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(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...

Persistent link: https://www.econbiz.de/10013494039

Changes in the euro area interest rate pass-through

Michaelis, Henrike - 2024

This paper uses a time-varying vector autoregressive (VAR) model for the euro area to explore the changes in the interest rate pass-through to bank retail rates following conventional and unconventional monetary policy shocks. The median estimate of the impulse responses shows a considerably...

Persistent link: https://www.econbiz.de/10014559289

Credit allocation schemes: perspectives from credit providers and regulatory regimes in Kenya

Samuel, Tiriongo - 2019

This study analyses the credit channel of monetary policy transmission via major credit providers in Kenya before and …, the study establishes whether controls on interest rates triggered a shift in credit allocation via a spectrum of … providers; commercial banks, savings & credit cooperatives, and micro-finance banks. Findings show that the strength of policy …

Persistent link: https://www.econbiz.de/10012801617

Banking models and monetary transmission mechanisms in Malaysia : are Islamic banks different?

Akhatova, Malika; Mohd Pisal Zainal; Ibrahim, Mansor Haji - In: Economic papers : a journal of applied economics and policy 35 (2016) 2, pp. 169-183

Persistent link: https://www.econbiz.de/10011718150

Euro area monetary policy transmission in Estonia

Errit, Gertrud; Uusküla, Lenno - In: Baltic journal of economics 14 (2014) 1/2, pp. 55-77

variables between 2000 and 2012. Using a standard structural vector autoregression (SVAR) model we find strong and persistent … sluggish effects on the housing loan and consumer credit interest rates. The estimated reaction of Estonian GDP and the GDP …

Persistent link: https://www.econbiz.de/10011890463