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The risk-taking channel of monetary policy transmission in the euro area

Neuenkirch, Matthias; Nöckel, Matthias - 2018

In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through the relaxation of lending standards for borrowers. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth,...

Persistent link: https://www.econbiz.de/10011822614

Central banks' predictability : an assessment by financial market participants

Hayo, Bernd; Neuenkirch, Matthias - 2016 - This version: 6 April 2016

transparency-enhancing measures will improve central bank predictability. …

Persistent link: https://www.econbiz.de/10011447633

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Neuenkirch, Matthias - 2020

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/10012383710

State-dependent transmission of monetary policy in the euro area

Burgard, Jan Pablo; Neuenkirch, Matthias; Nöckel, Matthias - 2018 - First Draft: December 21, 2016

In this paper, we estimate a logit mixture vector autoregressive (Logit-MVAR) model describing monetary policy transmission in the euro area over the period 1999-2015. MVARs allow us to differentiate between different states of the economy. In our model, the time-varying state weights are...

Persistent link: https://www.econbiz.de/10011859492

Shadow banks and the risk-taking channel of monetary policy transmission in the Euro Area

Wischnewsky, Arina; Neuenkirch, Matthias - 2018 - First Draft: June 11, 2018

In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...

Persistent link: https://www.econbiz.de/10011864635

Does FOMC communication help predicting federal funds target rate changes?

Hayo, Bernd; Neuenkirch, Matthias - 2009

We explain changes in the federal funds target rate using macroeconomic variables and Federal Open Market Committee (FOMC) communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 and 2006. We find, first, that...

Persistent link: https://www.econbiz.de/10003852257

Bank of Canada communication and the predictability of Canadian monetary policy

Hayo, Bernd; Neuenkirch, Matthias - 2009

We explain changes in the Canadian target rate using macroeconomic variables and Bank of Canada (BOC) communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 60 target rate decisions between 1998 and 2006. We find that BOC communication is...

Persistent link: https://www.econbiz.de/10003889007

Managing financial market expectations : the role of central bank transparency and central bank communication

Neuenkirch, Matthias - 2010

In this paper, we study the influence of central bank transparency and informal central bank communication on the money … January 1999 to July 2007. We find, first, that both transparency and communication facilitate understanding upcoming interest … rate decisions. Second, transparency, as measured by various subcategories of the Eijffinger and Geraats (2006) index …

Persistent link: https://www.econbiz.de/10008695544

Communication matters : US monetary policy and commodity price volatility

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2011 - This version: March 4, 2011

Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998-2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target...

Persistent link: https://www.econbiz.de/10008859667

Do Federal Reserve Bank presidents pursue regional or national interests? : new evidence based on speeches

Hayo, Bernd; Neuenkirch, Matthias - 2011 - This version: 11 February 2011

In this paper, we analyze the determinants of speeches by Federal Reserve (Fed) officials over the period January 1998 to September 2009. Econometrically, we use a probit model with regional and national macroeconomic variables to explain the subjectively coded content of these speeches. Our...

Persistent link: https://www.econbiz.de/10008840992