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Monetary policy transmission in vector autoregressions: A new approach using central bank communication

Neuenkirch, Matthias - In: Journal of Banking & Finance 37 (2013) 11, pp. 4278-4285

In this paper, we study the role played by central bank communication in monetary policy transmission. We employ the Swiss Economic Institute’s Monetary Policy Communicator to measure the future stance of the European Central Bank’s monetary policy. Our results indicate, first, that...

Persistent link: https://www.econbiz.de/10010703245

Communication matters: US monetary policy and commodity price volatility

Hayo, Bernd; Kutan, Ali M.; Neuenkirch, Matthias - In: Economics Letters 117 (2012) 1, pp. 247-249

We analyze the influence of US monetary policy on commodity price volatility. Expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox measures increase it. The “calming” effect of communication is reduced during the financial crisis.

Persistent link: https://www.econbiz.de/10011041671

Do Federal Reserve presidents communicate with a regional bias?

Hayo, Bernd; Neuenkirch, Matthias - In: Journal of Macroeconomics 35 (2013) C, pp. 62-72

In this paper, we analyze the determinants of US monetary policy stance as expressed in speeches by Federal Reserve (Fed) officials over the period January 1998–September 2009. Econometrically, we use a probit model with regional and national macroeconomic variables to explain the content of...

Persistent link: https://www.econbiz.de/10010617295

Managing financial market expectations: The role of central bank transparency and central bank communication

Neuenkirch, Matthias - In: European Journal of Political Economy 28 (2012) 1, pp. 1-13

In this paper, we study the influence of central bank transparency and informal central bank communication on the …, first, that transparency reduces the bias in money market expectations and dampens their variation. Second, informal … the Eijffinger and Geraats (2006) transparency index lead to a smaller bias in expectations (in particular, evaluation of …

Persistent link: https://www.econbiz.de/10010574390

The (home) bias of European central bankers : new evidence based on speeches

Bennani, Hamza; Neuenkirch, Matthias - In: Applied economics 49 (2017) 11, pp. 1114-1131

Persistent link: https://www.econbiz.de/10011811173

The risk-taking channel of monetary policy transmission in the euro area

Neuenkirch, Matthias; Nöckel, Matthias - In: Journal of banking & finance 93 (2018), pp. 71-91

Persistent link: https://www.econbiz.de/10011964627

Shadow banks and the risk-taking channel of monetary policy transmission in the euro area

Wischnewsky, Arina; Neuenkirch, Matthias - In: German economic review : GER 22 (2021) 1, pp. 97-128

Persistent link: https://www.econbiz.de/10012507119

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - In: Macroeconomic dynamics 27 (2023) 7, pp. 1893-1931

Persistent link: https://www.econbiz.de/10014364406

Self-monitoring or reliance on media reporting : how do financial market participants process central bank news?

Hayo, Bernd; Neuenkirch, Matthias - In: Journal of banking & finance 59 (2015), pp. 27-37

Persistent link: https://www.econbiz.de/10011544283

Central bank communication in the financial crisis : evidence from a survey of financial market participants

Hayo, Bernd; Neuenkirch, Matthias - In: Journal of international money and finance 59 (2015), pp. 166-181

Persistent link: https://www.econbiz.de/10011478296