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Macroeconomic responses to an independent monetary policy shock : a (more) agnostic identification procedure
Capasso, Marco; Moneta, Alessio - 2016
This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel … monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional …
Persistent link: https://www.econbiz.de/10011554080
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Analysing monetary policy shocks by sign and parametric restrictions : the evidence from Russia
Yıldız, Bünyamin Fuat; Gökmenoglu, Korhan K.; Wong, … - In: Economies : open access journal 10 (2022) 10, pp. 1-16
Most, if not all, of the studies in the existing literature that have examined the impacts of monetary policy implications on macroeconomic aggregates suffered from misleading impulse responses. To overcome the limitations in the existing literature and to fill the gap in the literature, this...
Persistent link: https://www.econbiz.de/10013499129
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Towards an explanation of cross-country asymmetries in monetary transmission
Georgiadis, Georgios - 2012
-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained … find that up to 70% (50%) of the cross-country asymmetries in the responses of output (prices) to a monetary policy shock …
Persistent link: https://www.econbiz.de/10009509088
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Towards an Explanation of Cross-Country Asymmetries in Monetary Transmission
Georgiadis, Georgios - 2016
-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained … find that up to 70% (50%) of the cross-country asymmetries in the responses of output (prices) to a monetary policy shock …
Persistent link: https://www.econbiz.de/10012988771
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Towards an Explanation of Cross-Country Asymmetries in Monetary Transmission
Georgiadis, Georgios - 2012
-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained … find that up to 70% (50%) of the cross-country asymmetries in the responses of output (prices) to a monetary policy shock …
Persistent link: https://www.econbiz.de/10013108291
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Credit shocks and macroeconomic fluctuations in emerging markets
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10009754529
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Monetary policy shocks and macroeconomic variables : evidence from fast growing emerging economies
Ivrendi, Mehmet; Yildirim, Zekeriya - 2013
This paper investigates both the effects of domestic monetary policy and external shocks on fundamental macroeconomic variables in six fast growing emerging economies: Brazil, Russia, India, China, South Africa and Turkey - denoted hereafter as BRICS_T. The authors adopt a structural VAR model...
Persistent link: https://www.econbiz.de/10010221723
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Similarity-Augmented Structural Vector Autoregression : The Effects of Forward Guidance Shocks in Different Monetary Policy Conditions
Kuntze, Visa; Lanne, Markku; Nyberg, Henri - 2022
We develop a similarity-based structural vector autoregressive (SVAR) model using the similar clusters of data relevant for the prevailing initial macroeconomic conditions of interest. Our computationally attractive simple approach enables us to uncover time-varying effects of structural...
Persistent link: https://www.econbiz.de/10014083015
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Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy
Haug, Alfred A. - 2014
This paper combines a monetary structural vector-autoregression (SVAR) with a fiscal SVAR for Poland. Fiscal foresight, in the form of implementation lags, is accounted for with respect to both discretionary government spending and tax changes. We demonstrate the importance of combining monetary...
Persistent link: https://www.econbiz.de/10013061717
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Unconventional U.S. monetary policy : new tools, same channels?
Feldkircher, Martin; Huber, Florian - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-31
In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease … volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a … conventional monetary policy shock affects real output growth via a broad credit/bank lending channel. Second, both shocks exhibit …
Persistent link: https://www.econbiz.de/10011961266