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Same, but different? Testing monetary policy shock measures
Ettmeier, Stephanie; Kriwoluzky, Alexander - In: Economics Letters 184 (2019)
In this study, we determine the reliability and exogeneity of four popular monetary policy shock measures, namely the … Proxy-SVAR model and different empirical diagnostic tools to determine the shock measures’ information content. We find that …
Persistent link: https://www.econbiz.de/10012605164
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Same, but different: Testing monetary policy shock measures
Ettmeier, Stephanie; Kriwoluzky, Alexander - 2017
In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different test statistics used in the...
Persistent link: https://www.econbiz.de/10011630387
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Estimating the effect of Hungarian monetary policy within a structural VAR framework
Vonnák, Balázs - 2005
, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with …’ strategy applied recently by several authors. I also propose another approach, namely, imposing restrictions on implied shock ….1-0.15% lower consumer prices; (4) the impact on prices is slower than on output; it reaches its bottom 4-6 years after the shock …
Persistent link: https://www.econbiz.de/10010322447
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Regime-dependent effects of monetary policy shocks: Evidence from threshold vector autoregressions
Mandler, Martin - 2010
This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy...
Persistent link: https://www.econbiz.de/10010286403
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Global monetary policy shocks in the G5: A SVAR approach
Sousa, Joao Miguel; Zaghini, Andrea - 2006
structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching … permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in …
Persistent link: https://www.econbiz.de/10010298344
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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10010302760
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Financial structure and the impact of monetary policy on asset prices
Gerlach, Stefan; Assenmacher-Wesche, Katrin - 2008
We study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using single-country VARs and panel VARs in which we distinguish between groups of countries depending on their financial...
Persistent link: https://www.econbiz.de/10010303735
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Risk premium shocks, monetary policy and exchange rate pass-through in the Czech Republic, Hungary and Poland
Vonnák, Balázs - 2010
of risk premium shock renders it almost impossible for the interest rate policy to smooth the exchange rate with the aim …
Persistent link: https://www.econbiz.de/10010322471
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Housing, consumption and monetary policy: how different are the US and the euro area?
Musso, Alberto; Neri, Stefano; Stracca, Livio - 2010
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10011605207
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Asset price shocks, real expenditures, and financial structure: a multi-country analysis
Chirinko, Robert S.; de Haan, Leo; Sterken, Elmer - 2008
This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...
Persistent link: https://www.econbiz.de/10010274043