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The importance of global shocks for national policymakers : rising challenges for central banks

Belke, Ansgar; Rees, Andreas - 2009

We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...

Persistent link: https://www.econbiz.de/10010207060

Monetary policy shocks and macroeconomic variables : evidence from fast growing emerging economies

Ivrendi, Mehmet; Yildirim, Zekeriya - 2013

This paper investigates both the effects of domestic monetary policy and external shocks on fundamental macroeconomic variables in six fast growing emerging economies: Brazil, Russia, India, China, South Africa and Turkey - denoted hereafter as BRICS_T. The authors adopt a structural VAR model...

Persistent link: https://www.econbiz.de/10010221723

The ECB'’s unconventional monetary policy and the role of exchange rate regimes in cross-country spillovers

Jensen, Jakob Roager; Mikkelsen, Jakob Guldbæk; … - 2017

We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

Persistent link: https://www.econbiz.de/10011740711

On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the … output, confirming its shock-absorbing capacity before and during the ZLB episode. The stabilizing role of the exchange rate …

Persistent link: https://www.econbiz.de/10014320485

The impact of monetary policy on financial markets in small open economies : more or less effective during the global financial crisis?

Pennings, Steven; Ramayandi, Arief; Hsiao Chink Tang - 2011

This paper estimates the impact of monetary policy on exchange rates and stock markets for eight small open economies: Australia, Canada, the Republic of Korea, New Zealand, the United Kingdom, Indonesia, Malaysia and Thailand. On average across these countries, a one percentage point surprise...

Persistent link: https://www.econbiz.de/10011282915

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …

Persistent link: https://www.econbiz.de/10012301353

Identifying monetary policy and central bank information shocks using high-frequency exchange rates

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019

level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …

Persistent link: https://www.econbiz.de/10012304714

The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model

Kerssenfischer, Mark - 2017

Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...

Persistent link: https://www.econbiz.de/10011636064

The Effects of US Monetary Policy Shocks : Applying External Instrument Identification to a Dynamic Factor Model

Kerssenfischer, Mark - 2021

Persistent link: https://www.econbiz.de/10013315462

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....

Persistent link: https://www.econbiz.de/10011438638