https://www.nber.org/system/files/working_papers/w6254/w6254.pdf

Monetary Policy Rules in Practice: Some International Evidence

With the Treaty on European Union, or the Maastricht Treaty, into force in November 1993, the member-states of the European Community (EC) appeared to be embarking on a far-reaching enterprise to enhance the authority of Community institutions. Continuing a process that had begun with the Single European Act (SEA), into force in 1987, Maastricht increased the powers of the European Parliament. It established mechanisms whereby EC countries were to seek to improve policy coordination in such diverse areas as social affairs, high technology, border controls, immigration, and anti-crime efforts. It committed the EC members to work toward the establishment of a common foreign and security policy. Most importantly, it laid out a path and timetable for qualified EC members to achieve Economic and Monetary Union (EMU) by the end of the 1990s.

https://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0260210500117504

The Maastricht Treaty, Economic and Monetary Union and the neo-realist research programme

In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate determined by the Expectations Hypothesis. They are intended to fit the data while allowing for some forward-looking behavior. They are estimated from 1968 to 1998, using the full-information maximum-likelihood procedure, so that forward-looking expectations are fully model-consistent. In order to evaluate monetary policy, we compute optimal policy frontiers and we perform some simulations of the model. German optimal monetary policy is found to require a more persistent and slightly stronger response to inflation and output than the US optimal policy.

/pdf/evaluating-monetary-policy-rules-in-estimated-forward-3ylbi8wyrw.pdf

Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies

Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited

This paper presents evidence on the lag between monetary policy actions and the response of inflation in the euro area as a whole as well as in some of its core countries, notably Germany, Italy and France. In line with previous findings for the US and the UK, results here show that it takes over a year before monetary policy actions have their maximum effect on inflation both in the euro area and in individual countries and that a lag of this length has existed in Europe at least since the collapse of the Bretton Woods system, despite the numerous changes in European monetary policy regime thereafter. Results based on alternative definitions of inflation persistence support these findings and indicate, if any, that transmission lags could be in fact much longer for individual countries and the euro area as a whole, although, at the country level, there is strong evidence over time of a drop in German inflation persistence and a sizeable shift in the mean of inflation – particularly in Italy and France. An examination based on results from this paper reveals that euro area inflation persistence could well be an intrinsic phenomenon rather than a ‘statistical fluke’ due to aggregation.

/pdf/euro-area-inflation-persistence-57eio703xj.pdf

Euro area inflation persistence

Transmission of U.S. monetary policy to Europe and asymmetry in the European monetary system

Quelle règle monétaire pour la Banque Centrale Européenne

Artus Patrick, Ducos Philippe, Pollin Jean-Paul, Bellando Raphaelle. Formation des taux d'interet a long terme. In: Revue d'economie financiere, n°12-13, 1990. Articles divers. pp. 46-69.

Formation des taux d'intérêt à long terme

Apres avoir expose le modele theorique de choix de portefeuille en avenir incertain, nous essayons de comprendre les choix de portefeuille des menages en France de 1970 a 1986, en explicitant les divergences par rapport au modele theorique. Nous retenons une agregation en trois actifs: liquidites, obligations et actions, en supposant donnee l’epargne financiere des menages. Les principales questions auxquelles l’etude apporte des elements de reponse sont: (i) Quelle perception ont les menages de rendements des actions, en particulier des plus-ou moins-values potentielles? (ii) Quelles sont les motivations des menages dans leur detention de parts OPCVM (organismes de placement collectif en valeurs mobilieres: fonds communs de placement)? Ces parts d’OPCVM sont-elles un actif bien distinct des autres en terme de rendement et de risque? (iii) Quels sont les couts d’ajustement percus par les menages? Portent-ils sur la richesse accumulee et/ou l’epargne nouvelle? (iv) Quel est le poids des variables institutionnelles?

Les choix de portefeuille des ménages en France

Apres avoir expose le modele theorique de choix de portefeuille en avenir incertain, nous essayons de comprendre les choix de portefeuille des menages en France de 1970 a 1986, en explicitant les divergences par rapport au modele theorique. Nous retenons une agregation en trois actifs : liquidites, obligations et actions, en supposant donnee l'epargne financiere des menages. Les principales questions auxquelles l'etude apporte des elements de reponse sont: (i) Quelle perception ont les menages de rendements des actions, en particulier des plusou moins-values potentielles? (ii) Quelles sont les motivations des menages dans leur detention de parts OPCVM (organismes de placement collectif en valeurs mobilieres : fonds communs de placement) ? Ces parts d'OPCVM sont-elles un actif bien distinct des autres en terme de rendement et de risque? (iii) Quels sont les couts d'ajustement percus par les menages? Portent-ils sur la richesse accumulee et/ou l'epargne nouvelle? (iv) Quel est le poids des variables institutionnelles ?

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Transmission of U.S. monetary policy to Europe and asymmetry in the European monetary system

Quelle règle monétaire pour la Banque Centrale Européenne

Formation des taux d'intérêt à long terme

Les choix de portefeuille des ménages en France

Les choix de portefeuille des ménages en France