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Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first … stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy …
Persistent link: https://www.econbiz.de/10014422351
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to … incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take … expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility …
Persistent link: https://www.econbiz.de/10011441491
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What are the effects of monetary policy shocks? : evidence from dollarized countries
Willems, Tim - 2010
shock, or they exclude contemporaneous values of these variables from the monetary authority's information set. This paper … advantage that it makes the exercise less vulnerable to potential misidentification of the US monetary policy shock. The results …
Persistent link: https://www.econbiz.de/10011382001
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What are the effects of monetary policy shocks? : evidence from dollarized countries
Willems, Tim - 2010
Persistent link: https://www.econbiz.de/10008670039
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Identifying US monetary policy shocks through sign restrictions in dollarized countries
Gobbi, Alessandro; Willems, Tim - 2011
Persistent link: https://www.econbiz.de/10010191084
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Disentangling Covid-19, economic mobility, and containment policy shocks
Camehl, Annika; Rieth, Malte - 2021
We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...
Persistent link: https://www.econbiz.de/10012434050
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Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program
Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017
This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...
Persistent link: https://www.econbiz.de/10011715916
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Voting right rotation, behavior of committee members and financial market reactions : evidence from the U.S. Federal Open Market Committee
Ehrmann, Michael; Tietz, Robin; Visser, Bauke - 2021
Whether Federal Reserve Bank presidents have the right to vote on the U.S. monetary policy committee depends on a mechanical, yearly rotation scheme. Rotation is without exclusion: also nonvoting presidents attend and participate in the meetings of the committee. Does voting status change...
Persistent link: https://www.econbiz.de/10012545129