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Oil Prices, Monetary Policy and Inflation Surges

Gagliardone, Luca; Gertler, Mark - 2023

quantitative impact of the oil price shock is a low elasticity of substitution between oil and labor, which we estimate to be the …

Persistent link: https://www.econbiz.de/10014259670

Information effects of US monetary policy announcements on emerging economies : evidence from Mexico

Alba, Carlos; Carrillo, Julio A.; Ibarra-Ramírez, Raúl - 2024

and the stock market in the US around FOMC announcements. A restrictive monetary policy shock in the US is identified by … an increase in the interest rate and a drop in stock prices, while a positive information shock is identified when both …

Persistent link: https://www.econbiz.de/10015069701

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

Persistent link: https://www.econbiz.de/10014576665

Great recession, slow recovery and muted fiscal policies in the US

Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016

subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate …

Persistent link: https://www.econbiz.de/10011434680

Noisy information, interest rate shocks and the Great Moderation

Mayer, Eric; Scharler, Johann - 2010

In this paper we quantitatively evaluate the hypothesis that the Great Moderation is partly the result of a less activist monetary policy. We simulate a New Keynesian model where the central bank can only observe a noisy estimate of the output gap and fnd that the less pronounced reaction of the...

Persistent link: https://www.econbiz.de/10009240993

Shocks, frictions, and inequality in US business cycles

Bayer, Christian; Born, Benjamin; Luetticke, Ralph - 2020

How much does inequality matter for the business cycle and vice versa? Using a Bayesian likelihood approach, we estimate a heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice between liquid and illiquid assets. The model enlarges the set of shocks and...

Persistent link: https://www.econbiz.de/10012162730

Monetary Policy Shocks and Skill Differences in the U.S. Labor Market

Chaudhuri, Pritha - 2020

look at the effect of a contractionary monetary policy shock on unemployment rates of high and low-skill workers, finding …

Persistent link: https://www.econbiz.de/10012842815

Stock market evidence on the international transmission channels of US monetary policy surprises

Maurer, Tim Dominik; Nitschka, Thomas - 2021

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...

Persistent link: https://www.econbiz.de/10012520011

US monetary policy spillovers to European banks

Jung, Alexander - 2023

The Federal Reserve's (Fed) monetary policy announcements have created massive spillovers to global financial markets. Based on daily data for the sample from 1999 to 2019, this study finds that the Fed's monetary policy announcements created significant international spillovers to bond yields...

Persistent link: https://www.econbiz.de/10014483005

What can a New Keynesian labor matching model match?

Reicher, Christopher Phillip - 2009

A labor matching model with nominal rigidities can match short-run movements in labor's share with some success. However, it cannot explain much of the behavior of employment, vacancies, and job flows in postwar US data without resorting to additional shocks beyond monetary policy and...

Persistent link: https://www.econbiz.de/10003826579