Unconventional Monetary Policy Shocks and the Spillovers to Emerging Markets

2014 ◽  
Author(s):  
Peter Tillmann
Keyword(s):  
Monetary Policy ◽  
Emerging Markets ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Policy Shocks

US unconventional monetary policy and Islamic equity indices

2018 ◽  
Vol 11 (4) ◽  
pp. 575-590 ◽  
Author(s):  
Sayyed Mahdi Ziaei
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Large Scale ◽  
Empirical Work ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Term Spread ◽  
Us Economy ◽  
Policy Shocks

Purpose This paper aims to constitute to the first empirical work that investigated the effects of US unconventional monetary policy shocks on Islamic equities. Design/methodology/approach The authors used the spread between sovereign (term spread) and corporate (corporate spread) yields as proxies of unconventional monetary policy in times that FED implemented different rounds of large-scale asset purchasing programs. Findings This paper demonstrates that monetary policy shocks have significant effects on Islamic equities. The analysis showed substantial evidence that the corporate spread innovation was reflected as a positive signal in Islamic equity markets and has a larger impact on Islamic low leverage equities than term spread. Originality/value The objective of this paper is to shed some insight into the effects of US unconventional monetary policy on low leverage financial assets. It is hypothesized that during this period, specifically from November 2008, unconventional monetary policy and zero bound interest rates have been implemented in the US economy. However, the strength of effects of this range of policies on Islamic financial products is unidentified.

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 Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

2020 ◽  
Author(s):  
Nikolay Hristov ◽  
Oliver Hülsewig ◽  
Johann Scharler
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Policy Shocks

scholarly journals The Impact of Unconventional Monetary Policy Shocks on Energy Prices

2020 ◽  
pp. 743-764
Author(s):  
Panagiota Makrychoriti ◽  
Georgios Moratis ◽  
Spyros Spyrou
Keyword(s):  
Monetary Policy ◽  
Energy Prices ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Impact

Monetary Policy Spillovers across the Pacific when Interest Rates Are at the Zero Lower Bound

2016 ◽  
Vol 15 (3) ◽  
pp. 1-27 ◽  
Author(s):  
Edda Claus ◽  
Iris Claus ◽  
Leo Krippner
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Interest Rates ◽  
The United States ◽  
Asset Markets ◽  
Zero Lower Bound ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Short Term ◽  
Policy Shocks

To conduct monetary policy effectively, central banks need to understand the transmission of monetary policy into financial markets. In this paper we investigate the effects of Japanese and U.S. monetary policy shocks on their own asset markets, and the spillovers into each other's markets. Because short-term nominal interest rates have been effectively zero in Japan since January 1998 and in the United States from late 2008, however, monetary policy shocks cannot be quantified by considering observable changes in short-term market interest rates. Therefore, in our analysis we use a shadow short rate―a quantitative measure of overall conventional and unconventional monetary policy that is estimated from the term structure of interest rates. Our results suggest that the operation of monetary policy at the zero lower bound of interest rates alters the transmission of shocks. In particular, we find a limited response of exchange rates during the first episode of unconventional monetary policy in Japan but a significant impact since 2006.

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