This paper presents new evidence on the monetary transmission mechanism based on the effects that unexpected monetary policy shocks exert on the activity of 21 manufacturing industries in 5 OECD countries (France, Germany, Italy, UK and USA). The goal is twofold. First, documenting the...

We analyze the differences in lending policies across banks characterized by different types of ownership, using micro-level data on Euro area banks during the period 1999–2011 to detect possible variations in bank lending supply responses to changes in monetary policy. Our results identify a...

We combine existing balance sheet and stock market data with two new datasets to study whether, how much, and why bank lending to firms matters for the transmission of monetary policy. The first new dataset enables us to quantify the bank dependence of firms precisely, as the ratio of bank debt...

We provide evidence on the nature of the monetary policy transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy...

How do frictions in price setting influence monetary non-neutrality? We revisit this classic question in a quantitative menu cost model with multi-product firms that face idiosyncratic shocks with unsynchronized stochastic volatility. The model matches the unconditional distribution of price...

Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the ten-year forward real rate....

In this paper we examine the impact of the forecasting errors arising from a monetary policy shock arising in the Federal funds rate market. Our empirical results indicate that forecasting errors in the Federal funds futures market do have implications for the asset market's natural price...

This paper examines how banks respond to the monetary policy of the European Central Bank (ECB) according to their characteristics and, in particular, to their market power, using banking micro-data from Eurozone countries over the period from 1999 to 2011. Our results suggest that banks with...

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging...

Forecasting models for output are presented to throw light on monetary transmission. Recent research finds multistep forecasting superior to recursive forecasting from a VAR model when structural breaks are present; there are important political and policy regime breaks in South Africa. The...