scholarly journals U.S. Monetary Policy and the Global Financial Cycle

2020 ◽  
Vol 87 (6) ◽  
pp. 2754-2776 ◽  
Author(s):  
Silvia Miranda-Agrippino ◽  
Hélène Rey
Keyword(s):  
Monetary Policy ◽  
Financial Variables ◽  
Financial Cycle ◽  
Global Factor ◽  
Financial Conditions ◽  
The Us ◽  
Floating Exchange Rate ◽  
International Credit ◽  
Policy Shocks ◽  
Domestic Credit

Abstract U.S. monetary policy shocks induce comovements in the international financial variables that characterize the “Global Financial Cycle.” A single global factor that explains an important share of the variation of risky asset prices around the world decreases significantly after a U.S. monetary tightening. Monetary contractions in the US lead to significant deleveraging of global financial intermediaries, a decline in the provision of domestic credit globally, strong retrenchments of international credit flows, and tightening of foreign financial conditions. Countries with floating exchange rate regimes are subject to similar financial spillovers.

scholarly journals FINANCIAL SECTOR INTERCONNECTEDNESS AND MONETARY POLICY TRANSMISSION

2018 ◽  
Vol 23 (3) ◽  
pp. 1074-1101
Author(s):  
Alessandro Barattieri ◽  
Maya Eden ◽  
Dalibor Stevanovic
Keyword(s):  
Monetary Policy ◽  
Vector Autoregression ◽  
The United States ◽  
Structural Vector Autoregression ◽  
Net Worth ◽  
Financial Variables ◽  
Us Economy ◽  
The Us ◽  
Policy Shocks ◽  
Using Data

We present a stylized model that illustrates how interbank trading can reduce the sensitivity of lending to entrepreneurs' net worth, thus affecting the transmission mechanism of monetary policy through the credit channel. We build a model-consistent measure of interconnectedness and document that, in the United States, this measure has increased substantially during the period 1952–2016. Finally, interacting the measure of interconnectedness in a structural vector autoregression and a factor-augmented vector autoregression for the US economy, we find that the impulse responses of several real and financial variables to monetary policy shocks are dampened as interconnectedness increases. We confirm the same result using data from 10 Euro area countries for the period 1999–2016.

scholarly journals The Global Financial Cycle after Lehman

2020 ◽  
Vol 110 ◽  
pp. 523-528
Author(s):  
Silvia Miranda-Agrippino ◽  
Hélène Rey
Keyword(s):  
Monetary Policy ◽  
Information Content ◽  
Yield Curve ◽  
International Transmission ◽  
Information Effects ◽  
Financial Activity ◽  
Financial Cycle ◽  
The Us ◽  
Policy Shocks ◽  
Us Monetary Policy

Did the effect of US monetary policy on the global financial cycle change after the crisis? We analyze the international transmission of the Fed's policy shocks since 2009. We find similar effects for the policies that act mostly on the short end of the US yield curve. But there is evidence of potent information effects active at the long end. Lower ten-year Treasury yields are associated with weaker global financial activity and flight to safety. The information content of the VIX may have changed substantially since the crisis.

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.

Financial conditions and monetary policy in the US

2020 ◽  
Vol 44 (4) ◽  
pp. 100819
Author(s):  
Sel Dibooglu ◽  
Seyfettin Erdogan ◽  
Durmus Cagri Yildirim ◽  
Emrah Ismail Cevik
Keyword(s):  
Monetary Policy ◽  
Financial Conditions ◽  
The Us

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 Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector

2019 ◽  
Vol 11 (10) ◽  
pp. 2776 ◽  
Author(s):  
Rangan Gupta ◽  
Zhihui Lv ◽  
Wing-Keung Wong
Keyword(s):  
Monetary Policy ◽  
Decomposition Analysis ◽  
Monetary Policy Shocks ◽  
Macroeconomic Shocks ◽  
Vector Autoregressive ◽  
The Us ◽  
Policy Shocks ◽  
Time Regime ◽  
Variance Decomposition Analysis ◽  
The Impact

Unlike the existing literature, which primarily studies the impact of only monetary policy shocks on real estate investment trusts (REITs), this paper develops a change-point vector autoregressive (VAR) model and then analyzes, for the first time, regime-specific impact of demand, supply, monetary policy, and spread yield shocks, identified using sign-restrictions, on US REITs returns. The model first isolates four major macroeconomic regimes in the US since the 1970s and discloses important changes to the statistical properties of REITs returns and its responses to the identified shocks. A variance decomposition analysis revealed aggregate supply shocks to have dominated in the early part of the sample period, and monetary policy and spread shocks at the end. Our results imply that ignoring other possible shocks in the model is likely to lead to incorrect inferences, and over-reliance on (conventional) monetary policy in correcting for possible bubbles in the REITs sector, which it will fail to rectify, given the importance of other shocks driving the REITs sector.

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