Production network structure and the impact of the monetary policy shocks: Evidence from the OECD

2020 ◽  
Vol 193 ◽  
pp. 109271
Author(s):  
Petre Caraiani ◽  
Adriana Dutescu ◽  
Răzvan Hoinaru ◽  
Georgiana Oana Stănilă
Keyword(s):  
Monetary Policy ◽  
Network Structure ◽  
Production Network ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Impact

scholarly journals Monetary Policy Effects on Energy Sector Bubbles

Energies ◽  
2019 ◽  
Vol 12 (3) ◽  
pp. 472
Author(s):  
Petre Caraiani ◽  
Adrian Călin
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Asset Prices ◽  
The United States ◽  
Energy Sector ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Difference ◽  
The Interest Rate ◽  
The Impact

We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and bubbles. The energy sector is measured through the S&P Energy Index, while bubbles are measured through the difference between asset prices and the corresponding dividends for the energy sector. We find significant differences in the impact of monetary policy shocks for the aggregate economy and for the energy sector. The findings seem sensitive to the interest rate use, i.e., whether one uses the shadow interest rate or the long-term interest rate.

Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns

2019 ◽  
Vol 33 (9) ◽  
pp. 4367-4402 ◽  
Author(s):  
Sudheer Chava ◽  
Alex Hsu
Keyword(s):  
Monetary Policy ◽  
Cross Section ◽  
Equity Returns ◽  
Monetary Policy Shocks ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Oxford University ◽  
Policy Shocks ◽  
The Cross ◽  
The Impact

Abstract We analyze the impact ofa unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flow news, but not discount rate news, for constrained firms relative to unconstrained firms. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Firm Size, Industry Mix and the Regional Transmission of Monetary Policy in Germany

2004 ◽  
Vol 5 (1) ◽  
pp. 35-59 ◽  
Author(s):  
Ivo J. M. Arnold ◽  
Evert B. Vrugt
Keyword(s):  
Monetary Policy ◽  
Firm Size ◽  
Structural Features ◽  
Regional Economies ◽  
Monetary Policy Shocks ◽  
Regional Effects ◽  
Real Gdp ◽  
Interest Rate Shocks ◽  
Policy Shocks ◽  
The Impact

Abstract This paper estimates the impact of interest rate shocks on regional output in Germany over the period from 1970 to 2000. We use a vector autoregression (VAR) model to obtain impulse responses, which reveal differences in the output responses to monetary policy shocks across ten German provinces. Next, we investigate whether these differences can be related to structural features of the regional economies, such as industry mix, firm size, bank size and openness. An additional analysis of the volatility of real GDP growth for the period 1992-2000 includes the Eastern provinces. We also present evidence on the interrelationship between firm size and industry, and compare our measure of firm size with those used in previous studies. We conclude that the differential regional effects of monetary policy are related to industrial composition, but not to firm size or bank size.

Do foreign banks in India respond to global monetary policy shocks? A SVAR analysis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ameen Omar Shareef ◽  
K.P. Prabheesh
Keyword(s):  
Monetary Policy ◽  
Bank Lending ◽  
Foreign Bank ◽  
Foreign Banks ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Indian Economy ◽  
Policy Shocks ◽  
The Impact

Purpose This paper aims to examine the role of foreign banks in transmitting global monetary policy shocks to India. Further, the authors try to explore the international bank lending channel and analyze the impact of global monetary policy on Indian macroeconomic variables. Design/methodology/approach The authors use a structural break unit root test and structural vector autoregression on monthly data from 1998 to 2018. Findings The study finds that the global monetary policy is significantly determining foreign banks’ lending in India; the evidence of a portfolio re-balancing channel in the process of global monetary policy transmission to the Indian economy; the exchange rate is significantly explaining the foreign bank credit dynamism in India; and evidence of international monetary policy spillover to the Indian economy. Originality/value This is the first attempt to analyze the role of foreign banks in the transmission of global monetary policy shocks to India, where the literature availability is limited. The finding of ineffective domestic monetary policy on foreign bank lending opens the need for an in-depth and diversified analysis of the role of foreign banks in the transmission of domestic monetary policy.

Monetary policy influences in Australian housing markets

2015 ◽  
Vol 8 (2) ◽  
pp. 265-286 ◽  
Author(s):  
Gregory Costello ◽  
Patricia Fraser ◽  
Garry MacDonald
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
House Prices ◽  
Housing Markets ◽  
Empirical Method ◽  
Capital City ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Policy Shocks ◽  
The Impact

Purpose – This paper aims to analyze the impact of common monetary policy shocks on house prices at national and capital city levels of aggregation, using Australian data and the Lastrapes (2005) two-part structural vector autoregressive (SVAR) empirical method. Design/methodology/approach – The Lastrapes (2005) two-part SVAR empirical method is applied to Australian housing market and macroeconomic data to assess the impact of common monetary policy shocks on house prices. Findings – Results show that while the impact of shocks to interest rates on aggregate house prices is almost neutral, the responses of state capital city house prices to the same shock can exhibit significant asymmetries. Originality/value – This paper contributes to the monetary policy–asset price debate by examining the influence of Australian monetary policy on capital city housing markets over the period 1982-2012. To the authors’ knowledge, this is the first empirical study that has adapted this Lastrapes (2005) methodology to the analysis of housing markets.

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