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Monetary policy rules in emerging countries : is there an augmented nonlinear Taylor rule?

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2016

This paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as...

Persistent link: https://www.econbiz.de/10011486466

Monetary policy, global liquidity and commodity price dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010

, money (defined as a global liquidity aggregate) is still a key factor to determine the long-run homogeneity of commodity … considerations. The inclusion of commodity prices helps to identify a significant monetary transmission process from global liquidity … clear empirical pattern it appears justified to argue that global liquidity merits attention in the same way as the …

Persistent link: https://www.econbiz.de/10003934679

Proxy VAR models in a data-rich environment

Bruns, Martin - 2019

Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor-Augmented VAR (BP-FAVAR) to combine a large...

Persistent link: https://www.econbiz.de/10012125244

The importance of global shocks for national policymakers : rising challenges for central banks

Belke, Ansgar; Rees, Andreas - 2009

area. According to our results, global liquidity shocks are a driving force of the global economy and various national … indicate that global liquidity shocks have recently become more important as a determinant for house prices. In general, global …

Persistent link: https://www.econbiz.de/10003879570

Does macroeconomic policy affect private savings in Europe? : Evidence from a dynamic panel data model

Schrooten, Mechtild (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002128045

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy...

Persistent link: https://www.econbiz.de/10012301353

Is there an information channel of monetary policy?

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024

Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and...

Persistent link: https://www.econbiz.de/10014560738

The impact of macroeconomic uncertainty on cash holdings for nonfinancial firms

Baum, Christopher F.; Caglayan, Mustafa; Ozkan, Neslihan; … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001972729

M3 money demand and excess liquidity in the euro area

Dreger, Christian (contributor); … - 2008

; excess liquidity ; money demand, monetary policy …

Persistent link: https://www.econbiz.de/10003726115

Liquidity and the dynamic pattern of asset price adjustment : a global view

Belke, Ansgar; Orth, Walter; Setzer, Ralph - 2009

Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates … consumer goods. -- Global liquidity ; inflation control ; monetary policy transmission ; asset prices …

Persistent link: https://www.econbiz.de/10003889489