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Global impacts of US monetary policy uncertainty shocks
Lastauskas, Povilas; Nguyen, Anh D. M. - 2021
declines in output, in ation, and the interest rate. Moreover, we document strong global impacts, making the world move in a …
Persistent link: https://www.econbiz.de/10012418859
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International Transmission of the US Interest Rate Policy Shocks : Multi-Country Model Analysis Using FAVAR
Yim, Geung Hyung - 2018
-absorption effect (i.e., decrease in US imports owing to reduced domestic demand) or increase in world interest rate appears stronger …
Persistent link: https://www.econbiz.de/10012907265
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Regime-dependent effects of monetary policy shocks : evidence from threshold vector autoregressions
Mandler, Martin - 2010
This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy...
Persistent link: https://www.econbiz.de/10003950519
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COVID-19 and Exchange Rates : Spillover Effects of U.S. Monetary Policy
Yilmazkuday, Hakan - 2020
emerging markets during the Coronavirus Disease 2019 (COVID-19). The investigation is achieved by a structural vector …. 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
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Shocks, Structures or Monetary Policies? The Euro Area and US After 2001
Christiano, Lawrence J. - 2007
The US Federal Reserve cut interest rates more vigorously in the recent recession than the European Central Bank did. By comparison with the Fed, the ECB followed a more measured course of action. We use an estimated dynamic general equilibrium model with financial frictions to show that...
Persistent link: https://www.econbiz.de/10012776610
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A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound
Lombardi, Marco J. - 2014
The recent global financial crisis, the Great Recession and the subsequent implementation of a variety of unconventional policy measures have raised the issue of how to correctly measure the stance of monetary policy when policy interest rates reach the zero lower bound (ZLB). In this paper, we...
Persistent link: https://www.econbiz.de/10013052076
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"Unconventional" monetary policy as conventional monetary policy : a perspective from the U.S. in the 1920s
Carlson, Mark; Duygan-Bump, Burcu - 2018
To implement monetary policy in the 1920s, the Federal Reserve utilized administered interest rates and conducted open market operations in both government securities and private money market securities, sometimes in fairly considerable amounts. We show how the Fed was able to effectively use...
Persistent link: https://www.econbiz.de/10011927094
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
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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
policies to the rest of the world. The extent of these effects depends on the type of QE measures. QE measures such as …
Persistent link: https://www.econbiz.de/10012798677
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Estimated general equilibrium models for the evaluation of monetary policy in the US and Europe
Leith, Campbell B.; Malley, James R. - 2002
A persistent criticism of general equilibrium models of monetary policy which incorporate nominal inertia in the form of the New Keynesian Phillips Curve (NKPC) is that they fail to capture the extent of inflation inertia in the data. In this paper we derive a general equilibrium model based on...
Persistent link: https://www.econbiz.de/10011409738