Similar Search Results

The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area

Kim, Chi Hyun; Other, Lars - 2019

We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock … and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock …

Persistent link: https://www.econbiz.de/10011963607

Persistency and money demand distortions in a stochastic DGE model with sticky prices

Gail, Michael - 2004 - Revised February 26th, 2004

Recently macroeconomists have intensified their efforts to develop models that are able to generate persistent reactions of real variables to monetary shocks in stochastic DGE models with nominal rigidities. This has proven to be quite difficult in models with price staggering only. Most papers...

Persistent link: https://www.econbiz.de/10011525437

COVID-19 and Monetary policy with zero bounds : a cross-country investigation

Yilmazkuday, Hakan - In: Finance research letters 44 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014495054

The macroeconomic impact of unconventional monetary policy shocks

Meinusch, Annette; Tillmann, Peter - 2014

With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...

Persistent link: https://www.econbiz.de/10010338158

Forward Guidance, Monetary Policy Uncertainty, and the Term Premium

Bundick, Brent - 2017

We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using...

Persistent link: https://www.econbiz.de/10012950996

Bank liquidity, interbank markets, and monetary policy

Freixas, Xavier; Martin, Antoine; Skeie, David - 2009

distributional liquidity-shock crisis that causes a large disparity in the liquidity held by different banks, a central bank should …

Persistent link: https://www.econbiz.de/10003864510

COVID-19 and Exchange Rates : Spillover Effects of U.S. Monetary Policy

Yilmazkuday, Hakan - 2020

emerging markets during the Coronavirus Disease 2019 (COVID-19). The investigation is achieved by a structural vector …. The results suggest that one percent of a negative shock on the U.S. federal funds rate results in about 12% (14%) of a … that the U.S. monetary policy shock explains about 20% of the exchange rate volatility for the average country, with a …

Persistent link: https://www.econbiz.de/10012833773

Market-stabilization QE

Motto, Roberto; Özen, Kadir - 2022

We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...

Persistent link: https://www.econbiz.de/10012818740

Monetary policy and the relative price of durable goods

Cantelmo, Alessandro; Melina, Giovanni - 2015

findings survive three identification strategies and across subsamples. Then, they are rationalized via the estimation of a two …

Persistent link: https://www.econbiz.de/10010515460

Drivers of consumer prices and exchange rates in small open economies

Corbo, Vesna; Di Casola, Paola - 2020

economies, we find that the main driver of consumer price inflation is the global demand shock. A negative global demand shock … pass-through following this shock is of opposite sign to what is usually expected. Finally, exogenous shocks to the …

Persistent link: https://www.econbiz.de/10012176017