
    • management of, in United Kingdom, 38–39
    • multicountry sample of, 41
    • policy, 255–57
    • shock absorption and, 37
    • shock amplification and, 37
    • Svensson on, 126n6
    • threats and, 126–28
    • Woodford on, 130n8, 255
    • See also Inflation expectations
  • Expert Committee to Revise and Strengthen the Monetary Policy Framework, 188, 190
  • Export rates, 177f
  • Extended forward guidance, Federal Reserve using, 211

F

  • Facebook, 109
  • Farhi, E., 98
  • FCIs. See Financial conditions indexes
  • Federal funds futures, 218f
  • Federal funds rate, 222f, 225f
    • confidence bands for, 227f
    • IFB reaction function and, 221
    • nominal, 217f
    • reaction function, 223f
    • real, 217f
  • Federal Open Market Committee (FOMC), 12, 63n14, 111, 132, 209, 221, 261
    • goals and policy strategy of, 210
    • inflation rate and, 210
    • on publication, 233
    • quantitative easing and, 216f
  • Federal Reserve, US, 4, 77, 111
    • ad hoc forward guidance of, 34
    • balance sheet, 66n17
    • credit allocation and, 63n14
    • dual mandate, 209–12
    • extended forward guidance and, 211
    • forward guidance of, 36–37, 214
    • FPAS, 261
    • Interest on excess reserves at, 57n5, 58
    • loss-minimizing strategies of, 217–30
    • Overnight reverse repo facility, 58
    • quantitative easing by, 211
    • recent developments at, 212–17
    • remuneration by, 60n11
    • Summary of Economic Projections, 213, 232
    • toolkit of, 213–14
    • transparency at, 212–13
    • on unconventional forward guidance, 132
    • See also Federal Open Market Committee
  • Feedback response, inflation-forecast targeting, 26f
  • Ferrero, G., 110
  • Filardo, A., 75, 132
  • Finance Act of 2016, 189
  • Financial conditions
    • coefficients on, 95
    • country coverage, 86t
    • GaR and, 85–92
    • monetary policy and, 260
    • role of, 83
    • welfare gains and, 94–96
  • Financial conditions indexes (FCIs), 83, 85–86, 86n3
  • Financial crises
    • Asian, 157
    • interest rates and, 72–74
    • transparency and, 213t
    • of 2009, 36
  • Financial sector indicators, for low-income countries, 244t
  • Financial Services Regulatory Relief Act 2006, 60n11
  • Financial stability mandate
    • complications associated with, 115
    • costs and benefits of, 74–76
  • Firms, 88
    • monopoly power of, 90n5
  • Fiscal backdrop, optimal control with, 141f
  • Fiscal policy
    • in Canada, 122, 140
    • in low-income countries, 247
    • monetary policy and, 247
  • Fiscal Responsibility and Budget Management Act, 187
  • Fixed exchange rates, 57, 256
    • de facto, 156–58
  • Flexible inflation targeting, 70
  • Floor system, with excess reserves
  • remunerated at policy rate, 60–61
  • FOMC. See Federal Open Market Committee
  • Food prices, in CPI, 191–92
  • Forecast errors, 197
  • Forecasting and policy analysis system (FPAS), 19
    • accounting in, 47
    • accuracy of, 164f
    • CNB, 163–73
    • components of, 46–47
    • core quarterly forecasting model in, 46
    • external assumptions sources, 47
    • Federal Reserve, 261
    • full-time forecast team in, 46
    • information technology in, 47
    • in low-income countries, 251–52
    • medium-term horizon, 165–66
    • near-term subsystem, 47, 164–65, 167–68
    • numerical calibration of, 50
    • ownership of, 171–73
    • reporting in, 47
    • satellite models, 46
    • schedules, 46–47
    • transparency and, 174
  • Forecast output
    • purposes of, 45–46
    • risk assessment and, 45
    • uncertainty and, 45
  • Foreign exchange market index
    • in emerging market economies, 249f
    • in low-income countries, 249f
  • Foreign exchange stability, 77n14
  • Forward guidance
    • ad hoc, 34
    • conventional, 9, 34, 128–30, 263
    • extended, 211
    • of Federal Reserve, 36–37, 214
    • types of, 128–30
    • unconventional, 130–34
  • FPAS. See Forecasting and policy analysis system
  • Freedman, C, 20n3, 34n2
  • Full disclosure, at CNB, 174–79

G

  • Gagnon, J. E., 214
  • Gale, D., 70n3
  • Galí, J, 84, 261
  • Gambacorta, L., 85, 99
  • GaR. See GDP at Risk
  • Gaspar, V. M., 35n3
  • GDP. See Gross domestic product
  • GDP at Risk (GaR), 76, 83–84
    • calibration, 92
    • central banks and, 89
    • estimation of, 86–88
    • financial conditions and, 85–92
    • uncertainty and, 91
  • Gertler, M., 71 n4, 85, 98, 99
  • Ghana, 242
    • inflation targeting in, 250
  • Giannone, D., 70, 83, 98
  • Gilchrist, S., 71 n4, 98, 99
  • Gillan, J. M., 65n16
  • Global equilibrium interest rate, inflation expectations and, 262
  • Global Financial Stability Report (IMF), 76–77, 83–84
  • Global Integrated Monetary and Fiscal model, 75
  • Global nonlinearities, 75
  • Goal independence, of central banks, 19n2
  • Goodhart, C., 232
  • Gordon, D., 17
  • Gorodnichenko, Y., 23
  • Gourio, F., 75, 97
  • GPM-g3 model, 177f
  • Great Recession, 171n18, 221
  • Greenwood, R., 66
  • Gross domestic product (GDP), 8, 48, 73, 83–84
    • in Czech Republic, 161f
    • growth, 177f, 217f

H

  • Hamilton-Jacobi-Bellman (HJB) equation, 101
  • Hanson, S. G., 66
  • He, Z., 99
  • Headline inflation, 22, 136f, 139f, 141f, 143f
  • HJB. See Hamilton-Jacobi-Bellman equation
  • Hodrick-Prescott filter, 85
  • Hofmann, B., 132
  • Holston, K., 123
  • Human resource input, CNB, 169–71

I

  • IFB reaction function. See Inflation-forecast-based reaction function
  • IMF. See International Monetary Fund
  • India, 8–9, 11–12
    • credibility in, 193
    • inflation-forecast targeting in, 189–91
    • inflation phases in, 185–91
    • inflation targeting in, 35, 260
    • interest rates in, 190f
    • macroeconomic models in, 185–91
    • QPM for, 193–94
    • transmission channels in, 189–91
  • Indonesia, 60
  • Inflation
    • Bank of Canada and, 260
    • for Canada, 120f
    • contractionary shocks and, 127
    • core, 22, 135, 136f, 139f, 141f, 143f
    • CPI, 124, 189
    • in Czech Republic, 161f
    • equations, 194–95
    • headline, 22, 136f, 139f, 141f, 143f
    • in Israel, 40f, 41f
    • output gap and, 246f
    • PCE, 223f , 225f
    • phases of, in India, 185–91
    • in United States, 261
  • Inflation control, 119–20
  • Inflation expectations, 202f, 203f, 204f
    • in Canada, 120f, 121f
    • consensus, 120f
    • in Czech Republic, 121f
    • in euro area, 121f
    • global equilibrium interest rate and, 262
    • inflation-forecast targeting and, 121f
    • in Japan, 121f
    • in New Zealand, 121f
    • in Sweden, 121f
    • in United States, 121f
  • Inflation-forecast-based (IFB) reaction
  • function, 136f, 143f
    • dual mandate CB loss function and, 222f
    • federal funds rate and, 221
    • loss-minimizing strategies and, 220
    • strategy, 137
  • Inflation forecasting
    • credibility of, 263–64
    • principles of, 23–25
    • publication of, 232–33
    • Svensson on, 20
  • Inflation-forecast targeting, 3–4
    • avant-garde of, 25
    • of Bank of Canada, 24, 134t
    • of Central Bank of Chile, 24
    • central banks and, 108, 257n1
    • communication and, 112, 258
    • conventional forward guidance and, 128
    • of Czech National Bank, 24, 260
    • deviation of consensus headline, 42f
    • expectations and, 256
    • feedback response, 26f
    • in India, 189–91
    • inflation expectations and, 121f
    • institutional modalities for, 112
    • monetary instruments in, 259
    • in New Zealand, 19
    • operating targets in, 259
    • operational frameworks of, 259–60
    • perspectives for, 13
    • in practice, 259–63
    • principles and practices of, 4–8
    • of RBNZ, 24
    • requirements for, 24–25
    • schedules, 25
    • transmission, 26f
    • transparency and, 25
  • Inflation paths, for policy frameworks, 127f
  • Inflation rate
    • defining, 85–86
    • FOMC and, 210
  • Inflation Report, Czech National Bank, 113, 172
  • Inflation targeting, 3, 9
    • benefits and costs of, 22n7
    • in Canada, 9n9
    • central bank in, 19–20
    • by CNB, 158
    • communications in support of, 107–11
    • credibility and, 255
    • in Czech Republic, 158–59
    • defining, 3n2
    • demand shocks and, 261–62
    • in emerging market economies, 39–42
    • expectations under, 38–42
    • flexible, 26n8, 108
    • in Ghana, 250
    • history of, 20–21
    • in India, 35, 260
    • in Israel, 40–41
    • lite, 251
    • in low-income countries, 248
    • multicountry sample of, 41
    • without policy analysis, 158–59
    • Svensson on, 26n8
    • in United Kingdom, 38–39
  • Instrument independence, of central banks, 19
  • Interbank monitoring, 65n16
  • Interbank rates, 57n5
  • Interest rate paths
    • exogenous, 27
    • publication of, 231–32
  • Interest rates
    • around baseline event set, 215t
    • in Canada, 122n3
    • central banks and, 27
    • crisis risk and, 72–74
    • during economic expansion, 69–70
    • equilibrium real, 123
    • forecasts, transparency and, 34–35
    • global equilibrium, 262
    • in India, 190f
    • in Israel, 40f, 41f
    • leverage and, 73
    • monetary operations and, 54
    • negative, 141f
    • neutral real, 122n3
    • nominal, 160f
    • real, 148–49, 160f, 177f
    • short-term, 20n5, 54–55, 57, 125
    • term structure of, 150
  • Intermediary sector, 88–89
  • International Monetary Fund (IMF), 47, 70n1, 71
    • Czech Republic and, 156
    • Executive Board, 252
    • International Financial Statistics database, 85–86
    • low-income countries and, 241–42, 252
    • role of, 252
    • Spillover Report, 76
  • Intuition, 94
  • Investment Savings (IS) equation, in New-Keynesian models, 146
  • Israel
    • Bank of Israel, 40
    • exchange rates in, 40f, 41f
    • expectations management in, 41–42
    • inflation in, 40f, 41f
    • inflation targeting in, 40–41
    • interest rates in, 40f, 41f

J

  • Japan, 36
    • inflation expectations in, 121f
  • Jordà, Ò., 70n3

K

  • Kamenik, O., 23
  • Karadi, P., 85, 99
  • Kashyap, A., 75, 97
  • Kenya, 242
  • Kiem, H., 23
  • Kiyotaki, N., 98
  • Klee, E., 65n16
  • Kloster, A., 65n16
  • Korinek, A., 98
  • Krishnamurthy, A., 98, 99
  • Kuttner, K., 39
  • Kydland, F., 17

L

  • Laeven, L., 73
  • Lane, T., 140
  • Laubach, T., 123, 132, 215
  • Laxton, D., 20n3, 33n1, 34n2, 39
  • Lehman Brothers, 262
  • Liang, N., 74
  • Linearization, 90n7
  • Long market
    • nominal rates, 224f
    • real rates, reaction function, 224f
  • Long-Term Capital Management, 261
  • Long-term equilibrium, 33–34
  • Long-term targets, 21–23
  • López-Salido, D., 98
  • Loss function, 223f
    • dual mandate CB, 222f
    • minimizing, 220–21
    • value of, 222f, 225f
  • Loss-minimizing strategies (OPT), 137–38
    • confidence bands and, 226–30
    • Federal Reserve, 217–30
    • IFB reaction function and, 220
    • illustrative simulation results, 221–22
    • New-Keynesian models and, 147–48
    • sensitivity analysis, 222–23
    • Taylor rule and, 219
    • variants of, 222–23
  • Low-income countries
    • central banks in, 241
    • economic structure of, 245t
    • exchange rates in, 5
    • financial sector indicators for, 244t
    • fiscal policy in, 247
    • foreign exchange market index in, 249f
    • FPAS in, 251–52
    • IMF and, 241–42, 252
    • inflation targeting in, 248
    • macroeconomic volatility and, 245–46
    • monetary policy in, 243–47
    • operational frameworks in, 248–50
    • price stability in, 248
    • supply shocks in, 245–46
    • transmission mechanisms in, 243–47
  • Lucas, R., 261

M

  • Macroeconomic Forecasting Division, CNB, 168
  • Macroeconomic models, 6, 45
    • in India, 185–91
  • Macroeconomic volatility, low-income countries and, 245–46
  • Macroprudential policy, 71, 77
  • Mahatma Gandhi National Rural
  • Employment Guarantee Act, 187
  • Managed exchange rate framework, 55
  • Managed float, of CNB, 157
  • Market rates, mid-corridor systems targeting, 58–59
  • Marquez, R., 73
  • Martin, R., 70n3
  • MAS. See Monetary Authority of Singapore
  • Mauro, P. , 71
  • McCulley, P. , 99
  • Mendes, R. R., 122n3
  • Mendoza, E. G., 70n3
  • Mester, L., 231
  • Mexico, 58–60
  • Mid-corridor system, 58f
    • with policy rate attached to central bank instrument, 60, 61f
    • targeting market rates, 58–59
  • Mishkin, F. S., 174
  • Model simulations, Canada and, 134–42
  • Moench, E., 97
  • Monetary aggregates, in United States, 56
  • Monetary Authority of Singapore (MAS), 55
  • Monetary instruments, 53n1, 56–58
    • in inflation-forecast targeting, 259
    • traditional, 259
  • Monetary operations
    • assessing frameworks, 62–64, 67t
    • basic designs, 58–62
    • building blocks of, 53–64
    • clarity of, 62–63
    • costs and capacity requirements, 64
    • framework, 54f
    • framework comparisons, 65f
    • interest rates and, 54
    • operating target in, 53–56
    • operational framework of, 53
    • of Swiss National Bank, 54n2
    • transmission in, 63–64
  • Monetary policy
    • in Canada, 134–35
    • communication and, 110
    • consultation clauses, 252
    • Core-QPM and, 197–201
    • in Czech Republic, 155–63
    • derivation of solution, 103
    • financial conditions and, 260
    • fiscal policy and, 247
    • loss function equations, 194
    • in low-income countries, 243–47
    • modernizing, 250–52
    • objectives of, 69
    • optimal, 100–102
    • risk-avoidance and, 260
    • in Sub-Saharan Africa, 242
    • Svensson on, 264
    • technical literature on, 217f
    • uncertainty and, 217f
    • in United States, 213t
  • Monetary Policy Committee, India, 189
  • Monetary Policy Committee, UK, 38
  • Monetary Policy Reports, 7–8, 8n7, 108, 258
    • for Chile, 109–10
    • publication of, 230n14
  • Monetary policy rule, 49
    • coefficients, 95t
  • Monetary targeting, 55
  • Money, defining, 256
  • Money growth rules, 157n3
    • financial innovation and, 256
  • Moore, J., 98
  • Muir, T., 97, 98
  • Multiple-indicator approach, 185n2
  • Mundell-Fleming, 140
  • Munyan, T., 70 n3

N

  • Negative interest rates, optimal control with, 141f
  • Negative shocks, 212
  • New Keynesian models, 74, 84, 88
    • for Canada, 146–52
    • commodity terms of trade in, 151–52
    • effective lower bound in, 148
    • IS equation in, 146
    • loss-minimizing strategies and, 147–48
    • Phillips curve in, 146–47
    • policy rates and, 147–48
    • potential output in, 151
    • real exchange rate and, 148–49
    • real interest rates and, 148–49
    • relative prices in, 149–50
    • risk-adjusted uncovered interest parity condition and, 149–50
    • term structure in, 150
    • unemployment rate in, 150–51
  • New Zealand, 61–62, 113–14
    • inflation expectations in, 121f
    • inflation-forecast targeting in, 19
    • See also Reserve Bank of New Zealand
  • Nigeria, 242
  • Nominal anchor, 25–27
    • policy expectations and, 255–57
  • Nominal federal funds rate, 217f
  • Nominal interest rates, in Czech Republic, 160f
  • Non-inflation-targeting regimes, 257n2
  • Nonlinear Phillips curve, 226n12
  • expansionary demand shock with, 225f
  • Norges Bank, 110
    • policy rate of, 111f
  • Norway, 61–62, 111f

O

  • Oil prices, 133
    • in Canada, 122
    • exchange rate and, 122f
  • OLS. See Ordinary least squares
  • Open market operations, 56–57, 57n4
    • design of, 59
  • Operating targets
    • in inflation-forecast targeting, 259
    • in monetary operations, 53–56
    • reserve money, 55
    • as short-term rates, 54–55
  • Operational control, 6–7
  • Operational frameworks
    • of inflation-forecast targeting, 259–60
    • in low-income countries, 248–50
  • Opportunity costs, 262n3
  • OPT. See Loss function
  • Optimal control
    • with fiscal backdrop, 141f
    • with negative interest rate, 141f
    • predicted outcomes under, 139f
  • Ordinary least squares (OLS), 86
  • Output, 3n1
    • forecast, 45–46
    • potential, 151
  • Output gap, 87f, 136f, 139f, 141f, 143f, 202f, 203f, 204f, 222f, 225f
    • confidence bands for, 229f
    • equations, 194
    • inflation and, 246f
    • mean and variance of, 94f
    • reaction function, 223f
    • vulnerability, 91
  • Outright purchases, 263
  • Overnight lending rates, 6–7

P

  • Panel estimation, mean and volatility from, 88f, 89f
  • Park, Y. C., 108
  • PCE inflation. See Personal consumption expenditure inflation
  • Peek, J., 100
  • Perfect policy credibility, 200f
  • Personal consumption expenditure (PCE) inflation, 225f
    • confidence bands for, 228f
    • reaction function, 223f, 224f
  • Pescatori, A., 221
  • Phillips curve, 90
    • adjustment, 32f
    • convex, 196f
    • core model and, 48–49
    • expectations-augmented, 32
    • features of, 195
    • in New-Keynesian models, 146–47
    • nonlinear, 225f, 226n12
    • short-run, 33
    • unemployment rates and, 33f
  • Plosser, C, 230
  • Policy analysis, inflation targeting without, 158–59
  • Policy credibility, 144–45
    • perfect, 200f
  • Policy expectations, nominal anchor and, 255–57
  • Policy frameworks, inflation paths for, 127f
  • Policy instruments, 31–34, 49, 53n1
  • Policy rate path, 27
    • communication on, 129
  • Policy rates, 136f, 139f, 141f, 143f, 202f, 203f
    • attached to central bank instrument, 60, 61f
    • of Bank of Canada, 130
    • central banks on, 57
    • endogenous, 129
    • floor system with excess reserves remunerated at, 60–61
    • New-Keynesian models and, 147–48
  • Policy responses, 201
    • delayed, 204f
  • Portillo, R., 251
  • Positive shocks, to energy prices, 26
  • Potential output, in New-Keynesian models, 151
  • Prescott, E., 17
  • Price stability, 22
    • in low-income countries, 248
  • Privatization, 10
  • Projection models
    • core, 24
    • quarterly, 9, 193–94

Q

  • QPM-gap model, 159
    • CNB, 165, 166y
    • comparisons of, 167t
  • Quantitative easing, 36, 263
    • by Federal Reserve, 211
    • FOMC and, 216f
    • 10-year term-premium effect of, 216f
  • Quarterly projection model (QPM), Bank of Canada, 9
    • for India, 193–94
    • variants, 193
  • Quasi-equilibrium, 35, 211n2
  • Qvigstad, J. F., 26n8

R

  • RBI. See Reserve Bank of India
  • Reaction function, 49
    • comparisons of, 223f, 224f
    • for expansionary demand shock with
    • nonlinear Phillips curve, 225f
    • federal funds rate, 223f
    • long market nominal rates, 224f
    • long market real rates, 224f
    • output gap, 223f
    • PCE inflation, 223/, 224/
    • See also Inflation-forecast-based reaction function
  • Real exchange rate, 202f, 203f, 204f
    • New-Keynesian models and, 148–49
    • shock absorption and, 145
    • shock amplification and, 146
  • Real federal funds rate, 217f
  • Real interest rates, 177f
    • in Czech Republic, 160f
    • equations, 194
  • New-Keynesian models and, 148–49
  • Reflationary policy, 37
  • Reifschneider, D., 215
  • Reinhart, C. M., 70n3
  • Relative prices, in New-Keynesian models, 149–50
  • Rennison, L., 132
  • Representative household, 88
  • Reserve averaging, 59n7
  • Reserve Bank of India (RBI), 11, 185, 260
    • Expert Committee to Revise and Strengthen the Monetary Policy Framework, 188, 190
  • Reserve Bank of New Zealand, 3, 5, 6, 18, 110
    • inflation-forecast targeting of, 24
  • Reserve money operating targets, exchange rates and, 55
  • Reserve requirements, in United States, 56n3
  • Risk-adjusted uncovered interest parity condition, 144–45
    • New-Keynesian models and, 149–50
  • Risk assessment, forecast output and, 45
  • Risk avoidance, 9–10, 42–43
    • monetary policy and, 260
    • in United States, 211
  • Rogoff, K. S., 70n3
  • Rosengren, E. S., 100
  • Rungcharoenkitkul, P. , 75

S

  • Sannikov, Y., 71 n4, 99
  • Saxena, S. C, 70 n3
  • Schularick, M., 70n3, 73
  • Secchi, A., 110
  • Secured rates, 58
  • Sensitivity analysis, 147n13
  • Shin, H. S., 97
  • Shock absorption
    • asset prices and, 144–46
    • credibility and, 37
    • exchange rate and, 144–45
    • expectations and, 37
    • real exchange rate and, 145
  • Shock amplification
    • asset prices and, 146
    • expectations and, 37
    • real exchange rate and, 146
  • Shocks
    • contractionary, 127
    • demand, 198–201, 202f, 225f, 261–62
    • negative, 212
    • positive, 26
    • supply, 201, 203f, 245–46
    • terms-of-trade, 246 n6
  • Short-term interest rate, 20n5
    • central banks and, 57, 125
    • operating targets as, 54–55
  • Short-term money markets, 64n15
  • Signoretti, F. M., 85, 99
  • Sim, J., 75, 97
  • Simsek, A., 98
  • Smets, F., 70n2, 84
  • Sri Lanka, 250
  • Stebunovs, V., 65n16
  • Stein, J. C., 66, 72, 98
  • Stimulus, 36, 132
    • in Canada, 140
  • Stock, J., 261
  • Sub-Saharan Africa
    • central banks in, 250
    • monetary policy in, 242
  • Summary of Economic Projections, Federal Reserve, 213, 232
  • Summers, L., 21, 70n3
  • Supply shocks, 203f
    • core-QPM and, 201
    • in low-income countries, 245–46
  • Svensson, Lars, 3–4, 5, 8n8, 70n2, 75, 84
    • on exchange rates, 176
    • on expectations, 126n6
    • on inflation forecasting, 20
    • on inflation targeting, 26n8
    • on monetary policy, 264
  • Sverige Riksbank, 110, 120, 232
  • Sweden, 58–60
    • inflation expectations in, 121f
  • Swiss franc London interbank offered Rate, 54n2
  • Swiss National Bank, 54n2
    • monetary operations of, 54n2

T

  • Tanzania, 242
  • Taper tantrum, 111, 211
    • communications in, 216
  • Taylor, A. M., 70n3, 73
  • Taylor, J., 99
  • Taylor rule, 42n5, 84, 95
    • loss-minimizing strategies and, 219
    • welfare gains under, 97t
  • Terms-of-trade shocks, 246n6
  • Term structure
    • of interest rates, 150
    • in New-Keynesian models, 150
  • Tiered-floor system, 61–62, 63f
  • Tolerance band, CNB on, 157
  • Toloui, R., 99
  • Tootell, G., 100
  • Transmission channels, 49–50
    • in India, 189–91
    • monetary operations and, 63–64
  • Transmission mechanisms, 12
    • in low-income countries, 243–47
  • Transparency, 7–8, 18
    • accountability and, 114, 257–59
    • advances in, 230–33
    • of CNB, 231n15
    • at Federal Reserve, 212–13
    • FPAS and, 174
    • inflation-forecast targeting and, 25
    • interest rate forecasts and, 34–35
    • postcrisis, 213t
  • Treasury rates, 218f
  • Treasury yield, 217f, 218f
  • Tůma, Z., 175
  • Turunen, J., 221
  • Twitter, 109

U

  • Uganda, 242
  • Uncertainty, 25, 158
    • CNB and, 169
    • communication of, 114–15
    • forecast output and, 45
    • GaR and, 91
    • measures of, 45
    • monetary policy and, 217f
  • Unconventional forward guidance
    • in Canada, 130–31, 133–34
    • communication and, 130
    • country experiences with, 131–34
    • Federal Reserve on, 132
    • in United Kingdom, 131–32
    • in United States, 132
  • Uncovered interest parity, 49
    • equations, 194–95
  • Unemployment rate, 217f
    • in Czech Republic, 159n4, 161f
    • in New-Keynesian models, 150–51
  • Unemployment rates, 33–34, 136f, 139f, 141/, 143/
    • Phillips curve and, 33f
    • in United States, 133f
  • United Kingdom, 60–61
    • expectation management in, 38–39
    • inflation targeting in, 38–39
    • unconventional forward guidance in, 131–32
    • See also Bank of England
  • United States, 4, 8–9, 46
    • equilibrium real interest rate for, 123
    • inflation expectations in, 121f
    • inflation in, 261
    • monetary aggregates in, 56
    • monetary policy in, 213t
    • reserve requirements in, 56n3
    • risk avoidance in, 211
    • unconventional forward guidance in, 132
    • unemployment rates in, 133f
    • See also Federal Reserve

V

  • Value at risk, 83
  • VAR. See Vector autoregression
  • Vector autoregression (VAR), 75, 243
  • Velvet Revolution, 156
  • Viñals, J., 72

W

  • Watson, M., 261
  • Websites, 8
  • Weiland, J., 23
  • Welfare gains
    • financial conditions and, 94–96
    • under Taylor rule, 97t
  • Werning, I., 91, 98
  • Wholesale price index, 187
  • Wieland, J., 23
  • Williams, J., 123
  • Wilson, B. A., 70n3
  • Woodford, M., 6n6, 84, 85, 99, 220n9
    • on expectations, 130n8, 255
  • World War II, 17, 70

Y

  • Yellen, J., 77–78, 132

Z

  • Zakrajsek, E., 97
  • Zambia, 242

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