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On the effects of monetary policy shocks on exchange rates
Binder, Michael; Chen, Qianying; Zhang, Xuan - 2010
In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent empirical literature, these effects have been predominantly described as puzzling, in that they would include delayed overshooting of the exchange rate as well as persistent...
Persistent link: https://www.econbiz.de/10010274796
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Monetary policy transmission and house prices : European cross-country evidence
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009
This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the …
Persistent link: https://www.econbiz.de/10010271967
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Stock Market's Assessment of Monetary Policy Transmission : The Cash Flow Effect
Gürkaynak, Refet S. - 2019
We show that firm liability structure and associated cash flow matter for firm behavior, and that financial market participants price stocks accordingly. Looking at firm level stock price changes around monetary policy announcements, we find that firms that have more cash flow exposure see their...
Persistent link: https://www.econbiz.de/10012860569
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Monetary Policy, Sectoral Comovement and the Credit Channel
Di Pace, Federico; Görtz, Christoph - 2021
Using a structural vector autoregression, we document that a contractionary monetary policy shock triggers a decline in durable and non-durable outputs as well as a contraction in bank equity and a rise in the excess bond premium. The latter points to an important transmission channel of...
Persistent link: https://www.econbiz.de/10013222201
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Bank Concentration and Monetary Policy Pass-Through
Gödl-Hanisch, Isabel - 2023
This paper analyzes the implications of the gradual rise in bank concentration since the 1990s for the transmission of monetary policy. I use branch-level data on deposit and loan rates to evaluate the monetary policy pass-through conditional on the level of local bank concentration and bank...
Persistent link: https://www.econbiz.de/10014357801
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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012867012
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output...
Persistent link: https://www.econbiz.de/10013282457
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012838235
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The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy
Pasten, Ernesto - 2019
We study the transmission of monetary policy shocks in a model in which realistic heterogeneity in price rigidity … interacts with heterogeneity in sectoral size and input-output linkages, and derive conditions under which these heterogeneities … generate large real effects. Empirically, heterogeneity in the frequency of price adjustment is the most important driver …
Persistent link: https://www.econbiz.de/10012892210
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The Financial Accelerator in the Euro Area : New Evidence Using a Mixture VAR Model
Bennani, Hamza; Neuenkirch, Matthias - 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10013314851