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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10003931399
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10003934679
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10010208787
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Global liquidity and house prices : a VAR analysis for OECD countries
Belke, Ansgar; Orth, Walther; Setzer, Ralph - 2008
Global monetary dynamics has been particularly strong in recent years. At the same time, house prices in many OECD countries increased sharply, significantly outpacing the relatively subdued development in consumer prices. In this paper we argue that different price elasticities on asset and...
Persistent link: https://www.econbiz.de/10010206379
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International transmission of shocks, money illusion and the velocity of money
Sousa, Teresa - 2011
Money illusion is "frequently invoked and frequently resisted" by economists. Resisted as it contradicts the maximizing paradigm of microeconomic theory and invoked since a tendency to think in nominal rather than real terms becomes evident in the behavior of agents. This paper rationalizes...
Persistent link: https://www.econbiz.de/10009379782
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Monetary Policy, Global Liquidity and Commodity Price Dynamics
Belke, Ansgar Hubertus - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10013144671
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Is there an information channel of monetary policy?
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024
Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and...
Persistent link: https://www.econbiz.de/10014560738
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Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks
Georgiadis, Georgios; Jančoková, Martina - 2017
-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we … hypothesise that New Keynesian DSGE models that do not feature powerful financial spillover channels confound the effects of … models that do not account for powerful financial spillover channels are contaminated by a common global component; the …
Persistent link: https://www.econbiz.de/10011664579
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To what degree and through which channel do central banks other than the Federal Reserve cause spillovers?
Cotton, Christopher D. - 2023 - This version: September 2022
Spillovers play a crucial role in driving monetary policy around the world. The literature focuses predominantly on spillovers from the Federal Reserve. Less attention has been paid to spillovers from other central banks. I measure the degree to which 20 central banks cause spillovers. I show...
Persistent link: https://www.econbiz.de/10014245246
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Spread the word : international spillovers from central bank communication
Armelius, Hanna; Bertsch, Christoph; Hull, Isaiah; … - 2018
We use text analysis and a novel dataset to measure the sentiment component of central bank communications in 23 countries over the 2002-2017 period. Our analysis yields three key results. First, using directed networks, we show that comovement in sentiment across central banks is not reducible...
Persistent link: https://www.econbiz.de/10011911134