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The Importance of Global Shocks for National Policy Makers - Rising Challenges for Central Banks

Belke, Ansgar Hubertus - 2009

We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...

Persistent link: https://www.econbiz.de/10013155344

Forward Guidance, Monetary Policy Uncertainty, and the Term Premium

Bundick, Brent - 2017

We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using...

Persistent link: https://www.econbiz.de/10012950996

Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area

Pellegrino, Giovanni - 2017

This paper estimates a nonlinear Interacted-VAR model to investigate whether the effectiveness of monetary policy shocks in the Euro area is influenced by the level of European uncertainty. Generalized Impulse Response Functions à la Koop et al. (1996) suggest that the peak and cumulative...

Persistent link: https://www.econbiz.de/10012954376

News Shocks and the Effects of Monetary Policy

Zhang, Ren - 2019

-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …

Persistent link: https://www.econbiz.de/10012891083

Temporary Price Changes and the Real Effects of Monetary Policy

Kehoe, Patrick J. - 2008

In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...

Persistent link: https://www.econbiz.de/10012769978

The Dynamic Effects of Forward Guidance Shocks

Bundick, Brent - 2017

We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks into a standard vector autoregression to...

Persistent link: https://www.econbiz.de/10012970234

A Bound Test Analysis of the Effects of Global Economic Shocks on Nigerian Economy : The Role of Fiscal and Monetary Policies (1960-2011)

Saibu, Olufemi - 2018

This study examines the effectiveness of both fiscal and monetary policies in mitigating external shocks on Nigerian economy. In addition, it determines which of the macroeconomic policy was more effective in mitigating the possible adverse effects of external shocks; The study uses annual data...

Persistent link: https://www.econbiz.de/10012925107

Inflation during the pandemic: what happened? what is next?

Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2021

We analyze the evolution and drivers of inflation during the pandemic and the likely trajectory of inflation in the near-term using an event study of inflation around global recessions and a factor-augmented vector auto-regression (FAVAR) model. We report three main results. First, the decline...

Persistent link: https://www.econbiz.de/10012584054

Disentangling Covid-19, Economic Mobility, and Containment Policy Shocks

Camehl, Annika; Rieth, Malte - 2021

We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...

Persistent link: https://www.econbiz.de/10013219807

Revisiting the macroeconomic effects of monetary policy shocks

Doko Tchatoka, Firmin; Haque, Qazi - 2021

We shed new light on the effects of monetary policy shocks in the US. Gertler and Karadi (2015) suggest that movements in credit costs may result in substantial impact of monetary policy shocks on economic activity. Using the proxy SVAR framework, we show that once the Volcker disinflation...

Persistent link: https://www.econbiz.de/10013219833