Monetary policy shocks and Cholesky VARs: an assessment for the Euro area

2015 ◽  
Vol 50 (2) ◽  
pp. 383-414 ◽  
Author(s):  
Efrem Castelnuovo
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Monetary Policy Shocks ◽  
Policy Shocks

scholarly journals Shadow banks and the risk-taking channel of monetary policy transmission in the euro area

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Arina Wischnewsky ◽  
Matthias Neuenkirch
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Risk Taking ◽  
Banking Sector ◽  
Shadow Banking ◽  
Monetary Policy Transmission ◽  
Monetary Policy Shocks ◽  
Shadow Banks ◽  
Policy Transmission ◽  
Policy Shocks

AbstractWe provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks’ total asset growth and their risk assets ratio. Our dataset covers the period 2000Q1–2018Q3 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro area as a whole, we find a portfolio reallocation effect towards riskier assets and evidence for a general expansion of assets. Both effects last for roughly six quarters in the case of conventional monetary policy shocks, whereas for unconventional monetary policy shocks the responses are significant for two quarters only. Country-specific as well as sector-specific estimations confirm these findings for most of the euro area countries and all non-bank types, but also reveal some heterogeneity in the reaction of financial institutions.

scholarly journals Effects of monetary policy shocks on income mobility in the Euro area countries

2019 ◽  
Vol 66 (3) ◽  
pp. 307-324
Author(s):  
Elena Bárcena-Martín ◽  
Natalia Martín-Fuentes ◽  
Salvador Pérez-Moreno
Keyword(s):  
Monetary Policy ◽  
Middle Class ◽  
Euro Area ◽  
Upward Mobility ◽  
Lower Class ◽  
Income Group ◽  
Income Mobility ◽  
Monetary Policy Shocks ◽  
Downward Mobility ◽  
Policy Shocks

This paper examines the impacts of monetary policy shocks on income mobility in the Euro area, relying on earnings heterogeneity and income composition channels through which monetary policy affects income distribution. From a relative mobility perspective, upward and downward mobility are estimated over the period 2004-2014 for the EMU countries that originated the Economic and Monetary Union (EMU 1999). By using a vector error correction model (VECM) approach, overall we find that an expansionary monetary policy seems to encourage upward mobility and discourage downward mobility. By income groups, a loose monetary policy appears to reduce downward mobility for the upper class, while no empirical evidence can be provided to support that monetary policy shocks alter upward mobility for the lower class. Monetary policy shocks are especially favourable for the middle class as an expansionary monetary policy seems to boost upward mobility. A detailed analysis of the middle class shows that an expansionary monetary policy may propel the upward mobility and hinder the downward mobility of the lower-middle class, particularly favouring this income group.

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