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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

Monetary transmission mechanism in a small open economy : a Bayesian structural VAR approach

Bhuiyan, Rokon (contributor) - 2008

estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …. Finally, I find that Canadian variables significantly responds to the US federal funds rate shock, and external shocks are an …

Persistent link: https://www.econbiz.de/10003768853

Monetary policy effects on equity returns : application of SVAR identified with high-frequency external instrument

Jang, Woon Wook - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 319-331

these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the …

Persistent link: https://www.econbiz.de/10012658788

International Transmission of US Monetary Policy Shocks : Are Bond and Stock Markets Different?

Ha, Jongrim - 2019

. Moreover, the results indicate that the nature of non-linearity in the shock propagation is distinctive across two asset … subsequent reactions of international risk premiums can play a critical role in international shock propagation …

Persistent link: https://www.econbiz.de/10012863735

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/10012838235

Monetary Policy Spillovers in the First Age of Financial Globalisation : A Narrative VAR Approach 1884–1913

Green, Georgina - 2018

This paper investigates whether movements in the Bank of England's interest rate hindered the development of the United States by transmitting or amplifying crises during the first age of financial globalisation. Evidence that US monetary and financial developments entered into the Bank's...

Persistent link: https://www.econbiz.de/10012925215

Cross-Border Transmission of Fiscal Shocks : The Role of Monetary Conditions

Blagrave, Patrick - 2018

Fiscal stimulus was widely advocated during the global crisis, a period characterized by monetary policy constrained by the effective lower bound (ELB) in many countries, in part because of expected positive spillovers. Standard New Keynesian models predict the cross-border transmission of...

Persistent link: https://www.econbiz.de/10012913940

Assessing the Effects of a Policy Rate Shock on Market Interest Rates : Interest Rate Pass-Through with a FAVAR Model - The Case of Turkey for the Inflation-Targeting Period

Varlik, Serdar - 2018

positive policy rate shock positively for all periods and have a hump shape for government debt security yields as well as for … all interest rates to the policy shock increase; (iii) the responses to the policy shock of credit interest rates with …

Persistent link: https://www.econbiz.de/10012915255

The Transmission of Monetary Policy Shocks

Miranda-Agrippino, Silvia - 2017

Despite years of research, there is still uncertainty around the effects of monetary policy shocks. We reassess the empirical evidence by combining a new identification that accounts for informational rigidities, with a flexible econometric method robust to misspecifications that bridges between...

Persistent link: https://www.econbiz.de/10012957940

Exchange Rate Pass Through, Cost Channel to Monetary Policy Transmission, Adaptive Learning, and the Price Puzzle

Ali, Syed Zahid - 2017

puzzle, which refers to anomalous behavior of inflation to a monetary shock. Unlike the existing studies, we consider the …

Persistent link: https://www.econbiz.de/10012958974