In this paper, we propose a Bayesian VAR model to examine the short term effects of monetary policy shocks on the Italian economy. Firstly, our BVAR model uses the Cholesky decomposition to identify four kinds of macroeconomic shocks, namely, supply, demand, interest rate and monetary shocks....

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

This paper empirically tests whether monetary policy can have a perverse effect on aggregate demand in emerging economies, because of short-term speculative inflows. For this purpose, a bayesian VAR is estimated on a panel of six major emerging countries. Monetary and risk shocks are identified...

This paper examines the transmission mechanism of monetary policy in Albania during 2002 M01 - 2014 M12. The main question addresses the macroeconomic pass-through effects of a monetary policy shock, with regards to a conventional interest rate and possible different balance sheet policy...

We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...

The paper contributes to understanding the economic dynamics at the zero lower bound and the exchange rate movements under different central bank intervention regimes. It provides a theoretical framework for modeling foreign exchange interventions at the ZLB within a dynamic general equilibrium...

In this paper, we analyse nominal exchange rate and price dynamics after risk shocks with short-term interest rates constrained by the zero lower bound (ZLB). We show with a stylized theoretical model that temporary risk shocks may lead to permanent shifts of the exchange rate and the price...

When capital in the banking system becomes depleted, the degree to which financial intermediation and the macroeconomy are adversely affected is likely to depend on the financial and macroeconomic environment. However, existing studies either assume that the effects of bank capital shocks are...

This paper investigates whether the Chinese real estate price rise is a national monetary shock and driven mainly by monetary shocks, or is controlled by the regional governments and driven mainly by local bank lending activities. The paper attempts to reveal how the determinants on residential...

We explore empirically the transmission of U.S. financial and macroeconomic uncertainty to emerging market economies (EMEs). We start by assuming that there are crucial differences between volatility and uncertainty, and between the latter and its shocks. With the help of Bayesian vector...