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International transmission of Chinese monetary policy shocks to Asian countries

Cho, Yujeong; Kim, So-yŏng - 2021

This study investigates the transmission mechanism of Chinese monetary policy shocks to other East Asian countries using a VAR model and focusing on their effects on the trade channel. The main empirical results are as follows. First, in response to Chinese expansionary monetary policy shocks,...

Persistent link: https://www.econbiz.de/10013194735

International Transmission of the US Interest Rate Policy Shocks : Multi-Country Model Analysis Using FAVAR

Yim, Geung Hyung - 2018

This study analyzes the international transmission of US interest rate hikes using the factor-augmented autoregression model. To achieve this purpose, this study first identifies the shocks that result from the US interest rate policies and analyzes how these shocks impact the outputs and prices...

Persistent link: https://www.econbiz.de/10012907265

Inflation expectations spillovers between the United States and euro area

Netšunajev, Aleksei; Winkelmann, Lars - 2014

We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector autoregressive (SVAR) model. The SVAR approach allows to...

Persistent link: https://www.econbiz.de/10010255370

The importance of global shocks for national policymakers : rising challenges for central banks

Belke, Ansgar; Rees, Andreas - 2009

We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...

Persistent link: https://www.econbiz.de/10010207060

Information effects of US monetary policy announcements on emerging economies : evidence from Mexico

Alba, Carlos; Carrillo, Julio A.; Ibarra-Ramírez, Raúl - 2024

and the stock market in the US around FOMC announcements. A restrictive monetary policy shock in the US is identified by … an increase in the interest rate and a drop in stock prices, while a positive information shock is identified when both …

Persistent link: https://www.econbiz.de/10015069701

US monetary policy spillovers to European banks

Jung, Alexander - 2023

The Federal Reserve's (Fed) monetary policy announcements have created massive spillovers to global financial markets. Based on daily data for the sample from 1999 to 2019, this study finds that the Fed's monetary policy announcements created significant international spillovers to bond yields...

Persistent link: https://www.econbiz.de/10014483005

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing...

Persistent link: https://www.econbiz.de/10015197299

How do credit supply shocks propagate internationally? : A GVAR approach

Eickmeier, Sandra; Ng, Tim - 2011

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...

Persistent link: https://www.econbiz.de/10009389753

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

Arratibel, Olga; Michaelis, Henrike - 2013

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10010439334

When domestic and foreign QE overlap: evidence from Sweden

Di Casola, Paola; Stockhammar, Pär - 2021

We estimate the effects of domestic and foreign quantitative easing (QE) programmes on a small open economy, Sweden, using a structural BVAR model. Domestic QE raised GDP, lowered unemployment and depreciated the currency, while effects on in ation are less clear. The ECB QE had large positive...

Persistent link: https://www.econbiz.de/10012520274