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Exchange rates and the information channel of monetary policy
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 2020
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …
Persistent link: https://www.econbiz.de/10012295246
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Identifying monetary policy and central bank information shocks using high-frequency exchange rates
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019
level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …
Persistent link: https://www.econbiz.de/10012304714
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Exchange rates and the information channel of monetary policy
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …
Persistent link: https://www.econbiz.de/10012301353
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Monetary policy in an imperfect information environment
Other, Lars - 2021
Persistent link: https://www.econbiz.de/10012519676
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The effects of the ECB's pandemic-related monetary policy measures
Nelimarkka, Jaakko; Laine, Olli-Matti - 2021
We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using structural vector autoregressions. In the...
Persistent link: https://www.econbiz.de/10012622376
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Central bank information effects and transatlantic spillovers
Jarociński, Marek - In: Journal of international economics 139 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014281818
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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The financial market effects of the ECB's asset purchase programs
Lewis, Vivien; Roth, Markus - 2017
The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...
Persistent link: https://www.econbiz.de/10011712553
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Monetary policy matters : evidence from new shocks data
Barakchian, S. Mahdi; Crowe, Christopher - In: Journal of monetary economics 60 (2013) 8, pp. 950-966
Persistent link: https://www.econbiz.de/10010253040
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Update to figure 1 in "Macroeconomic Shocks and their Propagation"
Chiarotti, Edoardo - 2021
a shock in the Federal Funds Rate, following the baseline and variations of the Vector Autoregression (VAR) models in …
Persistent link: https://www.econbiz.de/10012416282