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Spillover effects from euro area monetary policy across the EU : a factor-augmented VAR approach
Potjagailo, Galina - 2016
variables. An expansionary Euro area monetary policy shock raises production in most non-Euro area countries. Somewhat larger …
Persistent link: https://www.econbiz.de/10011440779
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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR
Arratibel, Olga; Michaelis, Henrike - 2013
-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …
Persistent link: https://www.econbiz.de/10010439334
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How to solve the price puzzle? : a meta-analysis
Rusnák, Marek; Havránek, Tomáš; Horváth, Roman - 2011
The short-run increase in prices following an unexpected tightening of monetary policy represents a frequently reported puzzle. Yet the puzzle is easy to explain away when all published models are quantitatively reviewed. We collect and examine about 1,000 point estimates of impulse responses...
Persistent link: https://www.econbiz.de/10009231409
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Classical time-varying FAVAR models : estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts …-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s. -- FAVAR ; time …
Persistent link: https://www.econbiz.de/10008936114
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Monetary policy and the oil futures market
Eickmeier, Sandra; Lombardi, Marco - 2012
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/10009682077
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Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models
Korobilis, Dimitris - 2011
This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change...
Persistent link: https://www.econbiz.de/10013134422
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How to Solve the Price Puzzle? A Meta-Analysis
Rusnák, Marek - 2011
The short-run increase in prices following an unexpected tightening of monetary policy represents a frequently reported puzzle. Yet the puzzle is easy to explain away when all published models are quantitatively reviewed. We collect and examine about 1,000 point estimates of impulse responses...
Persistent link: https://www.econbiz.de/10013119662
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Küreselleşen Dünyada Para Politikaları Ve Azerbaycan Değerlendirmesi (Evaluation of Azerbaijan's Monetary Policy in a Globalized World)
Bulut, Cihan - 2013
During the globalization process, each country tries to have monetary stability, macro economic discipline, an effective finance system, and a more competitive market mechanism. On the aspects of applied policies and politicians' reliability, their accountability and transparency is far...
Persistent link: https://www.econbiz.de/10013085193
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Risk, Uncertainty and Monetary Policy in a Global World
Bekaert, Geert - 2020
Since the global financial crisis, there has been renewed interest in understanding how monetary policy shocks transmit across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how (conventional and unconventional) monetary policy shocks...
Persistent link: https://www.econbiz.de/10012834260
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012836323