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The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...

Persistent link: https://www.econbiz.de/10012623073

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

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021

Persistent link: https://www.econbiz.de/10012651842

(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...

Persistent link: https://www.econbiz.de/10014290129

(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

Persistent link: https://www.econbiz.de/10014327936

Superstar Central Bankers

Neuenkirch, Matthias; Tillmann, Peter - 2014

financial press. A superstar central banker is one receiving the top grade. In a probit estimation we first relate the grades to …

Persistent link: https://www.econbiz.de/10010396936

When is lift-off? Evaluating forward guidance from the shadow

Neuenkirch, Matthias; Siklos, Pierre L. - 2014

Monetary policy decisions are typically taken after a committee has deliberated and voted on a proposal. However, there are well-known risks associated with committee-based decisions. In this paper we examine the record of the shadow Monetary Policy Council in Canada. Given the structure of the...

Persistent link: https://www.econbiz.de/10010435136

Self-monitoring or reliance on newswire services: How do financial market participants process central bank news?

Hayo, Bernd; Neuenkirch, Matthias - 2014

, the BoE, and the BoJ. Second, we estimate ordered probit models to relate the two different types of central bank watching …

Persistent link: https://www.econbiz.de/10010435137

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

Bennani, Hamza; Neuenkirch, Matthias - 2014

Speeches are an important vehicle for central bankers to convey individual views on the preferred policy stance. In this paper, we employ an automated text linguistic approach to create an indicator that measures the tone of the 1,618 speeches delivered by members of the Governing Council (GC)...

Persistent link: https://www.econbiz.de/10010468250

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

Neuenkirch, Matthias - 2010

In this paper, we study the influence of central bank transparency and informal central bank communication on the money … January 1999 to July 2007. We find, first, that both transparency and communication facilitate understanding upcoming interest … optimal design for central banks as (i) a very high degree of transparency, (ii) frequent communication on an informal basis …

Persistent link: https://www.econbiz.de/10010281466

Is there wisdom in a second opinion? Shadowing the ECB and the Bank of England

Neuenkirch, Matthias; Siklos, Pierre L. - 2011

The European Central Bank (ECB) and the Bank of England (BoE) are shadowed by professionals and academic economists who provide a separate policy rate recommendation in advance of the central bank's announcement. We explore differences between shadow and actual committee decisions based on an...

Persistent link: https://www.econbiz.de/10010281473