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Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 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/10012295246

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

Monetary policy in an imperfect information environment

Other, Lars - 2021

Persistent link: https://www.econbiz.de/10012519676

The effects of the ECB's pandemic-related monetary policy measures

Nelimarkka, Jaakko; Laine, Olli-Matti - 2021

We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using structural vector autoregressions. In the...

Persistent link: https://www.econbiz.de/10012622376

Central bank information effects and transatlantic spillovers

Jarociński, Marek - In: Journal of international economics 139 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014281818

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Monetary policy matters : evidence from new shocks data

Barakchian, S. Mahdi; Crowe, Christopher - In: Journal of monetary economics 60 (2013) 8, pp. 950-966

Persistent link: https://www.econbiz.de/10010253040

Update to figure 1 in "Macroeconomic Shocks and their Propagation"

Chiarotti, Edoardo - 2021

a shock in the Federal Funds Rate, following the baseline and variations of the Vector Autoregression (VAR) models in …

Persistent link: https://www.econbiz.de/10012416282

Is there an information channel of monetary policy?

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024

Persistent link: https://www.econbiz.de/10014633013

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