Measuring Monetary Policy

Extending the approach of Bernanke and Blinder (1992), Strongin (1992), and Christiano, Eichenbaum, and Evans (1994a, 1994b), we develop and apply a VAR-based methodology for measuring the stance of monetary policy. More specifically, we develop a 'semi-structural' VAR approach, which extracts information about monetary policy from data on bank reserves and the federal funds rate but leaves the relationships among the macroeconomic variables in the system unrestricted. The methodology nests earlier VAR-based measures and can be used to compare and evaluate these indicators. It can also be used to construct measures of the stance of policy that optimally incorporate estimates of the Fed's operating procedure for any given period. Among existing approaches, we find that innovations to the federal funds rate (Bernanke-Blinder) are a good measure of policy innovations during the periods 1965-79 and 1988-94; for the period 1979-94 as a whole, innovations to the component of nonborrowed reserves that is orthogonal to total reserves (Strongin) seems to be the best choice. We develop a new measure of policy stance that conforms well to qualitative indicators of policy such as the Boschen- Mills (1991) index. Innovations to our measure lead to reasonable and precisely estimated dynamic responses by variables such as real GDP and the GDP deflator.

What Does the Bundesbank Target?

Although its primary ultimate objective is price stability, the Bundesbank has drawn a distinction between its money-focus strategy and the inflation targeting approach recently adopted by a number of central banks. We show that, holding constant the current forecast of inflation, German monetary policy responds very little to changes in forecasted money growth; we conclude that the Bundesbank is much better described as an inflation targeter than as a money targeter. An additional contribution of the paper is to apply the structural VAR methods of Bernanke and Mihov (1995) to determine the optimal indicator of German monetary policy: We find that the Lombard rate has historically been a good policy indicator, although the use of the call rate as an indicator cannot be statistically rejected.

Exotic Bialgebra S03: Representations, Baxterisation and Applications

The exotic bialgebra S03, defined by a solution of the Yang-Baxter equation, which is not a deformation of the trivial, is considered. Its FRT dual algebra $s03_F$ is studied. The Baxterisation of the dual algebra is given in two different parametrisations. The finite-dimensional representations of $s03_F$ are considered. Diagonalisations of the braid matrices are used to yield remarkable insights concerning representations of the L-algebra and to formulate the fusion of finite-dimensional representations. Possible applications are considered, in particular, an exotic eight-vertex model and an integrable spin-chain model.Comment: 24 pages, Latex; V2: revised subsection 4.1, added 9 references, to appear in Annales Henri Poincare in the volume dedicated to D. Arnaudo

Intranight variability of 3C 454.3 during its 2010 November outburst

Context. 3C 454.3 is a very active flat spectrum radio quasar (blazar) that has undergone a recent outburst in all observed bands, including the optical. Aims. In this work we explore the short-term optical variability of 3C 454.3 during its outburst by searching for time delays between different optical bands. Finding one would be important for understanding the evolution of the spectrum of the relativistic electrons, which generate the synchrotron jet emission. Methods. We performed photometric monitoring of the object by repeating exposures in different optical bands (BVRI). Occasionally, different telescopes were used to monitor the object in the same band to verify the reliability of the smallest variations we observed. Results. Except on one occasion, where we found indications of a lag of the blue wavelengths behind the red ones, the results are inconclusive for most of the other cases. There were either no structures in the light curves to be able to search for patterns, or else different approaches led to different conclusions.Comment: 4 pages, 4 figures. Accepted for publication in A&

On a "New" Deformation of GL(2)

We refute a recent claim in the literature of a "new" quantum deformation of GL(2).Comment: 4 pages, LATE