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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
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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
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Monetary policy, asset prices and consumption in China
Koivu, Tuuli - 2010
This paper studies the wealth channel in China. Using the structural vector autoregression method, we find that a loosening of China's monetary policy indeed leads to higher asset prices, which in turn are linked to household consumption. However, the importance of the wealth channel as a part...
Persistent link: https://www.econbiz.de/10008657121
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Risk sharing and monetary policy transmission
Hauptmeier, Sebastian; Holm-Hadulla, Fédéric; … - 2022
Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in output. With strong risk sharing, the response is...
Persistent link: https://www.econbiz.de/10013448692
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Financial factors in economic fluctuations
Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2010
intermediation turns an otherwise diversifiable source of idiosyncratic economic uncertainty, the 'risk shock', into a systemic force …
Persistent link: https://www.econbiz.de/10003973320
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Not all shocks are created equal : assessing heterogeneity in the bank lending channel
Blattner, Laura; Farinha, Luísa A.; Nogueira, Gil - 2021
easing (QE). We study how lending responds to each shock using detailed bank, firm, and household data from Portugal, a …
Persistent link: https://www.econbiz.de/10012648880
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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
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Who's afraid of euro area monetary tightening? : CESEE shouldn't
Geis, André; Moder, Isabella; Schuler, Tobias - 2020
left largely unanswered so far. Our paper aims to close this gap for the CESEE region by employing shock … demand shock-induced monetary tightening, which is more realistic than the usual approach taken in the literature, CESEE …
Persistent link: https://www.econbiz.de/10012224113
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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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Monetary policy, investment and firm heterogeneity
Durante, Elena; Ferrando, Annalisa; Vermeulen, Philip - 2020
to a monetary policy shock is heterogeneous along dimensions that correspond to the two main channels of monetary policy …
Persistent link: https://www.econbiz.de/10012197861