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Examining spillover effect of US monetary policy to European stock markets : a Markov-Switching approach

Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de economía 46 (2019) 1, pp. 89-124

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...

Persistent link: https://www.econbiz.de/10012025335

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 … response does differ across the economies examined. Japan may not be like other systemically important economies in all …

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

Spillovers of US unconventional monetary policy : quantitative easing, spreads, and international financial markets

Yildirim, Zekeriya; Ivrendi, Mehmet - In: Financial innovation : FIN 7 (2021), pp. 1-38

This study investigates the international spillover effects of US unconventional monetary policy (UMP) - frequently called large-scale asset purchases or quantitative easing (QE) - on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily...

Persistent link: https://www.econbiz.de/10012798677

The Triffin dilemma again

Campanella, Edoardo - 2010

Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...

Persistent link: https://www.econbiz.de/10008648332

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

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign...

Persistent link: https://www.econbiz.de/10012626760

Business cycle synchronization and monetary policy coordination between the US and China : evidence from a structural VAR model

Sun, Wei - In: The Chinese economy 50 (2017) 1, pp. 3-20

Persistent link: https://www.econbiz.de/10011821694

Oil price shock in the US and the euro area - evidence from the shadow rate and the term premium

Pažický, Martin - In: Národohospodářský obzor : časopis věnovaný … 21 (2021) 3, pp. 309-346

The aim of this article is to investigate the consequences of oil price changes for the economy of the US and the euro area. Oil price transmission channel is assessed using Granger causalities and structural vector autoregressive (VAR) specifications (applying the Cholesky factorization and the...

Persistent link: https://www.econbiz.de/10012651358

US interest rate spread and energy consumption by sector (evidence of pre and post implementation of the Fed's LSAPs policy)

Ziaei, Sayyed Mahdi - In: Energy reports 4 (2018), pp. 288-302

This paper represents the first empirical study to investigate the effects of interest rate spread shocks before and after the implementation of LSAPs (Federal Reserve large-scale asset purchases) on energy consumption for different sectors. The US monthly data (2002–2015) for interest rate...

Persistent link: https://www.econbiz.de/10011864485

The term structure of policy rules

Smith, Josephine M.; Taylor, John B. - In: Journal of monetary economics 56 (2009) 9, pp. 907-917

Persistent link: https://www.econbiz.de/10003924193

Post inflation targeting monetary policy : a study of Britain, Japan and the United States

Monadjemi, Mehdi S.; Lodewijks, John Kees - In: Expert journal of economics 2 (2014) 1, pp. 21-29

There is now considerable disquiet about the appropriate monetary strategy that central banks should follow in the aftermath of the global financial crisis. Several influential commentators have called for the abandonment of inflation targeting. Empirical research examining three major economies...

Persistent link: https://www.econbiz.de/10012056964

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