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Monetary policy shocks, set-identifying restrictions, and asset prices : a benchmarking approach for analyzing set-identified models

Uhrin, Gábor B.; Herwartz, Helmut - 2016 - This version: November 17, 2016

A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …

Persistent link: https://www.econbiz.de/10011563120

The international dimension of an incomplete EMU

Ioannou, Demosthenes; Pagliari, Maria Sole; Stracca, Livio - 2020

This paper quantifies the economic influence that shocks to EMU cohesion, which in turn reflect the incomplete nature of the monetary union, have on the rest of the world. Disentangling euro area stress shocks and global risk aversion shocks based on a combination of sign, magnitude and...

Persistent link: https://www.econbiz.de/10012263010

Do We Reject Restrictions Identifying Fiscal Shocks? Identification Based on non-Gaussian Innovations

Karamysheva, Madina; Skrobotov, Anton - 2021

This paper is devoted to fiscal shock identification based on the assumption of nonGaussianity of the errors, which can …

Persistent link: https://www.econbiz.de/10013243553

Structural analysis with independent innovations

Herwartz, Helmut - 2014

Structural innovations in multivariate dynamic systems are typically hidden and often identified by means of a …-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish alternative … Gaussian framework of independent innovations, a loss statistic is proposed in this paper that allows to discriminate between …

Persistent link: https://www.econbiz.de/10010355109

A DSGE model of fiscal stabilizers and informality in Sub-Sahara Africa

Bondzie, Eric Amoo; Armah, Mark Kojo - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

This paper investigates the effects of fiscal impulses on macroeconomic variables within a New-Keynesian DSGE framework featuring an informal economy that allows for the examination of the effectiveness of automatic stabilizers in stimulating some selected sub-Saharan African (SSA) economies...

Persistent link: https://www.econbiz.de/10014500318

Monetary policy communication shocks and the macroeconomy

Goodhead, Robert; Kolb, Benedikt - 2018

Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...

Persistent link: https://www.econbiz.de/10011938122

Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity

Ozdagli, Ali - 2013

We present evidence of significant bias in event studies that investigate the effect of U.S. monetary policy on U.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which argues that an economy with a fixed exchange rate and...

Persistent link: https://www.econbiz.de/10013075805

Oil Price Fluctuations and the Small Open Economies of Southeast Asia : An Analysis Using Vector Autoregression with Block Exogeneity

Vu, Tuan Khai - 2019

We use a vector autoregressive model with block exogeneity to study the macroeconomic effects of oil price fluctuations for six small open economies in Southeast Asia. Our method has an advantage over those used in the literature in that it allows us to focus on the effects of oil shocks while...

Persistent link: https://www.econbiz.de/10012861977

Effect of trade shock on inequality, unemployment and inflation in Sub-Saharan Africa

Okoyeuzu, Chinwe; Kalu, Ebere Ume; Ukemenam, Angela Ifeanyi - In: International journal of business and globalisation : IJBG 33 (2023) 4, pp. 514-529

Persistent link: https://www.econbiz.de/10014232830

External shocks, US monetary policy and macroeconomic fluctuations in merging markets

Maćkowiak, Bartosz (contributor) - 2006

Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect quickly and strongly interest rates and the exchange rate in a typical emerging market. The price level and real output in...

Persistent link: https://www.econbiz.de/10003324420