Cover -- Half-title -- Title -- Copyright -- Contents -- Figures -- Tables -- Contributors -- Acknowledgements -- URL disclaimer -- 1 Introduction: the transmission mechanism and monetary policy -- 1.1 How does the central bank analyse the transmission mechanism? -- 1.2 How can we derive the policy implications? -- 1.3 What makes a good model for analysing the transmission mechanism? -- 1.4 How can these difficulties in modelling the transmission mechanism affect monetary policy in practice? -- 1.5 What are the implications of practical difficulties for monetary policy modelling? -- 1.6 Putting this approach into practice -- 1.6.1 The monetary sector -- 1.6.2 Exchange rates -- 1.7 Conclusion -- Appendix -- Information -- Notes -- 2 Are the effects of monetary policy in the euro area greater in recessions than in booms? -- 2.1 Introduction -- 2.2 Is there a common cycle in the euro area? -- 2.3 The asymmetric effects of area-wide monetary policy shocks -- 2.3.1 A monetary policy VAR for the euro area -- 2.3.2 Monetary policy shocks in the multivariate MSM model -- 2.4 Are the monetary policy effects different across countries? -- 2.5 Does monetary policy change the likelihood of a recession? -- 2.6 Conclusions -- Acknowledgements -- Notes -- 3 Supply shocks and the 'natural rate of interest': an exploration -- 3.1 Introduction -- 3.2 The real rate of interest: some observations -- 3.3 An open economy model -- 3.3.1 The representative agent -- 3.3.2 The representative firm -- 3.3.3 The linearised model -- 3.3.4 The model with variable capacity utilisation -- 3.3.5 The linearised equations -- 3.4 The steady state of the model -- 3.5 Results -- 3.5.1 Wicksellian flavours -- 3.6 Concluding remarks -- Acknowledgements -- Notes -- 4 Some econometric issues in measuring the monetary transmission mechanism, with an application to developing countries.

4.1 Introduction -- 4.2 The structure of the transmission mechanism -- 4.2.1 Statistical structure -- 4.2.2 Economic structure -- 4.3 Average estimates -- 4.4 Dispersion -- 4.5 Explanations -- 4.6 Conclusions -- Appendix 1: the Swamy random coefficient model estimator -- Appendix 2: data -- Appendix 3: tables of results -- Acknowledgements -- Note -- 5 Central bank goals, institutional change and monetary policy: evidence from the United States and the United Kingdom -- 5.1 Introduction -- 5.2 Invariance tests -- 5.3 The monetary transmission mechanism: Bayesian VAR estimates -- 5.3.1 Standard VAR analysis -- 5.3.2 Bayesian VAR analysis -- 5.4 Conclusions -- Appendix 1: invariance/superexogeneity tests -- Appendix 2: data -- Acknowledgements -- Notes -- 6 The transmission mechanism of monetary policy near zero interest rates: the Japanese experience, 1998-2000 -- 6.1 The nature of the 1997-98 recession -- 6.2 The monetary policy response to the credit crunch -- 6.3 The adoption of the zero interest rate policy -- 6.4 The transmission channels of the ZIRP -- 6.5 The end of the ZIRP -- 6.5.1 Arguments against the rate hike -- 6.5.2 Arguments for the rate hike -- 6.6 Some final comments -- 6.7 Acknowledgements -- Notes -- 7 What does the UK's monetary policy and inflation experience tell us about the transmission mechanism? -- 7.1 Introduction -- 7.2 Aggregate supply: the Phillips curve and potential output -- 7.2.1 Why did the Great Inflation of the 1970s happen? -- 7.2.2 Is the Phillips curve consistent with inflation being a monetary phenomenon? -- 7.2.3 Measurement of potential output -- 7.3 The IS relationship in the United Kingdom: an empirical puzzle -- 7.4 Conclusions -- Acknowledgements -- Notes -- 8 Modelling the transmission mechanism of monetary policy.

9 Empirical evidence for credit effects in the transmission mechanism of the United Kingdom -- 9.1 Introduction -- 9.2 A framework for modelling credit markets -- 9.2.1 Private non-financial corporations (PNFCs) -- 9.2.2 Banks -- 9.2.3 Households -- 9.2.4 Financial market clearing -- 9.2.5 Real expenditure -- 9.2.6 Other financial corporations -- 9.3 Econometric methodology -- 9.3.1 A dynamic model for the PNFC and household sectors -- 9.3.2 Introducing the OFC sector -- 9.4 Empirical results -- 9.4.1 Private non-financial corporations -- 9.4.2 Households -- 9.4.3 Credit from other financial corporations (OFCs) -- 9.5 Conclusions -- Acknowledgements -- Notes -- 10 Uncovered interest parity with fundamentals: a Brazilian exchange rate forecast model -- 10.1 Introduction -- 10.2 The Central Bank of Brazil exchange rate forecast models -- 10.3 UIP with fundamentals: the five-equation model -- 10.4 The system solution -- 10.5 Simulations -- 10.6 Conclusions and final remarks -- Appendix -- Acknowledgements -- Notes -- 11 Uncovered interest parity and the monetary transmission mechanism -- 11.1 Introduction -- 11.2 Conceptual issues regarding UIP -- 11.3 Empirical tests of the 'unbiasedness' hypothesis -- 11.3.1 Fama's puzzles -- 11.3.2 Recent evidence on UIP -- 11.4 Explaining the failure of UIP -- 11.4.1 McCallum's model -- 11.4.2 An extended model -- 11.4.3 Implications for monetary transmission -- 11.5 Future exchange rates, UIP and monetary transmission -- 11.6 UIP and the liquidity trap -- 11.7 Concluding remarks -- Notes -- Bibliography -- Index.