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Is there an information channel of monetary policy?
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 2024 - This version: May 17, 2024
shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …
Persistent link: https://www.econbiz.de/10014535937
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Central bank information effects and transatlantic spillovers
Jarociński, Marek - 2020
The news about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the transatlantic spillover of monetary policy. They...
Persistent link: https://www.econbiz.de/10012298995
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Is there an information channel of monetary policy?
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024
shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …
Persistent link: https://www.econbiz.de/10014560738
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Monetary transmission via the Central Bank Balance Sheet
Behrendt, Stefan - 2013
This paper estimates the effects of unconventional monetary policies on consumer as well as asset price inflation, economic activity and bank lending at the hand of a VAR analysis, covering episodes of balance sheet policies of 9 countries over the last 20 years. While recent episodes of...
Persistent link: https://www.econbiz.de/10010221429
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Hawks vs. Doves : ECB's monetary policy in light of the Fed's policy stance
Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023
The secular increase in globalization led to a substantial increase in the interconnectedness of global financial markets. This has important implications for the conduct of monetary policy, as central bank policies may diverge across countries, potentially affecting key transmission channels of...
Persistent link: https://www.econbiz.de/10014445207
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A VAR Analysis of Kenya's Monetary Policy Transmission Mechanism : How Does the Central Bank's Repo Rate Affect the Economy?
Cheng, Kevin C. - 2007
This paper examines the impact of a monetary policy shock on output, prices, and the nominal effective exchange rate …
Persistent link: https://www.econbiz.de/10012777936
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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
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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
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Central Bank Information and the Effects of Monetary Shocks
Hubert, Paul - 2017
Does the effect of monetary policy depend on the macroeconomic information released by the central bank? Because differences between central bank's and private agents' information sets affect private agents' interpretation of policy decisions, this paper aims to investigate whether the...
Persistent link: https://www.econbiz.de/10012948514
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A Non-Standard Monetary Policy Shock : The ECB’s 3-year LTROs and the Shift in Credit Supply
Darracq Paries, Matthieu - 2013
The identification of non-standard monetary policy shocks is a key challenge for econometricians, not least as these measures are somewhat unprecedented in modern central banking history and as the instruments vary widely across the various non-standard measures. This paper focuses on the 3-year...
Persistent link: https://www.econbiz.de/10013088278