scholarly journals Euro Area Monetary Policy Shocks: Impact on Financial Asset Prices During the Crisis?

2014 ◽  
Author(s):  
Caroline Jardet ◽  
Allen Monks
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Asset Prices ◽  
Financial Asset ◽  
Monetary Policy Shocks ◽  
Policy Shocks

scholarly journals The Time-Varying Effect of Monetary Policy on Asset Prices

2020 ◽  
Vol 102 (4) ◽  
pp. 690-704 ◽  
Author(s):  
Pascal Paul
Keyword(s):  
Monetary Policy ◽  
Asset Prices ◽  
House Prices ◽  
The United States ◽  
Model Parameters ◽  
Time Varying ◽  
Real Economy ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Policy Shocks

This paper studies how monetary policy jointly affects asset prices and the real economy in the United States. I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks. This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I use current short-term rate surprises because these are least affected by an information effect. When allowing for time-varying model parameters, I find that compared to the response of output, the reaction of stock and house prices to monetary policy shocks was particularly low before the 2007–2009 financial crisis.

scholarly journals Monetary Policy Effects on Energy Sector Bubbles

Energies ◽  
2019 ◽  
Vol 12 (3) ◽  
pp. 472
Author(s):  
Petre Caraiani ◽  
Adrian Călin
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Asset Prices ◽  
The United States ◽  
Energy Sector ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Difference ◽  
The Interest Rate ◽  
The Impact

We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and bubbles. The energy sector is measured through the S&P Energy Index, while bubbles are measured through the difference between asset prices and the corresponding dividends for the energy sector. We find significant differences in the impact of monetary policy shocks for the aggregate economy and for the energy sector. The findings seem sensitive to the interest rate use, i.e., whether one uses the shadow interest rate or the long-term interest rate.

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