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Asset price shocks, real expenditures, and financial structure: a multi-country analysis

Chirinko, Robert S.; de Haan, Leo; Sterken, Elmer - 2008

This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...

Persistent link: https://www.econbiz.de/10010274043

Global monetary policy shocks in the G5: A SVAR approach

Sousa, Joao Miguel; Zaghini, Andrea - 2006

structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching … permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in …

Persistent link: https://www.econbiz.de/10010298344

Financial structure and the impact of monetary policy on asset prices

Gerlach, Stefan; Assenmacher-Wesche, Katrin - 2008

We study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using single-country VARs and panel VARs in which we distinguish between groups of countries depending on their financial...

Persistent link: https://www.econbiz.de/10010303735

Alternative Indicator of Moneary Policy for a Small Open Economy

Cuche, Nicolas A. - 2000

We analyze several identification frameworks based on operating procedures to measure monetary policy in a small open economy. We use a two-stage non-recursive VAR model to identify monetary shocks. We construct then various overall monetary policy indicators based on different residuals...

Persistent link: https://www.econbiz.de/10011430022

The trade-off between monetary policy and bank stability

Lamers, Martien; Mergaerts, Frederik; Meuleman, Elien; … - 2016

This paper investigates how monetary policy interventions by the European Central Bank and the Federal Reserve affect the stock market perception of bank systemic risk. In a first step, we identify monetary policy shocks using a structural VAR approach by exploiting the changes of the volatility...

Persistent link: https://www.econbiz.de/10011786063

An alternative explanation of the prize puzzle

Giordani, Paolo - 2001

This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....

Persistent link: https://www.econbiz.de/10010281167

Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach

Bhuiyan, Rokon - 2008

estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …. Finally, I find that Canadian variables significantly responds to the US federal funds rate shock, and external shocks are an …

Persistent link: https://www.econbiz.de/10010290388

Risk premium shocks, monetary policy and exchange rate pass-through in the Czech Republic, Hungary and Poland

Vonnák, Balázs - 2010

of risk premium shock renders it almost impossible for the interest rate policy to smooth the exchange rate with the aim …

Persistent link: https://www.econbiz.de/10010322471

Housing, consumption and monetary policy: how different are the US and the euro area?

Musso, Alberto; Neri, Stefano; Stracca, Livio - 2010

The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...

Persistent link: https://www.econbiz.de/10011605207

An empirical analysis of stock and bond market liquidity

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2003

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …

Persistent link: https://www.econbiz.de/10010283415