Response of Business and Consumer Confidence to 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.

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Three essays on China's housing market, monetary policy and macroeconomy

10.32469/10355/70039 ◽

2019 ◽

Author(s):

◽

Yifeng Jia

Keyword(s):

Monetary Policy ◽

Housing Market ◽

Negative Impact ◽

House Price ◽

Housing Price ◽

Policy Instruments ◽

Heterogeneous Effects ◽

Price Appreciation ◽

Economic Stimulus ◽

Monetary Policy Shock

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT REQUEST OF AUTHOR.] This dissertation studies China's housing market and macroeconomic activity with a strong focus on the role of monetary policy behind the markets. The first two chapters concentrate on the house price dynamics in China. Chapter 1 examines the in influence of monetary policy on China's housing price fluctuation by estimating a VAR model with China's aggregated house price data from 1998Q1 to 2015Q4. The monetary policy shock is identify ed by the sign restriction approach following Uhlig (2005), with the identification assumptions extended to three common policy instruments utilized by the central bank of China: interest rate, required reserve ratio and M2. The results suggest a negative impact of a contractionary monetary policy shock on the house price, and M2 tends to be the most effective monetary instruments in terms of policy transmission. The framework is also extended to examine the link between China's 2008 government economic stimulus plan and the subsequent house price appreciation. The obtained evidence suggests that the economic stimulus props up the house price, but its contribution to the post-2008 house price appreciation is not as prominent as indicated by other relevant studies. However, this discrepancy may be explained by the heterogeneous effects of the stimulus policy on local housing markets across China

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

Macroeconomic Dynamics ◽

10.1017/s1365100519000038 ◽

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.

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The Missing Link: Monetary Policy and The Labor Share

Journal of the European Economic Association ◽

10.1093/jeea/jvaa034 ◽

2020 ◽

Author(s):

Cristiano Cantore ◽

Filippo Ferroni ◽

Miguel León-Ledesma

Keyword(s):

Monetary Policy ◽

The United States ◽

New Keynesian ◽

Great Moderation ◽

Real Wages ◽

Present Evidence ◽

Labor Share ◽

Nk Model ◽

The United Kingdom ◽

Monetary Policy Shock

Abstract The textbook New Keynesian (NK) model implies that the labor share is procyclical conditional on a monetary policy shock. We present evidence that a monetary policy tightening robustly increased the labor share and decreased real wages during the Great Moderation period in the United States, the Euro Area, the United Kingdom, Australia, and Canada. We show that this is inconsistent not only with the basic NK model, but also with medium-scale NK models commonly used for monetary policy analysis and where it is possible to break the direct link between the labor share and the inverse markup. Our results imply that either NK models are unable to separate the dynamics of the labor share from the markup or markups do not respond in the way NK models predict.

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Are the Effects of Monetary Policy Shocks Big or Small?

American Economic Journal Macroeconomics ◽

10.1257/mac.4.2.1 ◽

2012 ◽

Vol 4 (2) ◽

pp. 1-32 ◽

Cited By ~ 58

Author(s):

Olivier Coibion

Keyword(s):

Monetary Policy ◽

Monetary Policy Shocks ◽

Taylor Rules ◽

The Real ◽

Real Effects ◽

Policy Shocks ◽

Monetary Policy Shock ◽

Historical Contribution

This paper studies the small estimated effects of monetary policy shocks from standard VARs versus the large effects from the Romer and Romer (2004) approach. The differences are driven by three factors: the different contractionary impetus, the period of reserves targeting, and lag length selection. Accounting for these factors, the real effects of policy shocks are consistent across approaches and most likely medium. Alternative monetary policy shock measures from estimated Taylor rules also yield medium-sized real effects and indicate that the historical contribution of monetary policy shocks to real fluctuations has been significant, particularly during the 1970s and early 1980s. (JEL E32, E43, E52)

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