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Measuring Mutual Fund Flow Pressure As Shock to Stock Returns

Wardlaw, Malcolm - 2020

A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow-induced price pressure to isolate non-fundamental price variation. I demonstrate that the standard approach to computing outflow-induced price pressure produces a measure that...

Persistent link: https://www.econbiz.de/10012851373

Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann, Christoph - 2020

This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial...

Persistent link: https://www.econbiz.de/10012829897

Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann, Christoph - 2021

Persistent link: https://www.econbiz.de/10013314948

Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann, Christoph - 2021

Persistent link: https://www.econbiz.de/10013227731

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 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/10012295246

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

Measuring monetary policy with residual sign restrictions at known shock dates

Badinger, Harald; Schiman, Stefan - 2020

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

Persistent link: https://www.econbiz.de/10012288003

Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy

Miescu, Mirela S.; Mumtaz, Haroon - 2019

We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that...

Persistent link: https://www.econbiz.de/10012121977

Real and nominal effects of monetary shocks under time-varying disagreement

Esady, Vania - 2019

This paper investigates the heterogeneity of monetary policy transmission under time-varying disagreement regimes using a threshold VAR. Empirically, I establish that during times of high disagreement, prices respond more sluggishly in response to monetary shocks. These stickier prices cause a...

Persistent link: https://www.econbiz.de/10012124866

Drivers of consumer prices and exchange rates in small open economies

Corbo, Vesna; Di Casola, Paola - 2020

economies, we find that the main driver of consumer price inflation is the global demand shock. A negative global demand shock … pass-through following this shock is of opposite sign to what is usually expected. Finally, exogenous shocks to the …

Persistent link: https://www.econbiz.de/10012176017