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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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With a little help from my friends : survey-based derivation of euro area short rate expectations at the effective lower bound
Geiger, Felix; Schupp, Fabian - 2018
The estimation of dynamic term structure models (DTSMs) turns out to be challenging in the presence of a small sample. It is exacerbated if the sample is characterized by a prolonged period of low interest rates near a time-varying effective lower bound. These challenges all weigh heavily when...
Persistent link: https://www.econbiz.de/10011888340
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The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model
Kerssenfischer, Mark - 2017
stands in stark contrast to traditional VAR models, which yield decisively different results in the two identification …
Persistent link: https://www.econbiz.de/10011636064
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Reversal interest rate and macroprudential policy
Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2021
Could a monetary policy loosening in a low interest rate environment have unintended recessionary effects? Using a non-linear macroeconomic model fitted to the euro area economy, we show that the effectiveness of monetary policy can decline in negative territory until it reaches a turning point,...
Persistent link: https://www.econbiz.de/10012596371
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International Welfare Effects of Monetary Policy
Tervala, Juha - 2011
In this paper, I examine the international welfare effects of monetary policy. I develop a New Keynesian two-country model, where central banks in both countries follow the Taylor rule. I show that a decrease in the domestic interest rate, under producer currency pricing, is a beggar-thyself...
Persistent link: https://www.econbiz.de/10012503020
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Beggar-thyself or beggar-thy-neighbour? : the welfare effects of monetary policy
Tervala, Juha; Engler, Philipp - 2010
This paper examines whether monetary expansion is a beggar-thyself or beggar-thy-neighbour policy. Obstfeld and Rogoff (1995) show that monetary expansion under producer currency pricing increases domestic and foreign overall welfare, in cases where the crosscountry substitutability is high. If...
Persistent link: https://www.econbiz.de/10003962839
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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
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Monetary policy, firm exit and productivity
Hartwig, Benny; Lieberknecht, Philipp - 2020
We analyze the influence of monetary policy on firms’ extensive margin and productivity. Our empirical evidence for the U.S. based on a macro-financial SVAR suggests that expansionary monetary policy shocks stimulate corporate profits, reduce firm exit and increase firm entry. In the medium...
Persistent link: https://www.econbiz.de/10012322407
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Interest rate pegs and the reversal puzzle : on the role of anticipation
Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2020
We revisit the reversal puzzle: A counterintuitive contraction of inflation in response to an interest rate peg. We show that it is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do...
Persistent link: https://www.econbiz.de/10012272030
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452