scholarly journals The Transmission of Monetary Policy Shocks

2021 ◽  
Vol 13 (3) ◽  
pp. 74-107
Author(s):  
Silvia Miranda-Agrippino ◽  
Giovanni Ricco
Keyword(s):  
Monetary Policy ◽  
High Frequency ◽  
Domestic Demand ◽  
Monetary Policy Shocks ◽  
Policy Action ◽  
Signaling Effect ◽  
State Of The Economy ◽  
Policy Shocks ◽  
Effect Of Monetary Policy ◽  
Transmission Of Monetary Policy

Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signaling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions as well as of asset prices and agents’ expectations. (JEL D82, D84, E32, E43, E52, E58, G12)

scholarly journals Monetary Policy Surprises, Credit Costs, and Economic Activity

2015 ◽  
Vol 7 (1) ◽  
pp. 44-76 ◽  
Author(s):  
Mark Gertler ◽  
Peter Karadi
Keyword(s):  
Monetary Policy ◽  
High Frequency ◽  
Monetary Policy Shocks ◽  
Var Analysis ◽  
Financial Variables ◽  
Forward Guidance ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Term Premia ◽  
Transmission Of Monetary Policy

We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. We first show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are typical in monetary VAR analysis. We also find, however, that the resulting “modest” movements in short rates lead to “large” movements in credit costs, which are due mainly to the reaction of both term premia and credit spreads. Finally, we show that forward guidance is important to the overall strength of policy transmission. (JEL E31, E32, E43, E44, E52, G01)

scholarly journals The role of foreign banks in the transmission of monetary policy: Empirical evidence from Tunisia

2021 ◽  
Vol 66 (228) ◽  
pp. 101-122
Author(s):  
Mohamed Gassouma ◽  
Kais Ben-Ahmed
Keyword(s):  
Monetary Policy ◽  
Concentration Index ◽  
Foreign Banks ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Credit Supply ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Effect Of Monetary Policy ◽  
Transmission Of Monetary Policy

This paper presents an empirical analysis of the effect of monetary policy shocks on credit supply in Tunisia, using a vector autoregressive model and a nonlinear interactive model. The focus is on the magnitude of these shocks in the presence of foreign banks. The variables of interest are the concentration index of deposit banks, and monetary policy shocks based on the monthly data of 27 universal and business banks covering the period 1993 to 2016. The results support a positive and significant impact of concentration index on credit supply. However, monetary policy shocks appear to have no significant effect when the market is concentrated with the entry of foreign banks. The findings of this study also reveal that the entry of foreign banks neutralises monetary policy shock transmission in the credit supply, which may be offset by market discipline.

TRANSMISSION OF MONETARY POLICY SHOCKS: DO INPUT–OUTPUT INTERACTIONS MATTER?

2019 ◽  
Vol 24 (8) ◽  
pp. 1881-1903
Author(s):  
Aarti Singh ◽  
Stefano Tornielli Di Crestvolant
Keyword(s):  
Monetary Policy ◽  
Spillover Effects ◽  
Intermediate Goods ◽  
Input Output ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
New Evidence ◽  
Transmission Of Monetary Policy

We examine whether input–output interactions among industries impact the transmission of monetary policy shocks through the economy. Using vector autoregressive (VAR) methods we find evidence of heterogeneity in the output response to a monetary policy shock in both finished goods industries and intermediate goods industries. While output responses in finished goods industries can be related to heterogeneity in industry characteristics, this relationship is not so obvious for intermediate goods industries. For the intermediate goods industries in our sample, we find new evidence of demand-spillover effects that impact the transmission of monetary policy via input–output linkages.

scholarly journals Transmission of monetary policy shocks in small open emerging market economies

2021 ◽  
Vol 52 (4) ◽  
pp. 37-65
Author(s):  
M.Ye. Mamonov ◽  
◽  
A.A. Pestova ◽  
◽  
Keyword(s):  
Monetary Policy ◽  
Open Economy ◽  
Emerging Market ◽  
Emerging Market Economies ◽  
Monetary Shocks ◽  
Large Set ◽  
Monetary Policy Shocks ◽  
Market Economies ◽  
Policy Shocks ◽  
Transmission Of Monetary Policy

In this paper, we compare the transmission of monetary policy shocks using quarterly data for 13 emerging market economies (EMEs) with that in a benchmark advanced open economy, the United Kingdom, in the periods of inflation targeting (from 1990s onward). To estimate the transmission within a given country, we specify a monetary VAR-model and we extend it with a variable reflecting commodities terms of trade. We identify monetary policy shocks using a sign restriction scheme: a restrictive shock is determined as an unexpected rise of policy rate and reduction of inflation (CPI) and money demand (M2). We apply the Bayesian approach to estimating VARs to address the curse of dimensionality. Our results indicate that monetary policy in EMEs is not less efficient comparable to the U.K.: restrictive monetary shocks decrease inflation but also lead to a slowdown of GDP and stock market outflows. Overall, our findings add to the debate on the real effects of monetary policy surprises with a special attention to a large set of EMEs.

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