Empirical evidence for advanced economies suggests that following a monetary tightening, commercial and industrial bank loans show a positive "puzzling response". Since there is no wide evidence for the Mexican case, this paper analyzes the response of bank loans at the sectoral level after a...

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...

We construct and make available a new monetary policy event study database with high-frequency financial market reactions to Riksbank communications, spanning a period of 20 years. Using these data as instruments, we estimate the macroeconomic effects of monetary policy shocks in Sweden. A...

This study employs a Panel Structural Vector Autoregressive model (P - SVAR) to investigate how monetary policy shocks affect industrial output in BRICS countries using monthly data for the period 1994:1 to 2013:12. A nine variable P - SVAR with short-run restrictions among the variables is...

This paper estimates and compares the international transmission of European Central Bank (ECB) and Federal Reserve System monetary policy in a unified and methodologically consistent framework. It identifies pure monetary policy shocks by purging them of the bias stemming from contemporaneous...

I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks based on intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state of the economy across announcements. I compute...

This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output,...

This study examines the effectiveness of non-linear monetary policy interest rate channel shocks for the Turkish economy using the threshold VAR analysis in the period of 2006-2019. The interest channel is examined with the two models for both consumption transfer and investment transfer models....

We use Bayesian estimation techniques to investigate whether money growth Granger-causes inflation in the United States. We test for Granger-causality out-of-sample and find, perhaps surprisingly given recent theoretical arguments, that including money growth in simple VAR models of inflation...

We use a mean-adjusted Bayesian VAR model as an out-of-sample forecasting tool to test whether money growth Granger-causes inflation in the euro area. Based on data from 1970 to 2006 and forecasting horizons of up to 12 quarters, there is surprisingly strong evidence that including money...