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Asymmetric macro-financial spillovers
Bluwstein, Kristina - 2017
The 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less...
Persistent link: https://www.econbiz.de/10011617592
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International transmission of conventional and unconventional monetary policy and financial stress shocks from the euro area to Russia
Dajčman, Silvo; Kavkler, Alenka; Merzlyakov, Sergey; … - In: Journal of central banking theory and practice 11 (2022) 1, pp. 227-247
trade balance. The contractionary euro area monetary policy shock decreases Russian GDP, leads to real appreciation of the …
Persistent link: https://www.econbiz.de/10012806005
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Is there an information channel of monetary policy?
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024
shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …
Persistent link: https://www.econbiz.de/10014560738
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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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The Monetary Transmission Mechanism in the Euro Area : Has It Changed with the EMU? A VAR Approach, with Fiscal Policy and Financial Stress Considerations
Afonso, António - 2014
, fiscal and financial stress variables to a monetary policy shock, seems to be stronger in the post-EMU period. Regarding …
Persistent link: https://www.econbiz.de/10013050644
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Heterogeneous macro and financial effects of ECB asset purchase programs
Zwan, Terri van der; Kole, Erik; Wel, Michel van der - 2021
reduction in stress in corporate and sovereign debt markets after an asset purchase shock. We disentangle the effect among …
Persistent link: https://www.econbiz.de/10012795397
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State-dependent transmission of monetary policy in the euro area
Burgard, Jan Pablo; Neuenkirch, Matthias; Nöckel, Matthias - 2016
In this paper, we estimate a logit mixture vector autoregressive (Logit-MVAR) model describing monetary policy transmission in the euro area over the period 1999..2015. MVARs allow us to differentiate between different states of the economy. In our model, the state weights are determined by an...
Persistent link: https://www.econbiz.de/10011574835
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State-dependent transmission of monetary policy in the euro area
Burgard, Jan Pablo; Neuenkirch, Matthias; Nöckel, Matthias - 2018 - First Draft: December 21, 2016
In this paper, we estimate a logit mixture vector autoregressive (Logit-MVAR) model describing monetary policy transmission in the euro area over the period 1999-2015. MVARs allow us to differentiate between different states of the economy. In our model, the time-varying state weights are...
Persistent link: https://www.econbiz.de/10011859492
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Shadow banks and the risk-taking channel of monetary policy transmission in the Euro Area
Wischnewsky, Arina; Neuenkirch, Matthias - 2018 - First Draft: June 11, 2018
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...
Persistent link: https://www.econbiz.de/10011864635
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Shadow banks and the risk-taking channel of monetary policy : transmission in the euro area
Wischnewsky, Arina; Neuenkirch, Matthias - 2018 - First draft: June 11, 2018
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...
Persistent link: https://www.econbiz.de/10011866891