scholarly journals Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

2018 ◽  
Vol 10 (2) ◽  
pp. 14 ◽  
Author(s):  
Shigeki Ono
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Federal Funds Rate ◽  
Monetary Policies ◽  
Endogenous Variables ◽  
Policy Shocks ◽  
Monetary Policy Shock

This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

scholarly journals The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

2015 ◽  
Vol 7 (1) ◽  
pp. 233-257 ◽  
Author(s):  
Jordi Galí ◽  
Luca Gambetti
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Equity Premium ◽  
Monetary Policy Shocks ◽  
Conventional View ◽  
Varying Coefficients ◽  
Stock Market Bubbles ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Time Varying Coefficients

We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is at odds with the “conventional” view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence can be accounted for by an endogenous response of the equity premium to the monetary policy shock. (JEL E43, E44, E52, G12, G14)

scholarly journals Impacts of conventional and unconventional US monetary policies on global financial markets

2019 ◽  
Vol 17 (1) ◽  
pp. 1-24
Author(s):  
Shigeki Ono
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Monetary Policies ◽  
Vector Autoregressive ◽  
The World ◽  
Zero Rate ◽  
Monetary Policy Shock ◽  
Push Down ◽  
Global Vector

AbstractThis paper investigates the impacts of conventional and unconventional US monetary policies on global financial markets, using the global vector autoregressive (GVAR) model from 2004 through 2017. The impulse response results suggest unconventional easing had little effect on stock prices as in conventional easing while the responses of interest rates indicate liquidity was provided throughout the world. An unconventional US monetary tightening policy shock could effectively affect the stock prices of the world as is the case with a conventional US monetary tightening shock. Furthermore, the transmission of a US monetary policy shock to stock prices via exchange rates tends to attenuate the decrease in stock prices both in the conventional and unconventional tightening (the exit from a zero rate) phases. On the other hand, the transmission tends to push down stock prices in the conventional, unconventional monetary easing and the unconventional tightening (the shadow rate is negative) phases.

scholarly journals Identifying and estimating the effects of unconventional monetary policy: How to do it and what have we learned?

2020 ◽  
Author(s):  
Barbara Rossi
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Interest Rates ◽  
Zero Lower Bound ◽  
Monetary Policy Shocks ◽  
Monetary Policies ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Recent Financial Crisis ◽  
Monetary Policy Transmission Mechanism

Summary The recent financial crisis led central banks to lower their interest rates in order to stimulate the economy until they hit the zero lower bound. How should one identify monetary policy shocks in unconventional times? Are unconventional monetary policies as effective as conventional ones? And has the monetary policy transmission mechanism changed in the zero lower bound era? This article aims to provide an overview of the econometric challenges of and the solutions to the identification of monetary policy shocks in unconventional times as well as a survey of their empirical effects on the economy.

scholarly journals The Effect of FOMC Votes on Financial Markets

2019 ◽  
Vol 101 (5) ◽  
pp. 921-932
Author(s):  
Carlos Madeira ◽  
João Madeira
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Open Market ◽  
Federal Open Market Committee ◽  
2008 Financial Crisis ◽  
Treasury Securities ◽  
Stock Market Reaction

This paper shows that since votes of members of the Federal Open Market Committee have been included in press statements, stock prices increase after the announcement when votes are unanimous but fall when dissent (which typically is due to preference for higher interest rates) occurs. This pattern started prior to the 2007–2008 financial crisis. The differences in stock market reaction between unanimity and dissent remain, even controlling for the stance of monetary policy and consecutive dissent. Statement semantics also do not seem to explain the documented effect. We find no differences between unanimity and dissent with respect to impact on market risk and Treasury securities.

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.

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.

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.

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.

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