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Using financial markets to estimate the macro effects of monetary policy : an impact-identified FAVAR
Pitschner, Stefan - 2013
In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …
Persistent link: https://www.econbiz.de/10009760371
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On the response of economic aggregates to monetary policy shocks
Jehan, Zainab; Rashid, Abdul - 2011
shock to monetary measures. The IRF graphs reveal a price puzzle in closed as well as in open economy model. However, an …
Persistent link: https://www.econbiz.de/10011524836
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Monetary policy and mispricing in stock markets
Beckers, Benjamin; Bernoth, Kerstin - 2016
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 …
Persistent link: https://www.econbiz.de/10011526074
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Macroeconomic responses to an independent monetary policy shock : a (more) agnostic identification procedure
Capasso, Marco; Moneta, Alessio - 2016
This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel … monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional …
Persistent link: https://www.econbiz.de/10011554080
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International dynamics of inflation expectations
Netšunajev, Aleksei; Winkelmann, Lars - 2016
To what extent are US and Euro Area (EA) inflation expectations determined by foreign shocks? How do transmissions change during the great recession and European sovereign debt crisis? We address these questions with a flexible structural VAR model of weekly financial markets’ inflation...
Persistent link: https://www.econbiz.de/10011458367
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Identifying conventional and unconventional monetary policy shocks : a latent threshold approach
Kimura, Takeshi; Nakajima, Jouchi - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 277-300
Persistent link: https://www.econbiz.de/10011508988
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Credit shocks and monetary policy in Brazil : a structural FAVAR approach
Fonseca, Marcelo Gonçalves da Silva; Pereira, Pedro L. … - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 169-200
Persistent link: https://www.econbiz.de/10011538554
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Macroeconomic factors and microlevel bank behavior
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - In: Journal of money, credit and banking : JMCB 46 (2014) 4, pp. 715-751
Persistent link: https://www.econbiz.de/10010466885
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10010395968
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Asset prices and expected monetary policy : evidence from daily data
Ivrendi, Mehmet; Pearce, Douglas Kenneth - In: Applied economics 46 (2014) 7/9, pp. 985-995
Persistent link: https://www.econbiz.de/10010399527