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Identifying monetary policy and central bank information shocks using high-frequency exchange rates
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019
central bank information shocks on macro variables using proxy SVAR. Contractionary monetary policy decreases output and price … level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …
Persistent link: https://www.econbiz.de/10012304714
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Macroeconomic effects of inflationary shocks with durable and non-durable consumption
Mallick, Sushanta Kumar; Mohsin, Mohammed - In: Open economies review 27 (2016) 5, pp. 895-921
Persistent link: https://www.econbiz.de/10011717040
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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An SVAR approach to evaluation of monetary policy in India : solution to the exchange rate puzzles in an open economy
Barnett, William A.; Bhadury, Soumya; Ghosh, Taniya - In: Open economies review 27 (2016) 5, pp. 871-893
Persistent link: https://www.econbiz.de/10011717033
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Monetary policy effectiveness in Croatia : evidence from a restricted VAR model (VECM)
Adžić, Sofija; Davidović, Milivoje - In: Ekonomija : časopis za ekonomsku teoriju i politiku 22 (2016) 2, pp. 445-472
Persistent link: https://www.econbiz.de/10011456179
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The effects of monetary policy shocks across the Greek regions
Anagnostou, Ageliki; Papadamou, Stephanos - 2012
. By using an unrestricted VAR model and the impulse response analysis our results show that an interest rate shock affects …
Persistent link: https://www.econbiz.de/10011515015
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US monetary policy and the stability of currency pegs
Roevekamp, Ingmar - 2019
I study the pricing of American Depositary Receipts around FOMC meetings to identify the impact of US monetary policy on managed exchange rates. ADR investors assess the domestic central bank’s reluctance to maintain a currency peg regime if the costs of mimicking policy rate increases in the...
Persistent link: https://www.econbiz.de/10012265914
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The impact of international spillovers on Swiss inflation and the exchange rate
Jordan, Thomas - In: Journal of international money and finance 68 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011711844
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Endogenous forward guidance
Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2019
commiting to keep interest rates low at the exit of the liquidity trap, to stabilize inflation today. 2. From debt … consolidated budget) monetary policy becomes subservient to fiscal policy, giving rise to more volatile inflation, output and … interest rates. Liquidity trap (LT) episodes are longer, however, the impact of interest rate policy commitments on inflation …
Persistent link: https://www.econbiz.de/10012304687
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Information Effects of Euro Area Monetary Policy : new evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are...
Persistent link: https://www.econbiz.de/10012265893