scholarly journals The Effect of Monetary Policy on Commodity Prices: Disentangling the Evidence for Individual Prices

2014 ◽  
Vol 2014 ◽  
pp. 1-13 ◽  
Author(s):  
Carolina Arteaga Cabrales ◽  
Joan Camilo Granados Castro ◽  
Jair Ojeda Joya
Keyword(s):  
Monetary Policy ◽  
Commodity Prices ◽  
Structural Var ◽  
Monetary Policy Shocks ◽  
Long Run ◽  
The Us ◽  
Policy Shocks ◽  
The Individual ◽  
Effect Of Monetary Policy ◽  
Positive Effect

We study the effect of monetary policy shocks on commodity prices. While most of the literature has found that expansionary shocks have a positive effect on aggregate price indices, we study the effect on individual prices of a sample of four commodities. This set of commodity prices is essential to understand the dynamics of the balance of payments in Colombia. The analysis is based on structural VAR models; we identify monetary policy shocks following Kim (1999, 2003) upon quarterly data for commodity prices and their fundamentals for the period from 1980q1 to 2010q3. Our results show that commodity prices overshoot their long run equilibrium in response to a contractionary shock in the US monetary policy and, in contrast with literature, the response of the individual prices considered is stronger than what has been found in aggregate indices. Additionally, it is found that the monetary policy explains a substantial share of the fluctuations in prices.

scholarly journals Pengaruh Guncangan Kebijakan Moneter dan Variabel Makro Terhadap Dana Pihak Ketiga (DPK) Bank Syariah di Indonesia

2017 ◽  
Vol 4 (8) ◽  
pp. 642
Author(s):  
Mohammad Abdul Adim ◽  
Raditya Sukmana
Keyword(s):  
Monetary Policy ◽  
Secondary Data ◽  
Islamic Banks ◽  
Monetary Policy Shocks ◽  
Financial Reports ◽  
Vector Autoregressive ◽  
Long Run ◽  
Policy Shocks ◽  
Short Run ◽  
Effect Of Monetary Policy

The purpose of this research is to find out the effect of monetary policy shocks and macro variables towards Islamic banks deposits. The method that used in this researc his quantitative method and also using secondary data which obtained from financial reports and other reports started from 2005 until the end of 2015. Analysis technique used is Johansen Cointegration and Vector Autoregressive (VAR). The result are monetary policy shocks have affect significant on deposits Islamic banks in long run and short run. Furthermore, variables macroeckonomic like GDP and CPI have effect significant on deposits in Islamic banks. interestingly, the money supply in the long run have significant effect on Islaimc banks deposits, but in the short run does not have a significant effect on the deposits of Islamic banks.

scholarly journals Limited Participation in Equity Markets and Business Cycles

2021 ◽  
Vol 2021 (026) ◽  
pp. 1-79
Author(s):  
Juan M. Morelli ◽  
Keyword(s):  
Monetary Policy ◽  
Equity Markets ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Limited Participation ◽  
Macroeconomic Shocks ◽  
Us Economy ◽  
The Us ◽  
Policy Shocks ◽  
The Individual

This paper studies how the rise in US households' participation in equity markets affects the transmission of macroeconomic shocks to the economy. I embed limited participation into a New Keynesian framework for the US economy to analyze the individual and aggregate effects of higher participation. I derive three main results. First, participants are relatively more responsive to shocks than nonparticipants. Second, higher participation reduces the effectiveness of monetary policy. Third, with higher participation the economy becomes less volatile. I contrast key predictions of my model with new micro-level empirical evidence on the response of consumption to monetary policy shocks.

Is bigger more effective? shock size and the efficacy of monetary policy

2021 ◽  
pp. 1-10
Author(s):  
Toyoichiro Shirota
Keyword(s):  
Monetary Policy ◽  
Projection Method ◽  
Monetary Policy Shocks ◽  
Information Effect ◽  
Local Projection ◽  
Policy Effects ◽  
Potential Source ◽  
The Us ◽  
Policy Shocks ◽  
Us Monetary Policy

Abstract This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.

scholarly journals Identifying conventional and unconventional monetary policy shocks: a latent threshold approach

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Takeshi Kimura ◽  
Jouchi Nakajima
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Regime Switching ◽  
Structural Var ◽  
Var Model ◽  
Recursive Identification ◽  
Time Varying ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Policy Shocks

AbstractThis paper proposes a new estimation framework for identifying monetary policy shocks in both conventional and unconventional policy regimes using a structural VAR model. Exploiting a latent threshold modeling strategy that induces time-varying shrinkage of the parameters, we explore a recursive identification switching with a time-varying overidentification for the interest rate zero lower bound. We empirically analyze Japan’s monetary policy to illustrate the proposed approach for modeling regime-switching between conventional and unconventional monetary policy periods, and find that the proposed model is preferred over a nested standard time-varying parameter VAR model. The estimation results show that increasing bank reserves lowers long-term interest rates in the unconventional policy periods, and that the impulse responses of inflation and the output gap to a bank reserve shock appear to be positive but highly uncertain.

scholarly journals Stock and Bond Market Liquidity: A Long-Run Empirical Analysis

2009 ◽  
Vol 44 (1) ◽  
pp. 189-212 ◽  
Author(s):  
Ruslan Y. Goyenko ◽  
Andrey D. Ukhov
Keyword(s):  
Monetary Policy ◽  
Market Liquidity ◽  
Bond Markets ◽  
Monetary Policy Shocks ◽  
Short Term ◽  
Flight To Quality ◽  
Long Run ◽  
Treasury Bond ◽  
Policy Shocks ◽  
Policy Impacts

AbstractThis paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquidity acts as a channel through which monetary policy shocks are transferred into the stock market. These effects are observed across illiquidity of bonds of different maturities and are especially pronounced for illiquidity of short-term maturities. The paper provides evidence of illiquidity integration between stock and bond markets.

Monetary policy shocks and real commodity prices

2013 ◽  
Vol 13 (1) ◽  
Author(s):  
Christopher Phillip Reicher ◽  
Johannes Friederich Utlaut
Keyword(s):  
Monetary Policy ◽  
Commodity Prices ◽  
Monetary Policy Shocks ◽  
Policy Shocks
Sign in / Sign up

Export Citation Format

Share Document