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The role of long-term inflation expectations for the transmission of monetary policy shocks

Diegel, Max; Nautz, Dieter - 2020 - This version: November 10, 2020

This paper empirically investigates the role of long-term inflation expectations for the monetary transmission mechanism. In contrast to earlier studies, we confirm that U.S. long-term inflation expectations respond significantly to a monetary policy shock. In line with a re-anchoring channel of...

Persistent link: https://www.econbiz.de/10012311576

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Shock around the clock - on the causal relations between international shock markets, the strength of causality and the intensity of shock transmission : an econometric analysis

Dornau, Robert - 1998

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...

Persistent link: https://www.econbiz.de/10013428145

Reconciling narrative monetary policy disturbances with structural VAR model shocks?

Kliem, Martin; Kriwoluzky, Alexander - 2013

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We … investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We … is measurement error in the narrative time series, another is a misspecification of the VAR model. …

Persistent link: https://www.econbiz.de/10009771126

The shocks matter : improving our estimates of exchange rate pass-through

Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2015

A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose a new focus: incorporating the underlying shocks that cause exchange rate fluctuations when evaluating how these fluctuations "pass through" into import and consumer prices. We...

Persistent link: https://www.econbiz.de/10011384119

Shocks versus structure : explaining differences in exchange rate pass-through across countries and time

Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2017

We show that exchange rate pass-through to consumer prices varies not only across countries, but also over time. Previous literature has highlighted the role of an economy's "structure" - such as its inflation volatility, inflation rate, use of foreign currency invoicing, and openness - in...

Persistent link: https://www.econbiz.de/10011671018

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011740263

Product turnover and endogenous price flexibility in uncertain times

Khalil, Makram; Lewis, Vivien - 2024

Price setting has become more flexible following a string of large adverse shocks (Covid-19, the Ukraine War). We argue that a shift to a high-uncertainty regime incentivizes firms to invest in their ability to adjust prices. We formalize this idea in a general equilibrium model with endogenous...

Persistent link: https://www.econbiz.de/10014558815

On household labour supply in sticky-wage HANK models

Gerke, Rafael; Giesen, Sebastian; Lozej, Matija; … - 2024 - November 24, 2023

Heterogeneous-agent New Keynesian models with sticky nominal wages usually assume that wage-setting unions demand the same amount of hours from all households. As a result, unions do not take account of the fact that (i) households are heterogeneous in their willingness to work, and that (ii)...

Persistent link: https://www.econbiz.de/10014467926

On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation when interest rates are not at the ZLB, but also when...

Persistent link: https://www.econbiz.de/10014320485