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Active driver or passive victim : on the role of international monetary policy transmission

Camehl, Annika; Schweinitz, Gregor von - Leibniz-Institut für Wirtschaftsforschung Halle - 2023

, and supply equations in a Bayesian structural panel vector autoregressive model. We formulate prior beliefs on magnitudes …

Persistent link: https://www.econbiz.de/10014025780

(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization … "almost recursively identified approach with parameter restrictions" leads to a solution that avoids an estimation bias …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme. …

Persistent link: https://www.econbiz.de/10013494039

(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023 - First Draft: January 9, 2023

Persistent link: https://www.econbiz.de/10013484715

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

Persistent link: https://www.econbiz.de/10011389786

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy...

Persistent link: https://www.econbiz.de/10012301353

Identifying monetary policy and central bank information shocks using high-frequency exchange rates

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019

This work investigates effects of conventional monetary policy and central bank information shocks from monetary policy announcements on the U.S. economy. We identify the surprises caused by changes in target rate and central bank’s private information embedded in high frequency exchange rate...

Persistent link: https://www.econbiz.de/10012304714

Monetary policy effects on equity returns : application of SVAR identified with high-frequency external instrument

Jang, Woon Wook - In: Journal of derivatives and quantitative studies : … 29 (2021) 4, pp. 319-331

The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow...

Persistent link: https://www.econbiz.de/10012658788

Macroeconomic effects of gender discrimination

Neyer, Ulrike; Stempel, Daniel - 2019

This paper theoretically analyzes the macroeconomic effects of gender discrimination against women in the labor market in a New Keynesian model. We extend standard frameworks by including unpaid household production in addition to paid labor market work, by assuming that the representative...

Persistent link: https://www.econbiz.de/10012062713

Exiting from quantitative easing

Hayashi, Fumio; Koeda, Junko - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 1069-1107

We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regimeswitching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is...

Persistent link: https://www.econbiz.de/10012049360