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Monetary Policy and the Oil Futures Market
Eickmeier, Sandra - 2016
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...
Persistent link: https://www.econbiz.de/10012988800
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Monetary Policy and the Oil Futures Market
Eickmeier, Sandra - 2013
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...
Persistent link: https://www.econbiz.de/10013080344
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Narrative sign restrictions for SVARs
Antolín-Díaz, Juan; Rubio-Ramírez, Juan Francisco - 2016
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...
Persistent link: https://www.econbiz.de/10011570683
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Narrative Sign Restrictions for Svars
Antolin-Diaz, Juan - 2017
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...
Persistent link: https://www.econbiz.de/10012966953
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Ensuring financial stability : financial structure and the impact of monetary policy on asset prices
Assenmacher-Wesche, Katrin; Gerlach, Stefan - 2008 - Revised draft
This paper studies the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986 - 2006. We estimate VARs for individual economies and panel VARs in which we distinguish between groups of countries on...
Persistent link: https://www.econbiz.de/10010382339
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Identifying money and inflation expectation shocks on real oil prices
Benk, Szilárd; Gillman, Max - 2023
role played by inflation expectations and the money supply shocks during major oil shock episodes. These shocks partially … replace roles previously attributed to the precautionary oil demand shock and the aggregate demand shock during the three … major oil shock periods of the 1970s-1980s, post-2008 and during the 2020-2021 pandemic. The results show that both real oil …
Persistent link: https://www.econbiz.de/10014295388
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Identifying Money and Inflation Expectation Shocks on Real Oil Prices
Benk, Szilárd; Gillman, Max - 2023
role played by inflation expectations and the money supply shocks during major oil shock episodes. These shocks partially … replace roles previously attributed to the precautionary oil demand shock and the aggregate demand shock during the three … major oil shock periods of the 1970s-1980s, post-2008 and during the 2020-2021 pandemic. The results show that both real oil …
Persistent link: https://www.econbiz.de/10014353807
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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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Oil price shock in the US and the euro area - evidence from the shadow rate and the term premium
Pažický, Martin - In: Národohospodářský obzor : časopis věnovaný … 21 (2021) 3, pp. 309-346
indicators has been growing rapidly in recent years. The results confirm that the oil price shock is not negligible in the … industrial production, price level and shadow interest rate to the oil price shock is strongest in the period corresponding to …
Persistent link: https://www.econbiz.de/10012651358
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Less bang for the buck? : assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment
Herwartz, Helmut; Rohloff, Hannes - 2018
We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU...
Persistent link: https://www.econbiz.de/10011931106