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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

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

Global risk and the dollar

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023

, the contractionary impact of a global risk shock is much weaker, both in the rest of the world and the US. For the rest of …

Persistent link: https://www.econbiz.de/10014438127

Dollar trinity and the global financial cycle

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023

We develop a two-country business-cycle model of the US and the rest of the world with dollar dominance in trade invoicing, in cross-border credit, and in safe assets. The interplay between these elements - dollar trinity - rationalizes salient features of the Global Financial Cycle in the data:...

Persistent link: https://www.econbiz.de/10014438347

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

Monetary policy, external instruments and heteroskedasticity

Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018

We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...

Persistent link: https://www.econbiz.de/10011880710

Monetary policy, external instruments and heteroskedasticity

Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019

We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing both the relevance and exogeneity condition...

Persistent link: https://www.econbiz.de/10012041145

Better off without the euro? : structural VAR assessment of European monetary policy

Fritsche, Jan Philipp; Harms, Patrick Christian - 2020

Modern OCA theory has developed different conclusions on when forming a currency union is beneficial. An important pragmatic question in this context is: Did delegating monetary policy to the ECB increase stress in the individual euro area countries? An SVAR analysis reveals that monetary stress...

Persistent link: https://www.econbiz.de/10012301359

Monetary policy, external instruments and heteroskedasticity

Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - 2021 - This version: June 18, 2021

economic interpretation of the structural shock of interest. We test alternative instruments and find that narrative and model …

Persistent link: https://www.econbiz.de/10012545191

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...

Persistent link: https://www.econbiz.de/10012180848