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What are the effects of monetary policy shocks? : evidence from dollarized countries
Willems, Tim - 2010
shock, or they exclude contemporaneous values of these variables from the monetary authority's information set. This paper … advantage that it makes the exercise less vulnerable to potential misidentification of the US monetary policy shock. The results …
Persistent link: https://www.econbiz.de/10011382001
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The macroeconomic impact of unconventional monetary policy shocks
Meinusch, Annette; Tillmann, Peter - 2014
With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...
Persistent link: https://www.econbiz.de/10010338158
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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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Using Dollarized Countries to Analyze the Effects of US Monetary Policy Shocks
Willems, Tim - 2011
a natural setting that reduces the con sequences of shock misidentification. It does so by inferring from the responses …
Persistent link: https://www.econbiz.de/10013132865
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Küreselleşen Dünyada Para Politikaları Ve Azerbaycan Değerlendirmesi (Evaluation of Azerbaijan's Monetary Policy in a Globalized World)
Bulut, Cihan - 2013
During the globalization process, each country tries to have monetary stability, macro economic discipline, an effective finance system, and a more competitive market mechanism. On the aspects of applied policies and politicians' reliability, their accountability and transparency is far...
Persistent link: https://www.econbiz.de/10013085193
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Effects of US Monetary Policy Shocks During Financial Crises - A Threshold Vector Autoregression Approach
Zheng, Jasmine - 2013
This paper analyzes the impact and effectiveness of conventional monetary policy during periods of low and high financial stress in the US economy. Using data from 1973Q1 to 2008Q4, the analysis is conducted by estimating a Threshold Vector Autoregression (TVAR) model to capture switching...
Persistent link: https://www.econbiz.de/10013076282
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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/10012836323
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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
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News Shocks and the Effects of Monetary Policy
Zhang, Ren - 2019
-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …
Persistent link: https://www.econbiz.de/10012891083
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Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?
Boeckx, Jef - 2019
A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper,...
Persistent link: https://www.econbiz.de/10012867387