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The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

Persistent link: https://www.econbiz.de/10010395968

Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Persistent link: https://www.econbiz.de/10012626760

The role of long-term inflation expectations for the transmission of monetary policy shocks

Diegel, Max; Nautz, Dieter - 2020 - This version: November 10, 2020

monetary policy shock. In line with a re-anchoring channel of monetary policy, we find that long-term inflation expectations …

Persistent link: https://www.econbiz.de/10012311576

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

Measuring monetary policy with residual sign restrictions at known shock dates

Schiman, Stefan; Badinger, Harald - 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/10012292801

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

Narrative sign restrictions for SVARs

Antolín-Díaz, Juan; Rubio-Ramírez, Juan Francisco - 2016

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...

Persistent link: https://www.econbiz.de/10011570683

Loan supply shocks in Macedonia : a Bayesian SVAR approach with sign restrictions

Kabashi, Rilind; Suleva, Katerina - Narodna Banka na Republika Makedonija - 2016

This paper analyses the effects of loan supply, as well as aggregate demand, aggregate supply and monetary policy shocks between 1998 and 2014 in Macedonia using a structural Vector Auto Regression with sign restrictions and Bayesian estimation. The main results indicate that loan supply shocks...

Persistent link: https://www.econbiz.de/10011623896

The interaction between fiscal and monetary policies : evidence from Sweden

Ankargren, Sebastian; Shahnazarian, Hovick - 2019 - (Updated april 2019)

This paper estimates the interaction between monetary- and fiscal policy using a structural VAR model with time-varying parameters. For demand and supply shocks, the two policies are estimated to be complementary, while for monetary and fiscal policies shocks the two policies act as substitutes....

Persistent link: https://www.econbiz.de/10011990029

Exchange rate pass-through, monetary policy and real shocks : an empirical evaluation

Aguirre, Horacio A.; González Padilla, Héctor Gustavo - 2019 - This version: January 2019

that ERPT changes with the kind of shock and the monetary policy response to it. …

Persistent link: https://www.econbiz.de/10012020009