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Monetary Policy, Financial Shocks and Economic Activity

Evgenidis, Anastasios; Malliaris, A. (Tassos) G. - 2023

introduce phases of the business cycle and econometrically we employ Bayesian VARs. We document that a shock that increases …

Persistent link: https://www.econbiz.de/10014254292

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Bank Liquidity, Interbank Markets, and Monetary Policy

Freixas, Xavier - 2010

A major lesson of the recent financial crisis is that the ability of banks to withstand liquidity shocks and to provide lending to one another is crucial for financial stability. This paper studies the functioning of the interbank lending market and the optimal policy of a central bank in...

Persistent link: https://www.econbiz.de/10013152719

Asymmetric macro-financial spillovers

Bluwstein, Kristina - 2017

The 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less...

Persistent link: https://www.econbiz.de/10011617592

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …

Persistent link: https://www.econbiz.de/10012301353

Is there an information channel of monetary policy?

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2024

shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …

Persistent link: https://www.econbiz.de/10014560738

Euro Area Monetary Policy Shocks : Impact on Financial Asset Prices During the Crisis?

Jardet, Caroline - 2014

We use high-frequency intraday interest rate data to measure euro area monetary policy shocks on the days of ECB interest rate announcements between 2002 and 2013. In line with Gürkaynak et al. (2005), we look at monetary policy shocks along two time dimensions: one related to the current level...

Persistent link: https://www.econbiz.de/10013045549

Financial shocks and inflation dynamics

Abbate, Angela; Eickmeier, Sandra; Prieto, Esteban - 2016

We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a vector autoregressive model to US data and identify financial shocks through sign restrictions. Our main finding is that...

Persistent link: https://www.econbiz.de/10011546785

Central bank policies and financial markets : lessons from the Euro crisis

Mody, Ashoka; Nedeljkovic, Milan - 2018 - This version: November 20, 2018

The European Central Bank (ECB) took many measures to combat the eurozone's rolling financial crisis. For providing desperately scarce dollars to eurozone banks, the ECB relied on the U.S. Federal Reserve. Using a novel econometric framework, we identify financial markets' response to the...

Persistent link: https://www.econbiz.de/10011942687

Monetary policy, macro-financial vulnerabilities, and macroeconomic outcomes

Papavangjeli, Meri; Geršl, Adam - 2024

Given the prevailing global circumstances, characterized by tightening global financial conditions and substantial macro-financial vulnerabilities, the significance of monitoring financial conditions becomes even more pronounced and calls for heightened attention to the assessment and...

Persistent link: https://www.econbiz.de/10014531999