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Monetary Policy Shocks and Stock Returns : Evidence from the British Market
Gregoriou, Andros - 2010
This paper examines the impact of anticipated and unanticipated interest rate changes on aggregate and sectoral stock returns in the United Kingdom. The monetary policy shock is generated from the change in the 3-month sterling LIBOR futures contract. Results from time-series and panel analysis...
Persistent link: https://www.econbiz.de/10013142104
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Subjective models of the macroeconomy: evidence from experts and representative samples
Andre, Peter; Pizzinelli, Carlo; Roth, Christopher; … - 2021
,500 US households and 1,500 experts, beliefs are widely dispersed, even about the directional effects of shocks, and there are … large differences in average beliefs between households and experts. Part of this disagreement seems to arise from selective … recall different propagation channels of the shocks, while experts tend to re-call textbook models. Our findings offer a new …
Persistent link: https://www.econbiz.de/10012663050
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Forward guidance matters : disentangling monetary policy shocks
Ferreira, Leonardo Nogueira - 2020
Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...
Persistent link: https://www.econbiz.de/10012295693
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Interest rate surprises : a tale of two shocks
Nunes, Ricardo; Ozdagli, Ali; Tang, Jenny - 2022 - This version: January 2022
Interest rate surprises around FOMC announcements reveal both the surprise in the monetary policy stance (the pure policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the information shock). In order to disentangle the effects of...
Persistent link: https://www.econbiz.de/10012815123
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The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area
Kim, Chi Hyun; Other, Lars - 2019
We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock leads to a short-run increase in the credit risk of...
Persistent link: https://www.econbiz.de/10011963607
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Forward Guidance, Monetary Policy Uncertainty, and the Term Premium
Bundick, Brent - 2017
We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using...
Persistent link: https://www.econbiz.de/10012950996
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Monetary Policy and News Shocks : Are Taylor Rules Forward-Looking?
Best, Gabriela - 2015
This paper extends a standard New Keynesian model by introducing anticipated shocks to inflation, output, and interest rates, and by incorporating forward-looking, forecast-targeting Taylor rules. The latter aspect is parsimoniously modeled through the presence of an expected future interest...
Persistent link: https://www.econbiz.de/10013034503
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Assessing the Effects of a Policy Rate Shock on Market Interest Rates : Interest Rate Pass-Through with a FAVAR Model - The Case of Turkey for the Inflation-Targeting Period
Varlik, Serdar - 2018
The purpose of this paper is to investigate the effectiveness of the central bank's policy rate on market interest rates in Turkey for the inflation-targeting period. Empirical evidence suggests that (i) all interest rates respond to a positive policy rate shock positively for all periods and...
Persistent link: https://www.econbiz.de/10012915255
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International Transmission of the US Interest Rate Policy Shocks : Multi-Country Model Analysis Using FAVAR
Yim, Geung Hyung - 2018
This study analyzes the international transmission of US interest rate hikes using the factor-augmented autoregression model. To achieve this purpose, this study first identifies the shocks that result from the US interest rate policies and analyzes how these shocks impact the outputs and prices...
Persistent link: https://www.econbiz.de/10012907265
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Interest Rate Surprises : A Tale of Two Shocks
Nunes, Ricardo Cavaco; Ozdagli, Ali; Tang, Jenny - 2022
Interest rate surprises around FOMC announcements reveal both the surprise in the monetary policy stance (the pure policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the information shock). In order to disentangle the effects of...
Persistent link: https://www.econbiz.de/10013492595