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Unconventional monetary policy in the euro area : a tale of three shocks

Fanelli, Luca; Marsi, Antonio - 2021

consider a third shock resulting from the ECB directly managing fragmentation risk in the sovereign bond market. We call this … additional shock 'spread shock', and show that it permits to solve a puzzle we observe in HF comovement of long term risk free … these surprises reflect either a single unconventional 'monetary shock' or, as recently suggested, jointly an unconventional …

Persistent link: https://www.econbiz.de/10012621320

Monetary policy shocks in open economies and the inflation unemployment trade-off : the case of the Euro Area

Ribba, Antonio - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-12

In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to deal with the interaction of the European Central Bank and the US Federal Reserve. In other words, a proper identification of monetary policy shocks for an open economy like...

Persistent link: https://www.econbiz.de/10013168711

Monetary policy and macroeconomic factors : Japan versus the US and the euro area

Siklos, Pierre L. - In: Asia and the global economy : AGE 3 (2023) 2, pp. 1-8

Narratives that portray macroeconomic policies in Japan as unlike ones pursued in other large economies persist. I revisit how several factors, including monetary, fiscal, and demographic factors impact Japan, the US, and the euro area. Panel VARs driven by factors or observed macroeconomic...

Persistent link: https://www.econbiz.de/10014447638

Conventional and unconventional monetary policies : effects on the Finnish housing market

Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186

sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and … temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The … peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the …

Persistent link: https://www.econbiz.de/10012296184

House prices and the effectiveness of monetary policy in an estimated DSGE model of Morocco

Said, Roubyou; Hicham, Ouakil - In: Economies : open access journal 13 (2025) 4, pp. 1-23

In this study, we aimed to assess the effectiveness of monetary policy in influencing housing prices in Morocco. Bayesian estimation over the period 2007Q2-2017Q2 of a dynamic stochastic general equilibrium model allowed us to reveal a significant impact of the increase in policy interest rates...

Persistent link: https://www.econbiz.de/10015410086

The impact of financial shocks on the forecast distribution of output and inflation

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2023

Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast … role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a …

Persistent link: https://www.econbiz.de/10014232607

Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

that includes a nonlinear function of the financial shock. …

Persistent link: https://www.econbiz.de/10013207315

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

Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: a sample of non-Eurozone countries

Mészáros, Mercédesz; Kiss, Gábor Dávid - In: Národohospodářský obzor : časopis věnovaný … 20 (2020) 2, pp. 171-195

through gravity-like approaches. Six EU member states outside the Eurozone and Switzerland were analysed between 2007 and 2019 …

Persistent link: https://www.econbiz.de/10012242342

The impact of seven macroprudential policy instruments on financial stability in six euro area economies

Lorenčič, Eva; Festić, Mejra - In: Národohospodářský obzor : časopis věnovaný … 21 (2021) 3, pp. 259-290

The aim of this paper is to investigate whether macroprudential policy instru-ments can influence the credit growth rate and hence financial stability. We use a fixed effects panel regression model to test the following hypothesis for six euro area econo-mies (Austria, Finland, Germany, Italy,...

Persistent link: https://www.econbiz.de/10012651338