This paper investigates in a consistent semi-structural empirical framework three current issues of monetary policy in the euro area. First, regarding policy transmission we offer a three-stage procedure to combine the efficient estimation of economic structure prior to EMU with current ECB...

We develop a dynamic stochastic full equilibrium New Keynesian model of two open economies based on stochastic differential equations to analyse the interdependence between monetary policy and financial markets in the context of the recent financial crisis. The effect of bubbles on stock and...

To analyse the interdependence between monetary policy and financial markets in the context of the recent financial crisis, we use stochastic differential equations to develop a dynamic, stochastic general equilibrium New Keynesian model of two open economies. Our focus is on how stock and...

This paper is on monetary policy transmission. First, it asks the question whether industries are affected differently by monetary policy shocks. Here both output and price effects are compared. Second, some industry characteristics are explored which may help to understand the existence of...

This paper uses a semi-structural dynamic modelling approach to investigate asymmetric monetary transmission in Europe. A system of equations containing reaction functions for monetary policy, output and inflation equations is simultaneously estimated for France, Germany, and Italy. Extensive...

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...

This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....

The empirical results add to the literature on monetary policy in Laos with five important findings, which are: i) based on log- levels estimation, we find that money Granger- causes output, which lends support to the proposition that the BoL is likely to be successful in stabilizing the...