The Transmission of Foreign Monetary Policy Shocks into the United States through Foreign Banks

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.

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Monetary Policy Effects on Energy Sector Bubbles

Energies ◽

10.3390/en12030472 ◽

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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Do foreign banks in India respond to global monetary policy shocks? A SVAR analysis

Studies in Economics and Finance ◽

10.1108/sef-10-2019-0417 ◽

2020 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Ameen Omar Shareef ◽

K.P. Prabheesh

Keyword(s):

Monetary Policy ◽

Bank Lending ◽

Foreign Bank ◽

Foreign Banks ◽

Monetary Policy Shocks ◽

Content Type ◽

Indian Economy ◽

Policy Shocks ◽

The Impact

Purpose This paper aims to examine the role of foreign banks in transmitting global monetary policy shocks to India. Further, the authors try to explore the international bank lending channel and analyze the impact of global monetary policy on Indian macroeconomic variables. Design/methodology/approach The authors use a structural break unit root test and structural vector autoregression on monthly data from 1998 to 2018. Findings The study finds that the global monetary policy is significantly determining foreign banks’ lending in India; the evidence of a portfolio re-balancing channel in the process of global monetary policy transmission to the Indian economy; the exchange rate is significantly explaining the foreign bank credit dynamism in India; and evidence of international monetary policy spillover to the Indian economy. Originality/value This is the first attempt to analyze the role of foreign banks in the transmission of global monetary policy shocks to India, where the literature availability is limited. The finding of ineffective domestic monetary policy on foreign bank lending opens the need for an in-depth and diversified analysis of the role of foreign banks in the transmission of domestic monetary policy.

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Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks

Entropy ◽

10.3390/e23111465 ◽

2021 ◽

Vol 23 (11) ◽

pp. 1465

Author(s):

Petre Caraiani ◽

Alexandru Vasile Lazarec

Keyword(s):

Monetary Policy ◽

Window Size ◽

The United States ◽

Von Neumann Entropy ◽

Financial Networks ◽

Monetary Policy Shocks ◽

Von Neumann ◽

Policy Shocks ◽

Value Decomposition ◽

The Impact

We analyze the changes in the financial network built using the Dow Jones Industrial Average components following monetary policy shocks. Monetary policy shocks are measured through unexpected changes in the federal funds rate in the United States. We determine the changes in the financial networks using singular value decomposition entropy and von Neumann entropy. The results indicate that unexpected positive shocks in monetary policy shocks lead to lower entropy. The results are robust to varying the window size used to construct financial networks, though they also depend on the type of entropy used.

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The role of foreign banks in the transmission of monetary policy: Empirical evidence from Tunisia

Economic Annals ◽

10.2298/eka2128101g ◽

2021 ◽

Vol 66 (228) ◽

pp. 101-122

Author(s):

Mohamed Gassouma ◽

Kais Ben-Ahmed

Keyword(s):

Monetary Policy ◽

Concentration Index ◽

Foreign Banks ◽

Monetary Policy Shocks ◽

Vector Autoregressive ◽

Credit Supply ◽

Policy Shocks ◽

Monetary Policy Shock ◽

Effect Of Monetary Policy ◽

Transmission Of Monetary Policy

This paper presents an empirical analysis of the effect of monetary policy shocks on credit supply in Tunisia, using a vector autoregressive model and a nonlinear interactive model. The focus is on the magnitude of these shocks in the presence of foreign banks. The variables of interest are the concentration index of deposit banks, and monetary policy shocks based on the monthly data of 27 universal and business banks covering the period 1993 to 2016. The results support a positive and significant impact of concentration index on credit supply. However, monetary policy shocks appear to have no significant effect when the market is concentrated with the entry of foreign banks. The findings of this study also reveal that the entry of foreign banks neutralises monetary policy shock transmission in the credit supply, which may be offset by market discipline.

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