Asymmetric effects of monetary policy with or without Quantitative Easing: Empirical evidence for the US

2013 ◽  
Vol 10 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Georgios Karras
Keyword(s):  
Monetary Policy ◽  
Empirical Evidence ◽  
Quantitative Easing ◽  
Asymmetric Effects ◽  
The Us

scholarly journals Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Zekeriya Yildirim ◽  
Mehmet Ivrendi
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Risk Taking ◽  
Large Scale ◽  
Emerging Market ◽  
Spillover Effects ◽  
International Financial Markets ◽  
Quantitative Easing ◽  
Unconventional Monetary Policy ◽  
The Us

AbstractThis study investigates the international spillover effects of US unconventional monetary policy (UMP)—frequently called large-scale asset purchases or quantitative easing (QE)—on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily data. Blinder (Federal Reserve Bank of St. Louis Rev 92(6): 465–479, 2010) argued that the QE measures primarily aim to reduce US interest rate spreads, such as term and risk premiums. Considering this argument and recent empirical evidence, we use two spreads as indicators of US UMP: the mortgage and term spreads. Based on data from 20 emerging and 20 advanced countries, our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risk-taking behavior of investors. This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world. The extent of these effects depends on the type of QE measures. QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread. Furthermore, the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.

scholarly journals Spillover effect of United States Monetary Policy on Nigeria’s Financial and Macro Fundamentals

2020 ◽  
pp. 111-145
Author(s):  
Patterson C. Ekeocha ◽  
Elias A. Udeaja
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Policy Process ◽  
Inflation Rate ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Conditional Variance ◽  
Quantitative Easing ◽  
External Shocks ◽  
The Us

This paper examines spillover effects of U.S monetary policy on macroeconomic fundamentals in Nigeria from January 1985 to December 2018. The study period is partitioned to account for conventional monetary policy (CMP) period, January 1985 to August 2007 and unconventional monetary policy (UMP) period, September 2007 to December 2018. Guided by relevant pre-tests, we find BEKK-VARMA-CCCMGARCH as the most appropriate model. The study finds significant spillover effects of U.S CMP and UMP on interest rate, exchange rate and inflation rate in Nigeria. We, however, observe that while CMP may be a significant accelerator of shocks persistence on interest rates and exchange rates, the extent to which the UMP accelerate shocks in inflation rate tends to vary for different measures of quantitative easing. Thus, in addition to past own shocks and past own conditional variance of these macro fundamentals, understanding their dynamics cannot be in isolation of their vulnerability to external shocks and volatility due to spillover effects of monetary actions in other economies. In formulating monetary policy, it is therefore, imperative for the Central Bank of Nigeria to monitor the monetary policy process of the US to hedge against shocks spillovers.

scholarly journals The Normalization of the European Central Bank’s Monetary Policy from an Austrian Perspective

2018 ◽  
pp. 359-371
Author(s):  
Leef H. Dierks
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Euro Area ◽  
Quantitative Easing ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Market Prices ◽  
European Central ◽  
The Us ◽  
Low Interest Rates

After several years of historically low interest rates and quantitative easing, the European Central Bank (ECB) has finally started wind-ing down its ultra-accommodative monetary policy in late 2018. Among the first steps tapering its asset purchase programme (APP), which foresees monthly purchases of up to €30bn per month until September 2018 — «or beyond, if necessary, and in any case until the Governing Council sees a sustained adjustment in the path of infla-tion consistent with its inflation aim» (ECB, 2018a). By then, pur-chases of euro area fixed income securities on behalf of the ECB will have mounted to as much as €2,550bn or almost 90% of euro area GDP (€2,834bn in market prices in Q4 2017, the latest date for which data were available (ECB, 2018b)). Further, according to market esti-mates, the first hike of the main refinancing rate, which was slashed to 0% in March 2016, could emerge in Q1 2019, thereby following a tightening of the monetary policy the US Federal Reserve (FED) had already started in December 2015 (FED, 2015).

On the asymmetries created by the Great Recession in the US real estate market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Achille Dargaud Fofack ◽  
Serge Djoudji Temkeng ◽  
Clement Oppong
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Real Estate ◽  
Great Recession ◽  
Real Estate Market ◽  
The Other ◽  
Quantitative Easing ◽  
Content Type ◽  
The Great Recession ◽  
The Us

PurposeThis paper aims at analyzing the asymmetries created by the Great Recession in the US real estate sector.Design/methodology/approachThis paper uses a Markov-switching dynamic regression model in which parameters change when the housing market moves from one regime to the other.FindingsThe results show that the effect of real estate loans, interest rate, quantitative easing and working age population are asymmetric across bull and bear regimes. It is also found that the estimated parameters are larger in bull regime than bear regime, indicating a tendency to create house price bubbles in bull market.Practical implicationsSince three of those asymmetric variables (real estate loans, interest rate and quantitative easing) are related to monetary policy, the Fed can mitigate their impact on an interest-sensitive sector such as housing by engaging in a countercyclical monetary policy.Originality/valueThe estimated intercept and the variance parameter both vary from one regime to the other, thus justifying the use of a regime-dependent model.

Asymmetric Effects on East Asian Financial Integration: Is There "Japanese Dominance"?

2007 ◽  
Vol 10 (02) ◽  
pp. 193-214 ◽  
Author(s):  
Ying Huang ◽  
Feng Guo
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Financial Integration ◽  
East Asian ◽  
Transmission Mechanism ◽  
Weak Version ◽  
Asymmetric Effects ◽  
The Us

This paper examines the extent of asymmetric effects and the hypothesis of Japanese dominance in East Asian financial integration by analyzing the transmission mechanism to local interest rates from interest rates originating in both Japan and the US. The results support a weak version of the hypothesis in the cases of Malaysia and Taiwan, since there exist unidirectional causality effects from Japan. In addition, empirical evidence indicates that the sensitivity of local interest rates to US interest rate has declined in Korea and Thailand after they abandoned pegged exchange rate regimes in the post-crisis period.

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