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Identifying monetary policy and central bank information shocks using high-frequency exchange rates

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019

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

Estimating Fed's unconventional policy shocks

Jarociński, Marek - 2021

Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks...

Persistent link: https://www.econbiz.de/10012607553

Unconventional monetary policy in the euro area : a tale of three shocks

Fanelli, Luca; Marsi, Antonio - 2021

these surprises reflect either a single unconventional 'monetary shock' or, as recently suggested, jointly an unconventional … monetary shock and a central bank 'information shock'. In this paper we show that monetary policy in the euro area after 2008 … is best characterized by three shocks, not two. Besides the unconventional monetary shock and the information shock, we …

Persistent link: https://www.econbiz.de/10012621320

Market-stabilization QE

Motto, Roberto; Özen, Kadir - 2022

We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...

Persistent link: https://www.econbiz.de/10012818740

COVID-19 and Exchange Rates : Spillover Effects of U.S. Monetary Policy

Yilmazkuday, Hakan - 2020

. The results suggest that one percent of a negative shock on the U.S. federal funds rate results in about 12% (14%) of a … that the U.S. monetary policy shock explains about 20% of the exchange rate volatility for the average country, with a …

Persistent link: https://www.econbiz.de/10012833773

COVID-19 and Monetary Policy with Zero Bounds : A Cross-Country Investigation

Yilmazkuday, Hakan - 2020

Using daily data on policy rates from 28 advanced economies and 32 emerging markets, this paper investigates the monetary policy reaction function of central banks during the Coronavirus Disease 2019 (COVID-19). Since inflation is mostly silent during this period, the reaction function focuses...

Persistent link: https://www.econbiz.de/10012834400

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012836323

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

Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus

Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020

We explore the effects of the ECB’s unconventional monetary policy on the banks’ sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy...

Persistent link: https://www.econbiz.de/10012194625

Ripple Effects : Oil Price Shocks and Monetary Policy

Ambler, Steve - 2016

The effects of large oil price shocks on the Canadian economy are complex, as is the best response of monetary policy, but getting it wrong can be very costly, according to a new C.D. Howe Institute report. In “Ripple Effects: Oil Price Shocks and Monetary Policy,” author Steve Ambler argues...

Persistent link: https://www.econbiz.de/10012984055