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Implementing Yield Curve Control Measures into the CNB Core Forecasting Model

Author

Listed:
  • Frantisek Brazdik
  • Karel Musil
  • Stanislav Tvrz

Abstract

In response to the 2008 financial crisis, when policy rates hit their lower bound, central banks adopted unconventional policies to meet their announced targets. These policies can either directly target interest rates or the quantities of assets. Taking into account the specific features of the Czech economy, this paper presents an extension of the CNB's core projection model for long-term assets and yield curve control measures. This extension demonstrates the ability of the CNB to consider and assess various unconventional policies within its analytical framework.

Suggested Citation

  • Frantisek Brazdik & Karel Musil & Stanislav Tvrz, 2023. "Implementing Yield Curve Control Measures into the CNB Core Forecasting Model," Working Papers 2023/8, Czech National Bank.
    • Handle: RePEc:cnb:wpaper:2023/8
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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2023_08.pdf
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    More about this item

    Keywords

    DSGE models; inflation targeting; quantitative easing; unconventional monetary policy; yield curve;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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