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Does the exchange rate respond to monetary policy in Mexico? : solving an exchange rate puzzle in emerging markets

Solís, Pavel - In: Journal of money, credit and banking : JMCB 55 (2023) 8, pp. 2093-2113

Persistent link: https://www.econbiz.de/10014436137

Reserve Options Mechanism and FX Volatility

Oduncu, Arif - 2013

limit the adverse effects of excess capital flow volatility on the macroeconomic and financial stability of Turkey. In this … paper, we study the effectiveness of ROM on the volatility of Turkish Lira, and to the best of our knowledge, it is the … decreasing the volatility of Turkish lira in the sample period …

Persistent link: https://www.econbiz.de/10013085547

Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...

Persistent link: https://www.econbiz.de/10012519567

Information Effects of Euro Area Monetary Policy : new evidence from high-frequency futures data

Kerssenfischer, Mark - 2019

Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are...

Persistent link: https://www.econbiz.de/10012265893

Information effects of euro area monetary policy : new evidence from high-frequency futures data

Kerssenfischer, Mark - 2019

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...

Persistent link: https://www.econbiz.de/10011972952

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012009157

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

Persistent link: https://www.econbiz.de/10012029090

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

Persistent link: https://www.econbiz.de/10012015831

Monetary policy announcements and expectations : evidence from German firms

Enders, Zeno; Hünnekes, Franziska; Müller, Gernot J. - 2019

We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms...

Persistent link: https://www.econbiz.de/10012159806