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The macroeconomic impact of unconventional monetary policy shocks
Meinusch, Annette; Tillmann, Peter - 2014
With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...
Persistent link: https://www.econbiz.de/10010338158
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Measuring the effects of monetary policy in the euro area : the role of anticipated policy
Gottschalk, Jan; Höppner, Florian - 2001 - This Version: August 2001
This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane yielding the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary...
Persistent link: https://www.econbiz.de/10011538850
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The macroeconomic impact of unconventional monetary policy shocks : conference paper
Meinusch, Annette; Tillmann, Peter - 2014
With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...
Persistent link: https://www.econbiz.de/10010482445
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Measuring the effects of monetary policy in the euro area : the role of anticipated policy
Gottschalk, Jan; Höppner, Florian - 2001
This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...
Persistent link: https://www.econbiz.de/10011476356
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012836323
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012838235
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Unconventional monetary policy in the euro area : a tale of three shocks
Fanelli, Luca; Marsi, Antonio - 2021
these surprises reflect either a single unconventional 'monetary shock' or, as recently suggested, jointly an unconventional … monetary shock and a central bank 'information shock'. In this paper we show that monetary policy in the euro area after 2008 … is best characterized by three shocks, not two. Besides the unconventional monetary shock and the information shock, we …
Persistent link: https://www.econbiz.de/10012621320
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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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Conventional and unconventional monetary policies : effects on the Finnish housing market
Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186
sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and … temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The … peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the …
Persistent link: https://www.econbiz.de/10012296184
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Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus
Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020
We explore the effects of the ECB’s unconventional monetary policy on the banks’ sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy...
Persistent link: https://www.econbiz.de/10012194625