these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the …

the real economy, I find that the asset purchase shock has significant effects on consumer and professional expectations …

Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock. The identified US QE shock is … expansionary US QE shock has significant effects on financial variables in EMEs. It leads to an exchange rate appreciation, a …

In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the … scheme does not fall back on any of the standard (FA)VAR identifying assumptions, it confirms the classical finding that …

This paper has adopted a Bayesian FAVAR approach to examine the monetary transmission mechanism in North Macedonia. The …

policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …

's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …

investigate to what extent the horizon of guidance matters for its macroeconomic effects, and find that the more forward the shock …