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Macroeconomic effects of unconventional monetary policy (2011)
| Venue: | in the Euro Area, ECB Working Paper No. 1397 |
| Citations: | 19 - 0 self |
Citations
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The Federal funds rate and the channels of monetary transmission
- Bernanke, Blinder
- 1992
(Show Context)
Citation Context ...itional interest rate innovations are broadly in line with the pre-EMU VAR evidence on the monetary transmission mechanism (e.g. Peersman and Smets 2003), and the existing evidence for the U.S. (e.g. =-=Bernanke and Blinder 1992-=-, Bernanke and Mihov 1995, or Christiano, Eichenbaum and Evans 1999). An unexpected fall in the policy rate tends to be followed by a temporary rise in economic activity after a few months. The e�ect ... |
| 386 | Inference in linear time series models with some unit roots - Sims, Stock, et al. - 1990 |
| 344 | Measuring monetary policy. The Quarterly - Bernanke, Mihov - 1998 |
| 246 | What are the effects of monetary policy on output? evidence from an agnostic identification procedure,
- Uhlig
- 2005
(Show Context)
Citation Context ...to be a liquidity effect for bank reserves after an interest rate innovation.18 Such a liquidity effect is often used in the literature to identify monetary policy shocks with sign restrictions (e.g. =-=Uhlig 2005-=- or Canova and De Nicoló 2002). In particular, these studies identify a monetary policy shock as a disturbance that moves the policy rate and bank reserves in the opposite direction. However, bank res... |
| 172 | The Identi…cation of Monetary Policy Disturbances: Explaining the Liquidity Puzzle, - Strongin - 1995 |
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2010a), The Economics of Money
- Mishkin
(Show Context)
Citation Context ...oth monetary policy shocks is particularly interesting. A potential explanation is the popular risk-taking channel of monetary transmission. Notice �rst that, according to traditional textbooks (e.g. =-=Mishkin 2010-=-; Walsh 2010), expansionary monetary policy is expected to have a downward impact on the credit multiplier. Speci�cally, when interest rates fall, households typically hold more currency relative to i... |
| 63 | Financial intermediaries and monetary economics. In
- Adrian, Shin
- 2010
(Show Context)
Citation Context ...signi�cantly for a rise in bank lending which is caused by an expansion in the monetary base. Both features are consistent with a possible stronger risk-taking channel following interest rate shifts (=-=Adrian and Shin 2010-=-; Borio and Zhu 2008). The rest of the paper is structured as follows. In the next section, I discuss the benchmark VAR model, data and identi�cation strategy that will be used for the estimations. Th... |
| 63 |
What Are the E¤ects of Monetary Policy on Output? Results from an Agnostic Identi Procedure
- Uhlig
- 2005
(Show Context)
Citation Context ... to be a liquidity e�ect for bank reserves after an interest rate innovation. 18 Such a liquidity e�ect is often used in the literature to identify monetary policy shocks with sign restrictions (e.g. =-=Uhlig 2005-=- or Canova and De Nicoló 2002). In particular, these studies identify a monetary policy shock as a disturbance that moves the policy rate and bank reserves in the opposite direction. However, bank res... |
| 54 | A black swan in the money market. - Taylor, Williams - 2009 |
| 50 | A model of unconventional monetary policy,” working paper, - Gertler, Karadi - 2009 |
| 50 | Smets (2003), "The monetary transmission mechanism in the euro area: evidence from VAR analysis - Peersman, F |
| 38 | Resolving the Liquidity Effect”, - Pagan, Robertson - 1995 |
| 37 | Unconventional monetary policy: An appraisal, BIS Working Papers No. - Borio, Disyatat - 2009 |
| 28 | 2009), "Unconventional monetary policies: an appraisal", BIS Working Papers, No. 292. 19To limit computational time, the plotted posterior probability regions are only based on 250 instead of 1000 draws - Borio, Disyatat |
| 22 | 2002): “Direct E¤ects of Base Money on Aggregate Demand: Theory and - Nelson |
| 21 | 2008), ―Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?‖ BIS Working Paper No - Borio, Zhu |
| 18 | monetary policy and the business cycle in the euro area", mimeo - Giannone, Lenza, et al. |
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| 4 | 2006), "Stability first: reflections inspired by Otmar Issing’s success at the ECB’s Chief Economist", NBER Working Paper - Gaspar, Kashyap |
| 3 | Resolving the Liquidity E¤ect - Pagan, Robertson - 1995 |
| 2 |
Monetary theory and policy", MIT-Press, third edition
- Walsh
- 2010
(Show Context)
Citation Context ...olicy shocks is particularly interesting. A potential explanation is the popular risk-taking channel of monetary transmission. Notice �rst that, according to traditional textbooks (e.g. Mishkin 2010; =-=Walsh 2010-=-), expansionary monetary policy is expected to have a downward impact on the credit multiplier. Speci�cally, when interest rates fall, households typically hold more currency relative to interest-bear... |
| 1 | 2006), "Stability �rst: re�ections inspired by Otmar Issing’s success at the ECB’s Chief Economist", NBER Working Paper - Gaspar, Kashyap |
| 1 | Credit Multiplier Shocks and the Euro Area Business Cycle", manuscript - Peersman - 2011 |
