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When the Fed sneezes - spillovers from U.S. monetary policy to emerging markets

Meinusch, Annette - 2017

This paper aims to shed light on the role mean and volatility spillovers of U.S. monetary policy played for asset markets of several emerging market economies in a period from January 2000 to October 2014. We employ multi-variate GARCH models in which we distinguish between a conventional and an...

Persistent link: https://www.econbiz.de/10011672704

Financial factors in economic fluctuations

Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2010

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...

Persistent link: https://www.econbiz.de/10003973320

Excess liquidity in the euro area : sources and remedies

Dąbrowski, Marek - 2023

The excess liquidity in the euro area is a product of a long period of quantitative easing. It changed the operational framework of the European Central Bank (ECB)’s monetary policy from the scarce reserves system (SRS) to the abundant reserves system (ARS). To eliminate excess liquidity and...

Persistent link: https://www.econbiz.de/10014491928

Spillovers of US unconventional monetary policy : quantitative easing, spreads, and international financial markets

Yildirim, Zekeriya; Ivrendi, Mehmet - In: Financial innovation : FIN 7 (2021), pp. 1-38

This study investigates the international spillover effects of US unconventional monetary policy (UMP) - frequently called large-scale asset purchases or quantitative easing (QE) - on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily...

Persistent link: https://www.econbiz.de/10012798677

Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a … Eurozone, it appears difficult to find a distinct impact of the Fed’s QE1 on US interest rates for which the global environment …

Persistent link: https://www.econbiz.de/10011414128

Unconventional monetary policy and productivity : evidence on the risk-seeking channel from us corporate bond markets

Albrizio, Silvia; Conesa, Marina; Dlugosch, Dennis; … - 2019

We examine the relationship between lax monetary policy, access to high-yield bond markets and productivity in the US … around FOMC announcements, we isolate the increased access to high-yield bond markets relative to investment-grade bond … investors’ appetite for high-yield US corporate bonds, thereby increasing access to high-yield bond markets for firms with a …

Persistent link: https://www.econbiz.de/10011975741

Monetary Transmission Through Bank Securities Portfolios

Greenwald, Daniel; Krainer, John; Paul, Pascal - National Bureau of Economic Research - 2024

We study the transmission of monetary policy through bank securities portfolios using granular supervisory data on U.S. bank securities, hedging positions, and corporate credit. Banks that experienced larger losses on their securities during the 2022-2023 monetary tightening cycle extended less...

Persistent link: https://www.econbiz.de/10014544727

Financial factors in economic fluctuations

Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - 2010

Persistent link: https://www.econbiz.de/10011605238

Macroeconomic effects of unconventional balance sheet policies in the United States and the Euro Area

Ryczkowski, Maciej - In: Panoeconomicus 67 (2020) 5, pp. 626-655

Persistent link: https://www.econbiz.de/10012621227

Measuring monetary policy spillovers between U.S. and German bond yields

Curcuru, Stephanie E.; Pooter, Michiel de; Eckerd, George - 2018

In this paper we estimate the magnitude of spillovers between bond markets in the U.S. and Germany following monetary policy communications by the FOMC and the ECB. The identification of policy-related co-movements following FOMC announcements, in particular, can be difficult because many...

Persistent link: https://www.econbiz.de/10011859194