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Forward Guidance, Monetary Policy Uncertainty, and the Term Premium

Bundick, Brent - 2017

We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using...

Persistent link: https://www.econbiz.de/10012950996

Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area

Pellegrino, Giovanni - 2017

This paper estimates a nonlinear Interacted-VAR model to investigate whether the effectiveness of monetary policy shocks in the Euro area is influenced by the level of European uncertainty. Generalized Impulse Response Functions à la Koop et al. (1996) suggest that the peak and cumulative...

Persistent link: https://www.econbiz.de/10012954376

The Impact of Unconventional Monetary Policy Shocks on Energy Prices

Makrychoriti, Panagiota - 2019

months after the monetary shock. Since unconventional monetary policies have now become part of a central bank's arsenal …

Persistent link: https://www.econbiz.de/10012900709

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

The Short-Run Effect of Monetary Policy Shocks on Credit Risk : An Analysis of the Euro Area

Kim, Chi Hyun - 2019

We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock … and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock …

Persistent link: https://www.econbiz.de/10012893974

Monetary Policy Communication Shocks and the Macroeconomy

Goodhead, Robert - 2019

Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While GÃ¼rkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...

Persistent link: https://www.econbiz.de/10012897008

Financial and Real Shocks and the Effectiveness of Monetary and Macroprudential Policies in Latin American Countries

Garcia Cicco, Javier - 2017

policies further contribute to restoring credit and output growth. However, in the case of a negative commodity price shock …

Persistent link: https://www.econbiz.de/10012944359

Temporary Price Changes and the Real Effects of Monetary Policy

Kehoe, Patrick J. - 2008

In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...

Persistent link: https://www.econbiz.de/10012769978

Market-stabilization QE

Motto, Roberto; Özen, Kadir - 2022

We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...

Persistent link: https://www.econbiz.de/10012818740

The Dynamic Effects of Forward Guidance Shocks

Bundick, Brent - 2017

We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks into a standard vector autoregression to...

Persistent link: https://www.econbiz.de/10012970234