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Monetary Policy Surprises, Credit Costs and Economic Activity

Gertler, Mark - 2014

We provide evidence on the nature of the monetary transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy shocks. We...

Persistent link: https://www.econbiz.de/10013052498

Analysis of the Monetary Transmission Mechanism : Methodological Issues

McCallum, Bennett T. - 2021

This paper argues that, in studying the monetary policy transmission process, more emphasis should be given to the systematic portion of policy behavior and correspondingly less to random shocks basically because shocks account for a very small fraction of policy-instrument variability. Analysis...

Persistent link: https://www.econbiz.de/10013212576

The Effects of Monetary Policy Shocks : Some Evidence from the Flow of Funds

Christiano, Lawrence J.; Eichenbaum, Martin; Evans, … - 2022

This paper uses the Flow of Funds accounts to assess the impact of a monetary policy shock on the borrowing and lending activities of different sectors of the economy. Our measures of contractionary monetary policy shocks have the following properties: (i) they are associated with a fall in...

Persistent link: https://www.econbiz.de/10013322315

U.S. Monetary Policy and International Risk Spillovers

Kalemli-Özcan, Ṣebnem - 2019

I show that monetary policy divergence vis-a-vis the U.S. has larger spillover effects in emerging markets than advanced economies. The monetary policy of the U.S. affects domestic credit costs in other countries through its effect on global investors' risk perceptions. Capital flows in and out...

Persistent link: https://www.econbiz.de/10012862411

Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?

Acharya, Viral V. - 2019

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan...

Persistent link: https://www.econbiz.de/10012858814

Are the Effects of Monetary Policy Shocks Big or Small?

Coibion, Olivier - 2011

This paper studies the small estimated effects of monetary policy shocks from standard VAR's versus the large effects from the Romer and Romer (2004) approach. The differences are driven by three factors: the different contractionary impetus, the period of reserves targeting and lag length...

Persistent link: https://www.econbiz.de/10013125566

Has Monetary Policy Become More Effective?

Boivin, Jean - 2006

Recent research provides evidence of important changes in the U.S. economic environment over the last 40 years. This appears to be associated with an alteration of the monetary transmission mechanism. In this paper we investigate the implications for the evolution of monetary policy...

Persistent link: https://www.econbiz.de/10012783910

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2017

Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and an indirect (network) effect. We attribute 50%-85% of the...

Persistent link: https://www.econbiz.de/10012955942

The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy

Pastén, Ernesto - 2018

We study the transmission of monetary policy shocks in a model in which realistic heterogeneity in price rigidity … interacts with heterogeneity in sectoral size and input-output linkages, and derive conditions under which these heterogeneities … generate large real effects. Empirically, heterogeneity in the frequency of price adjustment is the most important driver …

Persistent link: https://www.econbiz.de/10012907145

The Transmission of Domestic Shocks in the Open Economy

Erceg, Christopher J. - 2010

This paper uses an open economy DSGE model to explore how trade openness affects the transmission of domestic shocks. For some calibrations, closed and open economies appear dramatically different, reminiscent of the implications of Mundell-Fleming style models. However, we argue such stark...

Persistent link: https://www.econbiz.de/10012759680

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