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Central bank information effects and transatlantic spillovers

Jarociński, Marek - 2020

The news about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the transatlantic spillover of monetary policy. They...

Persistent link: https://www.econbiz.de/10012298995

Monetary policy and its transmission in a globalised world

Ca'Zorzi, Michele; Dedola, Luca; Georgiadis, Georgios; … - 2020

This paper estimates and compares the international transmission of European Central Bank (ECB) and Federal Reserve System monetary policy in a unified and methodologically consistent framework. It identifies pure monetary policy shocks by purging them of the bias stemming from contemporaneous...

Persistent link: https://www.econbiz.de/10012216473

The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector

Lo Duca, Marco; Moccero, Diego; Parlapiano, Fabio - 2024

risk. An adverse supply shock leads to a deterioration of firms' riskiness 10 per cent above the average PD. Contractionary …

Persistent link: https://www.econbiz.de/10014484468

Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR

Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011

dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

Persistent link: https://www.econbiz.de/10008901483

Monetary policy shocks in a two-sector open economy : an empirical study

Llaudes, Ricardo (contributor) - 2007

This paper studies the eÞects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR framework. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...

Persistent link: https://www.econbiz.de/10003516691

When did unsystematic monetary policy have an effect on inflation?

Mojon, Benoît (contributor) - 2005

An important stylized fact to emerge from the VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump shaped effect on in.ation. I argue that this empirical pattern is fragile. In particular it disappears when one...

Persistent link: https://www.econbiz.de/10003230317

If the Fed sneezes, who catches a cold?

Dedola, Luca; Rivolta, Giulia; Stracca, Livio - 2017

This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. In most countries, a surprise US monetary tightening leads to depreciation against the dollar; industrial production and real...

Persistent link: https://www.econbiz.de/10011645922

The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR

Arratibel, Olga; Michaelis, Henrike - 2014

Persistent link: https://www.econbiz.de/10010380090

Euro area equity risk premia and monetary policy : a longer-term perspective

Kapp, Daniel; Kristiansen, Kristian Loft - 2021

This study analyses the effects of euro area monetary policy on equity risk premia (ERP). We find that changes in equity prices during periods of accommodative monetary policy mainly reflected adjustments in the discount factor and economic activity - rather than fluctuations in investors'...

Persistent link: https://www.econbiz.de/10012499624

Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - 2017

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …

Persistent link: https://www.econbiz.de/10011664579

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