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Ease on the cannons, tighten on the trumpets : geopolitical risk and the transmission of monetary policy shocks

Güntner, Jochen; Henßler, Johannes - 2021

bank balance sheets contract, if geopolitical risk is above its sample median in the quarter or month of the shock. The …

Persistent link: https://www.econbiz.de/10012507165

Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks

Kasumovich, Marcel - 1998

In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock … ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory …. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices. An R-shock is …

Persistent link: https://www.econbiz.de/10014070880

Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions

Armour, Jamie; Engert, Walter; Fung, Ben S. C. - 1998

expected from a monetary policy shock. Finally, as a monetary policy variable in these VAR systems, Ron performs at least as …

Persistent link: https://www.econbiz.de/10014070882

The Role of Countercyclical Monetary Policy

Ireland, Peter N. - 1998

When firms set nominal prices in advance, optimal monetary policy insulates aggregate output against shocks to demand. It can do so, however, by following the constant money growth rule advocated by Milton Friedman; it need not respond to the shocks in an actively countercyclical way. In...

Persistent link: https://www.econbiz.de/10014114232

Causal effects of monetary shocks : semiparametric conditional independence tests with a multinomial propensity score

Angrist, Joshua D. (contributor); … - 2008

Macroeconomists have long been concerned with the causal effects of monetary policy. When the identification of causal effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes and policy changes. This paper develops a...

Persistent link: https://www.econbiz.de/10003739948

Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary

Rezessy, András (contributor) - 2005

The paper estimates the immediate impact of Hungarian monetary policy on three classes of asset prices: the exchange rate of the forint vis-r-vis the euro, spot and forward government bond yields and the index of the Budapest Stock Exchange. The endogeneity problem is treated with the method of...

Persistent link: https://www.econbiz.de/10003284724

Myths and maths: macroeconomic effects of fiscal adjustments in Hungary

Horváth, Ágnes; Jakab, M. Zoltán; Kiss, Gábor P.; … - 2006

In this paper we investigate the possible effects of fiscal tightening in Hungary from two perspectives. First, simulations in an estimated neo-Keynesian model are used to characterise the effects of different scenarios for fiscal consolidations. We show that the composition of fiscal shocks is...

Persistent link: https://www.econbiz.de/10003347824

Domestic or U.S. news : what drives Canadian financial markets?

Hayo, Bernd; Neuenkirch, Matthias - 2009

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...

Persistent link: https://www.econbiz.de/10003849833

Depression econometrics : a FAVAR model of monetary policy during the great depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - 2009

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

Persistent link: https://www.econbiz.de/10003904615

Regime-dependent effects of monetary policy shocks : evidence from threshold vector autoregressions

Mandler, Martin - 2010

This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy...

Persistent link: https://www.econbiz.de/10003950519