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The effectiveness of non-standard monetary policy measures: evidence from survey data

Altavilla, Carlo; Giannone, Domenico - 2016

We assess professional forecasters’ perceptions of the effects of the unconventional monetary policy measures announced by the US Federal Reserve after the collapse of Lehman Brothers. Using survey data, collected at individual level, we analyze the change in the forecasts for Treasury and...

Persistent link: https://www.econbiz.de/10011605996

Examining US monetary spillover to Indonesian local currency government bonds in volatile periods

Nugraha, Muhammad Fajar - 2023

yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate … anticipating the monetary normalization policy amidst COVID-19 uncertainty. Changes in US monetary policy in the form of tapering …

Persistent link: https://www.econbiz.de/10014540420

Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period

Demirbas, Erkan; Can, Nurettin - In: Journal of Central Banking Theory and Practice 11 (2022) 3, pp. 155-178

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four different variables are separately used that represent the...

Persistent link: https://www.econbiz.de/10014558527

The effectiveness of nonstandard monetary policy measures: Evidence from survey data

Altavilla, Carlo; Giannone, Domenico - 2015

We assess the perception of professional forecasters regarding the effectiveness of unconventional monetary policy measures announced by the U.S. Federal Reserve after the collapse of Lehman Brothers. Using survey data collected at the individual level, we analyze the change in forecasts of...

Persistent link: https://www.econbiz.de/10011460644

Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield

Tule, Kpughur Moses; Odonye, Osana Jackson; Afangideh, … - In: Financial Innovation 5 (2019) 1, pp. 1-16

This study examines the spillover effects of U.S. monetary policy normalization on Nigeria 10-Year Treasury bond yield between 2011 and 2017, using the vector error correction model approach. Our results reveal that domestic factors, such as exchange rate and inflation, rather than the U.S....

Persistent link: https://www.econbiz.de/10012602826

Quantitative easing and tapering uncertainty: Evidence from Twitter

Meinusch, Annette; Tillmann, Peter - 2015

Easing ("tapering") impact asset prices. To quantify beliefs of market participants, we use data from Twitter, the social … media application. Our data set covers the entire Twitter volume on Federal Reserve tapering in 2013. Based on the time … series of beliefs about an early or late tapering, we estimate a VAR model with appropriate sign restrictions on the impulse …

Persistent link: https://www.econbiz.de/10010507623

Early exit from ECB bond purchase program could reduce GDP growth and inflation

Clemens, Marius; Gebauer, Stefan; Rieth, Malte - In: DIW Economic Bulletin 7 (2017) 49, pp. 533-540

The European Central Bank is planning a gradual reduction of government bond purchases under the asset purchase program it initiated in 2015. The present study by the German Institute for Economic Research analyzes the potential macroeconomic implications of different exit strategies. The...

Persistent link: https://www.econbiz.de/10011777035

Frühzeitiger Ausstieg der EZB aus dem Anleihekaufprogramm dürfte Wachstum und Inflation bremsen

Clemens, Marius; Gebauer, Stefan; Rieth, Malte - In: DIW Wochenbericht 84 (2017) 49, pp. 1136-1143

Die Europäische Zentralbank will ihr 2015 gestartetes Ankaufprogramm von Staatsanleihen schrittweise zurückfahren. Welche gesamtwirtschaftlichen Auswirkungen die unterschiedlichen Ausstiegsmöglichkeiten haben könnten, zeigt eine Studie des DIW Berlin. Untersucht wird, wie sich eine Reduktion...

Persistent link: https://www.econbiz.de/10011778147

The conditional autoregressive wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2010

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

Persistent link: https://www.econbiz.de/10010300501

A generalization of Tyler's M-estimators to the case of incomplete data

Frahm, Gabriel; Jaekel, Uwe - 2009

Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established until today. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's Mestimators for...

Persistent link: https://www.econbiz.de/10010304422