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Multi-dimensional monetary policy shocks based on heteroscedasticity

Burri, Marc; Kaufmann, Daniel - 2024

We propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure...

Persistent link: https://www.econbiz.de/10015052047

The impact of monetary policy on inequality in the UK : an empirical analysis

Mumtaz, Haroon; Theophilopoulou, Angeliki - 2016

The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use detailed micro level information to construct quarterly historical measures of inequality from 1969 to 2012. We investigate whether monetary policy shocks played a role in explaining...

Persistent link: https://www.econbiz.de/10011431334

Monetary Policy and Inequality in the UK

Mumtaz, Haroon; Theophilopoulou, Angeliki - 2015

The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use detailed micro level information to construct historical measures of inequality from 1968 to 2008. We study whether monetary policy shocks played a significant role in explaining this...

Persistent link: https://www.econbiz.de/10010480347

The transmission of interest rates shocks to Asia : are effects different below the zero lower bound?

Feldkircher, Martin; Huber, Florian; Pornpinun … - 2017

on potential differences in the transmission of the monetary policy shock depending on the level of interest rates in the … country from where the shock originates, i.e., the euro area. A euro area monetary policy shock when euro area interest rates … are positive at the time the shock occurs tends to trigger positive spillovers to industrial production, house and stock …

Persistent link: https://www.econbiz.de/10011621228

Monetary stimulus amid the infrastructure investment spree : evidence from China's loan-level data

Chen, Kaiji; Gao, Haoyu; Higgins, Patrick; Waggoner, … - 2020

allocation. We develop a two-stage estimation approach and apply it to China's loanlevel data that covers all sectors in the …

Persistent link: https://www.econbiz.de/10012265180

Chapter 2. Macroeconomic Shocks and Their Propagation

Ramey, V.A. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 71-162). 2016

the leading shock candidates can explain fluctuations in output and hours. It concludes that we are much closer to …

Persistent link: https://www.econbiz.de/10014024291

The Effects of Monetary Policy Shocks on Inequality in Japan

Inui, Masayuki - 2017

shock. We find that monetary policy shocks do not have a statistically significant impact on inequality across Japanese …, before the 2000s, an expansionary monetary policy shock increased income inequality through a rise in earnings inequality …

Persistent link: https://www.econbiz.de/10012954680

A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy

Inoue, Atsushi; Rossi, Barbara - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1085-1138

We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them "functional shocks." We show how to identify such shocks and how to trace their effects in the economy via VARs using "VARs with functional...

Persistent link: https://www.econbiz.de/10012795633

Distributional effects of monetary policy shocks on wage and hours : evidence from the Czech labor market

Junicke, Monika; Matějů, Jakub; Mumtaz, Haroon; … - 2023

We investigate the heterogeneity in the effects of monetary policy shocks on the distribution of wages and hours worked, using unique contract-level data from the Czech labor market and identifying monetary policy shocks using a narrative approach based on market suprises in interest rate...

Persistent link: https://www.econbiz.de/10014533582

Adjustment is much slower than you think

Caballero, Ricardo J.; Engel, Eduardo - 2003

In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating...

Persistent link: https://www.econbiz.de/10011609531