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Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann, Christoph - 2021

This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial...

Persistent link: https://www.econbiz.de/10013314948

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

Monetary Policy Shocks and Portfolio Choice

Fratzscher, Marcel - 2009

both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of …

Persistent link: https://www.econbiz.de/10013153609

The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10013060040

Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates

Amisano, Gianni - 2019

We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...

Persistent link: https://www.econbiz.de/10012870708

Monetary Policy Shocks in a Two-Sector Open Economy : An Empirical Study

Llaudes, Ricardo - 2007

This paper studies the effects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR frame-work. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...

Persistent link: https://www.econbiz.de/10012776366

Quantifying Financial Stability Trade-Offs for Monetary Policy : A Quantile VAR Approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

Persistent link: https://www.econbiz.de/10014352841

Shock Amplification in an Interconnected Financial System of Banks and Investment Funds

Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021

This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock … caused by the Covid-19 outbreak, we model three sources of exogenous shocks: a default shock, a market shock and a redemption …

Persistent link: https://www.econbiz.de/10013216767

Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010

Abildgren, Kim - 2012

a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …

Persistent link: https://www.econbiz.de/10013102102

A Method to Generate Structural Impulse-Responses for Measuring the Effects of Shocks in Structural Macro Models

Beyer, Andreas; Farmer, Roger E. A. - 2021

We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs from standard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...

Persistent link: https://www.econbiz.de/10013318029