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«Christina Gerberding (Deutsche Bundesbank) Franz Seitz (University of Applied Sciences Amberg-Weiden) Discussion Paper Series 1: Economic Studies No ...»

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Clarida, R., J. Galí and M. Gertler (2000), Monetary policy rules and macroeconomic stability, Evidence and some theory, Quarterly Journal of Economics 115, 147Coenen, G., A. Levin and V. Wieland (2005), Data uncertainty and the role of money as an information variable for monetary policy, European Economic Review 49, 975-1006.

Croushore, D. and T. Stark (2001), A real-time data set for macroeconomists, Journal of Econometrics 105, 111-130.

European Central Bank (2005), Price-setting behaviour in the euro area, Monthly Bulletin, May.

Ehrmann, M. and F. Smets (2003), Uncertain potential output, implications for monetary policy, Journal of Economic Dynamics and Control, 27, 1611-1638.

Galí, J. and M. Gertler (1999), Inflation dynamics, A structural econometric analysis, Journal of Monetary Economics 44, 195-222.

Gerberding, C., F. Seitz and A. Worms (2004), How the Bundesbank really conducted monetary policy, An analysis based on real-time data, Deutsche Bundesbank Discussion Paper Series 1, No 25/2004.

Gerberding, C., M. Kaatz, F. Seitz und A. Worms (2005a), A real-time data set for German macroeconomic variables, Schmollers Jahrbuch, Journal of Applied Social Science Studies 125, 337-346.

Gerberding, C., F. Seitz and A. Worms (2005b), How the Bundesbank really conducted monetary policy, North American Journal of Economics and Finance 16, 277-292.

Gerberding, C., F. Seitz and A. Worms (2007), Money-based interest rules, Lessons from German data, Deutsche Bundesbank, Discussion Paper, Series 1, No.


Hansen, L. and T. Sargent (2003), Robust control of forward-looking models, Journal of Monetary Economics 50, 581-604.

King, R. and J. Thomas (2007), Breaking the New Keynesian dichotomy, Asset market segmentation and the monetary transmission mechanism, Conference paper for the Midwest Macro Meetings, February.

Leitemo, K. and I. Lonning (2006), Simple monetary policymaking without the output gap, Journal of Money, Credit and Banking 38, 1619-1640.

Lippi, F. and S. Neri (2007): Information variables for monetary policy in an estimated structural model for the euro area, Journal of Monetary Economics, 54 (4), 1256McCallum, B. (1985), On consequences and criticisms of monetary targeting, Journal of Money, Credit and Banking 17, 570-597.

McCallum, B. and E. Nelson (1999), Nominal income targeting in an open-economy optimizing model, Journal of Monetary Economics 43, 553-78.

Nelson, E. and K. Nikolov (2001), A real-time output gap series for the United Kingdom, 1965-2000, Construction, analysis and implications for inflation, CEPR Discussion Paper No. 2999.

Orphanides, A. (2001), Monetary policy rules based on real-time data, American Economic Review 91, 964-985.

Orphanides, A. (2003a), The quest for prosperity without inflation, Journal of Monetary Economics 50, 633-663.

Orphanides, A. (2003b), Historical monetary policy analysis and the Taylor rule, Journal of Monetary Economics 50, 983-1022.

Orphanides, A. (2003c): Monetary policy evaluation with noisy information, Journal of Monetary Economics 50, 605-631.

Orphanides, A., R. Porter, D. Reifschneider, R. Tetlow and F. Finan (2000), Errors in the measurement of the output gap and the design of monetary policy, Journal of Economics and Business 52, 117-41.

Orphanides, A. and J. Williams (2002), Robust monetary policy rules with unknown natural rates, Brookings Papers on Economic Activity 2, 63-118.

Orphanides, A. and J. Williams (2005), The decline of activist stabilization policy, Natural rate misperceptions, learning and expectations, CEPR Discussion Paper No. 4865.

Rudebusch, G. (2001), Is the Fed too timid? Monetary policy in an uncertain world, Review of Economics and Statistics 83, 203-7.

Rudebusch, G. (2002), Assessing nominal income rules for monetary policy with model and data uncertainty, Economic Journal 112, 402-432.

Rudebusch, G. and L. Svensson (1999): Policy rules for inflation targeting, in Taylor (1999), p.203-246.

Rudebusch, G. and L. Svensson (2002), Eurosystem monetary targeting, Lessons from U. S. data, European Economic Review 46, 417-442.

Smets, F. (2002), Output gap uncertainty, does it matter for the Taylor rule?, Empirical Economics 27, 113-139.

Smets, F. and R. Wouters (2003), An estimated stochastic dynamic general equilibrium model of the euro area, Journal of the European Economic Association 1, 1123Söderström, U. (2005), Targeting inflation with a role for money, Economica 72, 577– 596.

Stracca, L. (2007), A speed limit monetary policy rule for the euro area, International Finance 10, 21-41.

Svensson, L. and M. Woodford (2002), Indicator variables for optimal policy under asymmetric information, Journal of Economic Dynamics and Control 28, 661-690.

Svensson, L. and M. Woodford (2003), Indicator variables for optimal policy, Journal of Monetary Economics 50, 691-720.

Swanson, E. (2004), On signal extraction and non-certainty-equivalence in optimal monetary policy rules, Macroeconomic Dynamics 8, 27-50.

Taylor, J. (1993), Discretion versus monetary policy rules in practice, in: Carnegie Rochester Conference Series on Public Policy 39, 195-214.

Taylor, J. (ed.) (1999), Monetary Policy Rules, Chicago.

Walsh, C. (2002), Speed limit policies: The output gap and optimal monetary policy, manuscript, July 2002.; a shorter version was published in the American Economic Review 93 (1), 265-278.

Walsh, C. (2004), Implications of a changing economic structure for the strategy of monetary policy, in: Monetary Policy and Uncertainty, Jackson Hole Symposium 2003, Federal Reserve Bank of Kansas City, 297-348.

Williams, J. (2003), Simple rules for monetary policy, Federal Reserve Bank of San Francisco Economic Review 2003.

Woodford, M. (2003), Interest and Prices, Foundations of a Theory of Monetary Policy, Princeton University Press.

Woodford, M. (2006), How important is money in the conduct of monetary policy?, Paper presented at the Fourth ECB Central Banking Conference on “The Role of Money, Money and Monetary Policy in the Twenty-First Century”, November 9Figure 1: Initial and ex post estimates of the output gap, Germany 1974-1998*


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1) The measurement errors are defined as the differences between the ex post figures (March 1999 vintages) and the initial figures.

* The calculation is based on Bundesbank estimates of potential output.

Table 1: Statistics on historical errors in the measurement of key macro variables

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Figure 4: Measurement error in the output gap when the ex post series is based on the September 2005 series of GDP data*


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*With the revised series calculated by detrending the September 2005 vintage of GDP data with an HPfilter.

Table 2: Alternative estimates for the degree of output gap uncertainty

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Figure 5: Optimised coefficients for different forms and degrees of output gap uncertainty – Taylor rule Figure 5: Optimised coefficients for different forms and degrees of output gap uncertainty – speed limit policy Figure 6: Comparing the central bank losses under different forms and degrees of output gap uncertainty Figure 7: Efficiency frontiers Figure 8: Comparing the central bank losses under different parameters

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8 2006 The coordination channel of foreign exchange Stefan Reitz intervention: a nonlinear microstructural analysis Mark P. Taylor

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14 2006 Inflation and relative price variability in the euro Dieter Nautz area: evidence from a panel threshold model Juliane Scharff

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22 2006 Real-time forecasting and political stock market Martin Bohl, Jörg Döpke anomalies: evidence for the U.S. Christian Pierdzioch

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34 2006 Macroeconomic fluctuations and bank lending: S. Eickmeier evidence for Germany and the euro area B. Hofmann, A. Worms

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44 2006 Precautionary saving and income uncertainty in Germany – new evidence from microdata Nikolaus Bartzsch 45 2006 The role of technology in M&As: a firm-level Rainer Frey comparison of cross-border and domestic deals Katrin Hussinger

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08 2007 An assessment of the trends in international price competitiveness among EMU countries Christoph Fischer 09 2007 Reconsidering the role of monetary indicators for euro area inflation from a Bayesian Michael Scharnagl perspective using group inclusion probabilities Christian Schumacher 10 2007 A note on the coefficient of determination in Jeong-Ryeol Kurz-Kim regression models with infinite-variance variables Mico Loretan

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14 2007 Does anticipation of government spending matter? Jörn Tenhofen Evidence from an expectation augmented VAR Guntram B. Wolff

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19 2007 The rationality and reliability of expectations reported by British households: micro evidence James Mitchell from the British household panel survey Martin Weale

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23 2007 International investment positions and Michael Binder exchange rate dynamics: a dynamic panel analysis Christian J. Offermanns

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29 2007 The timeless perspective vs. discretion: theory and monetary policy implications for an open economy Alfred V. Guender 30 2007 International cooperation on innovation: empirical Pedro Faria evidence for German and Portuguese firms Tobias Schmidt

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11 2006 Limits to international banking consolidation F. Fecht, H. P. Grüner 12 2006 Money market derivatives and the allocation Falko Fecht of liquidity risk in the banking sector Hendrik Hakenes

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08 2007 Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery Niko Dötz 09 2007 Banking consolidation and small business K. Marsch, C. Schmieder finance – empirical evidence for Germany K. Forster-van Aerssen 10 2007 The quality of banking and regional growth Hasan, Koetter, Wedow 11 2007 Welfare effects of financial integration Fecht, Grüner, Hartmann 12 2007 The marketability of bank assets and managerial Falko Fecht rents: implications for financial stability Wolf Wagner

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Visiting researcher at the Deutsche Bundesbank The Deutsche Bundesbank in Frankfurt is looking for a visiting researcher. Among others under certain conditions visiting researchers have access to a wide range of data in the Bundesbank. They include micro data on firms and banks not available in the public.

Visitors should prepare a research project during their stay at the Bundesbank. Candidates must hold a Ph D and be engaged in the field of either macroeconomics and monetary economics, financial markets or international economics. Proposed research projects should be from these fields. The visiting term will be from 3 to 6 months. Salary is commensurate with experience.

Applicants are requested to send a CV, copies of recent papers, letters of reference and a

proposal for a research project to:

Deutsche Bundesbank Personalabteilung Wilhelm-Epstein-Str. 14 60431 Frankfurt GERMANY

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