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The Effectiveness of Unconventional Monetary Policy on Risk Aversion and Uncertainty
Rompolis, Leonidas - 2017
area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet … shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a … negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR …
Persistent link: https://www.econbiz.de/10012954979
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The Effectiveness of Unconventional Monetary Policy on Risk Aversion and Uncertainty
Rompolis, Leonidas - 2022
area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet … shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a … negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR …
Persistent link: https://www.econbiz.de/10013492572
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Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?
Guidolin, Massimo - 2020
Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …
Persistent link: https://www.econbiz.de/10012828359
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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National Specifities and Monetary-Policy Trasmission in Europe
Carlucci, Francesco; Girardi, Alessandro - Dipartimento di Economia e Diritto, Facoltà di Economia - 2004
This work presents five structural co-integrating VAR models used to describe the economies of France, Germany, Italy, the Netherlands and Spain in the years 1983-1998 and to analyse their economic policies. Shortrun dynamics move around the long-run structure, represented by money, goods and...
Persistent link: https://www.econbiz.de/10009649994
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...
Persistent link: https://www.econbiz.de/10011771740
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Robust inference in models identified via heteroskedasticity
Lewis, Daniel J. - 2018
Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in simultaneous equations. I study weak identification in such models, which arises when variances change very little or the variances of multiple shocks change close to proportionally....
Persistent link: https://www.econbiz.de/10011952161
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What Does Federal Reserve Target? Current Inflation or Expected Inflation
Bassil, Charbel - 2013
This paper examines the transmission of monetary policy in USA between 1960 and 2008. We use a structural vector autoregressive model (SVAR) that includes federal funds rate, inflation rate (current or expected inflation) and output gap as endogenous variables. The contribution of this paper is...
Persistent link: https://www.econbiz.de/10013072635
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Short-Run Impact of Inflation Targeting on the Indian Economy
Sinha, Bhaskar - 2023
The paper empirically models the short-run impact of Indian monetary policy post-adoption of the inflation target regime. Inflation targeting-based policy is well documented and has been widely accepted in many nations, including some developing countries. RBI, the Central Bank of India also...
Persistent link: https://www.econbiz.de/10014349938
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Inflation, the Fed, and the Stewardship of Chairman Powell
Webster, Thomas Joseph - 2022
This paper examines the effect of changes in Federal Reserve assets and consumer prices during the stewardship of Federal Reserve Chairman Jerome Powell. Since his appointment in February 2018 until July 2022, the average monthly increase in consumer prices was 0.31 percent—more than 2.4 times...
Persistent link: https://www.econbiz.de/10014029954