Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model

Frank Smets and Jean-Guillaume Sahuc

Working papers from Banque de France

Abstract: Using two estimated models for the euro area and the United States, this paper investigates whether the observed difference in the amplitude of the interest rate cycle since 1999 in both areas is due to differences in the estimated monetary policy reaction function, differences in the structure of the economy or differences in the size and nature of the shocks hitting both economies. The paper concludes that differences in the type, size and persistence of shocks in both areas can largely explain the different interest rate setting.

Keywords: Policy activism; DSGE model; Interest rates; Macroeconomic shocks. (search for similar items in EconPapers)
JEL-codes: C51 E52 E58 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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https://publications.banque-france.fr/sites/defaul ... g-paper_182_2007.pdf (application/pdf)

Related works:
Journal Article: Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model (2008)
Journal Article: Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium‐Scale DSGE Model (2008)
Working Paper: Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model (2008)
Working Paper: Differences in interest rate policy at the ECB and the Fed: an investigation with a medium-scale DSGE model (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:182

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