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Is there an information channel of monetary policy?
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024
shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …
Persistent link: https://www.econbiz.de/10014560738
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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 … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …
Persistent link: https://www.econbiz.de/10012301353
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Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...
Persistent link: https://www.econbiz.de/10010488275
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Estimation of structural impulse responses : short-run versus long-run identifying restrictions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2017
There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...
Persistent link: https://www.econbiz.de/10011595499
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Heteroskedastic proxy vector autoregressions
Lütkepohl, Helmut; Schlaak, Thore - 2020 - This version: June 10, 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...
Persistent link: https://www.econbiz.de/10012234556
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Heteroskedastic proxy vector autoregressions : testing for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin; Lütkepohl, Helmut - 2022 - This version: May 2, 2022
We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is...
Persistent link: https://www.econbiz.de/10013198929
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Avoiding unintentionally correlated shocks in proxy vector autoregressive analysis
Bruns, Martin; Lütkepohl, Helmut; McNeil, James - 2024 - This version: July 12, 2024
. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable …
Persistent link: https://www.econbiz.de/10014633772
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The importance of global shocks for national policymakers : rising challenges for central banks
Belke, Ansgar; Rees, Andreas - 2009
We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...
Persistent link: https://www.econbiz.de/10003879570
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Big banks and macroeconomic outcomes : theory and cross-country evidence of granularity
Bremus, Franziska; Buch, Claudia M.; Russ, Katheryn Niles; … - 2013
Does the mere presence of big banks affect macroeconomic outcomes? In this paper, we develop a theory of granularity (Gabaix, 2011) for the banking sector, introducing Bertrand competition and heterogeneous banks charging variable markups. Using this framework, we show conditions under which...
Persistent link: https://www.econbiz.de/10010225567
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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/10012549582