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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …
Persistent link: https://www.econbiz.de/10013060040
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Financial Factors in Economic Fluctuations
Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2021
intermediation turns an otherwise diversifiable source of idiosyncratic economic uncertainty, the ‘risk shock’, into a systemic force …
Persistent link: https://www.econbiz.de/10013316211
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Optimal Monetary Policy with Uncertainty About Financial Frictions
Moessner, Richhild - 2021
This paper studies optimal discretionary monetary policy in the presence of uncertainty about the degree of financial frictions. Changes in the degree of financial frictions are modelled as changes in parameters of a hybrid New-Keynesian model calibrated for the UK, following Bean, Larsen and...
Persistent link: https://www.econbiz.de/10013317582
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Estimating Fed's Unconventional Policy Shocks
Jarocinski, Marek - 2021
Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks...
Persistent link: https://www.econbiz.de/10013210658
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Estimating Fed's Unconventional Policy Shocks
Jarocinski, Marek - 2021
Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks...
Persistent link: https://www.econbiz.de/10013311606
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Global Impacts of Us Monetary Policy Uncertainty Shocks
Lastauskas, Povilas; Minh, Anh - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
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Optimal monetary policy with uncertainty about financial frictions
Moessner, Richhild - 2006
This paper studies optimal discretionary monetary policy in the presence of uncertainty about the degree of financial frictions. Changes in the degree of financial frictions are modelled as changes in parameters of a hybrid New-Keynesian model calibrated for the UK, following Bean, Larsen and...
Persistent link: https://www.econbiz.de/10011604685
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Asset Purchase Programmes and Financial Markets : Lessons from the Euro Area
Altavilla, Carlo - 2016
We evaluate the effects on asset prices of the ECB asset purchase program (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...
Persistent link: https://www.econbiz.de/10013001152
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The Macroeconomic Impact of the ECB's Expanded Asset Purchase Programme (APP)
Gambetti, Luca - 2017
) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination …
Persistent link: https://www.econbiz.de/10012954345
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Euro Area Market Reactions to the Monetary Developments Press Release
Coffinet, Jerome; Gouteron, Sylvain - 2021
Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest...
Persistent link: https://www.econbiz.de/10013316901