Loans and the Transmission of Monetary Policy Shocks: A VAR Analysis of the Role of Commitments

2015 ◽  
Author(s):  
J. Santiago E. Barraza ◽  
Andrea Civelli ◽  
Nicola Zaniboni
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Shocks ◽  
Var Analysis ◽  
Policy Shocks ◽  
Transmission Of Monetary Policy

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 The Monetary Transmission Mechanism: An SVAR Analysis of the Four Municipalities in China

2017 ◽  
Vol 5 (1) ◽  
pp. 81
Author(s):  
Lili Wu ◽  
Mingxu Li
Keyword(s):  
Monetary Policy ◽  
Housing Demand ◽  
Monetary Policy Shocks ◽  
Monthly Data ◽  
Vector Autoregressive ◽  
Supply Shocks ◽  
Svar Model ◽  
Policy Shocks ◽  
Transmission Of Monetary Policy

This paper explores the role of housing markets in the transmission of monetary policy shocks across four Chinese municipalities, namely Beijing, Shanghai, Tianjin, and Chongqing. The analysis is based on identification of housing demand shocks, monetary policy shocks and credit supply shocks through a Structural Vector Autoregressive (SVAR) model estimated using monthly data for four cities from July 2005 to December 2015. The empirical results show great differences in the four cities as far as the housing market is concerned. They also indicate that housing plays a stronger role in the transmission of monetary policy shocks in Beijing and Shanghai than in Tianjin and Chongqing. These results are reasonably robust across several model specifications.

scholarly journals MONETARY POLICY, HOUSING BOOMS, AND FINANCIAL (IM)BALANCES

2012 ◽  
Vol 17 (4) ◽  
pp. 830-860 ◽  
Author(s):  
Sandra Eickmeier ◽  
Boris Hofmann
Keyword(s):  
Monetary Policy ◽  
Private Sector ◽  
Global Financial Crisis ◽  
House Prices ◽  
Monetary Policy Shocks ◽  
Balance Sheets ◽  
Vector Autoregressive ◽  
Policy Shocks ◽  
The Global Financial Crisis

This paper applies a factor-augmented vector autoregressive model to U.S. data with the aim of analyzing monetary transmission via private sector balance sheets, credit risk spreads, and house prices and of exploring the role of monetary policy in the housing and credit boom prior to the global financial crisis. We find that monetary policy shocks have a persistent effect on house prices, real estate wealth, and private sector debt and a strong short-lived effect on risk spreads in money and mortgage markets. Moreover, the results suggest that monetary policy contributed considerably to the unsustainable precrisis developments in housing and credit markets. Although monetary policy shocks contributed discernibly at a late stage of the boom, feedback effects of other (macroeconomic and financial) shocks via lower policy rates kicked in earlier and appear to have been considerable.

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

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.

scholarly journals Transmission of monetary policy shocks in small open emerging market economies

2021 ◽  
Vol 52 (4) ◽  
pp. 37-65
Author(s):  
M.Ye. Mamonov ◽  
◽  
A.A. Pestova ◽  
◽  
Keyword(s):  
Monetary Policy ◽  
Open Economy ◽  
Emerging Market ◽  
Emerging Market Economies ◽  
Monetary Shocks ◽  
Large Set ◽  
Monetary Policy Shocks ◽  
Market Economies ◽  
Policy Shocks ◽  
Transmission Of Monetary Policy

In this paper, we compare the transmission of monetary policy shocks using quarterly data for 13 emerging market economies (EMEs) with that in a benchmark advanced open economy, the United Kingdom, in the periods of inflation targeting (from 1990s onward). To estimate the transmission within a given country, we specify a monetary VAR-model and we extend it with a variable reflecting commodities terms of trade. We identify monetary policy shocks using a sign restriction scheme: a restrictive shock is determined as an unexpected rise of policy rate and reduction of inflation (CPI) and money demand (M2). We apply the Bayesian approach to estimating VARs to address the curse of dimensionality. Our results indicate that monetary policy in EMEs is not less efficient comparable to the U.K.: restrictive monetary shocks decrease inflation but also lead to a slowdown of GDP and stock market outflows. Overall, our findings add to the debate on the real effects of monetary policy surprises with a special attention to a large set of EMEs.

Services Deepening and the Transmission of Monetary Policy

2018 ◽  
Vol 17 (4) ◽  
pp. 1261-1293 ◽  
Author(s):  
Alessandro Galesi ◽  
Omar Rachedi
Keyword(s):  
Monetary Policy ◽  
New Keynesian ◽  
Monetary Policy Shocks ◽  
Marginal Costs ◽  
Cost Channel ◽  
Keynesian Model ◽  
Output Matrix ◽  
Inflation Rates ◽  
Policy Shocks ◽  
Transmission Of Monetary Policy

Abstract The structural transformation from manufacturing to services comes with a process of services deepening: the services share of intermediate inputs rises over time. Moreover, inflation reacts less to monetary policy shocks in countries that are more intensive in services intermediates. We rationalize these facts using a two-sector New Keynesian model where trends in sectoral productivities generate endogenous variations in the Input–Output matrix. Services deepening reduces the contemporaneous response of inflation to monetary policy shocks through a marginal cost channel. Since services prices are stickier than manufacturing prices, the rise of services intermediates raises the sluggishness of sectoral marginal costs and inflation rates.

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