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Time-varying volatility, financial intermediation and monetary policy
Eickmeier, Sandra; Metiu, Norbert; Prieto, Esteban - 2016
We document that expansionary monetary policy shocks are less effective at stimulating output and investment in periods of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower effectiveness of monetary policy can be linked to weaker...
Persistent link: https://www.econbiz.de/10011564503
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Excess reserves and monetary policy tightening
Fricke, Daniel; Greppmair, Stefan; Paludkiewicz, Karol - 2024 - This draft: February 2, 2024
We show that the transmission of the European Central Bank’s (ECB) recent monetary policy tightening differs across banks depending on their level of excess reserves. Specifically, the net worth of reserve-rich banks may display a boost when the interest rate paid on reserves increases...
Persistent link: https://www.econbiz.de/10014481115
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Monetary and macroprudential policy in an estimated DSGE model of the euro area
Quint, Dominic; Rabanal, Pau - 2014
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a...
Persistent link: https://www.econbiz.de/10010258716
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Towards an explanation of cross-country asymmetries in monetary transmission
Georgiadis, Georgios - 2012
-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained … find that up to 70% (50%) of the cross-country asymmetries in the responses of output (prices) to a monetary policy shock … in the short run asymmetries in the output responses arise mainly due to cross-country differences in industry mix, in …
Persistent link: https://www.econbiz.de/10009509088
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Information effects of euro area monetary policy : new evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...
Persistent link: https://www.econbiz.de/10011972952
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Impact of macro shocks on sovereign default probabilities
Matsumura, Marco Shinobu - 2015
We use macro finance models to study the interaction between macro variables and the Brazilian sovereign yield curve using daily data. We calculate the model implied default probabilities and a measure of the impact of macro shocks on the probabilities. An extension of the Dai-Singleton...
Persistent link: https://www.econbiz.de/10012039415
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The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model
Kerssenfischer, Mark - 2017
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10011636064
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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
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Monetary policy transmission to Russia & Eastern Europe
Stann, Carsten M.; Grigoriadis, Theocharis - 2019
In this paper, we argue that the ECB’s unconventional monetary policy announcements have generated significant spillover effects in Russia and Eastern Europe. The hypothesis is tested using OLS estimations of event-based regressions on monetary policy event dummies and seven financial...
Persistent link: https://www.econbiz.de/10012006697
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Disagreement and monetary policy
Falck, Elisabeth; Hoffmann, Mathias; Hürtgen, Patrick - 2017
Time-variation in disagreement about inflation expectations is a stylized fact in surveys, but little is known on how disagreement interacts with the efficacy of monetary policy. This paper fills this gap in providing theoretical predictions of monetary policy shocks for different levels of...
Persistent link: https://www.econbiz.de/10011740252