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What shapes spillovers from monetary policy shocks in the United States to emerging market economies?
Andres-Escayola, Erik; McQuade, Peter; Schroeder, Christofer - 2024
the Fed's post-COVID-19 tightening cycle, and highlight the benefits of the broad improvements of monetary policy …
Persistent link: https://www.econbiz.de/10015199446
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The Macroeconomic Impact of the ECB's Expanded Asset Purchase Programme (APP)
Gambetti, Luca - 2017
This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...
Persistent link: https://www.econbiz.de/10012954345
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Global Impacts of Us Monetary Policy Uncertainty Shocks
Lastauskas, Povilas; Minh, Anh - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
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Identifying the monetary transmission mechanism using structural breaks
Beyer, Andreas; Farmer, Roger E. A. - 2003
We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...
Persistent link: https://www.econbiz.de/10011604321
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and … raising equity markets, especially in the US relative to other countries. Fed measures since 2010 (QE2) boosted equities … worldwide, while they had muted impact on yields across countries. Yet Fed policies functioned in a procyclical manner for …
Persistent link: https://www.econbiz.de/10013081463
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What does the single monetary policy do? A SVAR benchmark for the European Central Bank
Monticello, Carlo; Tristani, Oreste - 1999
This paper puts forward a characterization of the structural features of the economic system relevant to the monetary-policy decisions of the European Central Bank. The econometric analysis adopts a parsimonious VAR representation of three key macroeconomic variables (interest rates, prices and...
Persistent link: https://www.econbiz.de/10011604048
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US-euro area term structure spillovers, implications for central banks
Nyholm, Ken - 2016
Spillovers between the US and euro area term structures of interest rates are examined. Implications for monetary policy are investigated using term-structure metrics that proxy conventional and unconventional instruments, i.e. the short rate, the 10 year term premium, and the 10 year risk-free...
Persistent link: https://www.econbiz.de/10011606025
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US-Euro Area Term Structure Spillovers, Implications for Central Banks
Nyholm, Ken - 2017
Spillovers between the US and euro area term structures of interest rates are examined. Implications for monetary policy are investigated using term-structure metrics that proxy conventional and unconventional instruments, i.e. the short rate, the 10 year term premium, and the 10 year risk-free...
Persistent link: https://www.econbiz.de/10012963922
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The macroeconomic impact of the ECB's expanded asset purchase programme (APP)
Gambetti, Luca; Musso, Alberto - 2017
This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...
Persistent link: https://www.econbiz.de/10011804390
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Global impacts of US monetary policy uncertainty shocks
Lastauskas, Povilas; Nguyen, Anh D. M. - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10012422175