scholarly journals Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate

1997 ◽  
Author(s):  
Frank Smets
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Exchange Rate

scholarly journals Effects of Monetary Policy Shocks on the Exchange Rate in the Republic of Korea: Capital Flows in Stock and Bond Markets

2014 ◽  
Vol 31 (1) ◽  
pp. 121-135 ◽  
Author(s):  
Soyoung Kim
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Capital Flows ◽  
Bond Market ◽  
Capital Inflows ◽  
Republic Of Korea ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Exchange Rate ◽  
The Republic

Several studies have suggested that the prediction of standard theory on the effects of monetary policy on the exchange rate might not be applicable to or in the case of the Republic of Korea because participation of foreign investors is weak in the bond market but strong in the stock market. The current study examines the effects of monetary policy shocks on the exchange rate in the Republic of Korea by using structural vector autoregression models with sign restrictions. To determine the channels by which monetary policy shocks affect the exchange rate, I investigate the effects on various components of capital flows. The main empirical findings are as follows. First, a contractionary monetary policy shock, which increases the interest rate, appreciates the Korean won significantly in the short run as predicted by most theories. Second, contractionary monetary policy shocks increase capital inflows into the bond market consistent with the prediction of the uncovered interest parity condition. This seems to be the main channel by which contractionary monetary shocks appreciate the won. Finally, foreign investors tend to withdraw money from the domestic stock market in response to a monetary tightening, resulting in a decrease in capital inflows.

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.

scholarly journals Comparative Analysis of Monetary Policy Shocks and Exchange Rate Fluctuations in Nigeria and South Africa

2018 ◽  
Vol 9 (6) ◽  
pp. 199
Author(s):  
Sulaiman L. A. ◽  
Lawal N. A. ◽  
Migiro S. O.
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Comparative Analysis ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Exchange Rate Fluctuations ◽  
The World ◽  
Policy Shocks ◽  
Short Run

The study examined a comparative analysis of monetary policy shocks and exchange rate fluctuations based on evidence from the two largest economies in Africa (Nigeria and South Africa) – from 1985 to 2015. Data were derived from various sources which include the National Bureau of Statistics, the Central Banks reports and the World Bank database. Vector Autoregressive (VAR) Analysis was used as the estimation technique. The results indicated that the foreign interest rate in South Africa had higher variations in the short-run. While in the long-run, foreign interest rate has higher percentage variations to exchange rate. In Nigeria the world oil price has the higher influence on exchange rate both in the short-run and longrun periods. Based on these results, the study then recommended that the monetary authorities and policymakers in both countries encourage external currency inflows into the economy.  

scholarly journals Role of Oil Prices in Exchange Rate Devaluation: Risks of the Russian Ruble and Other Currencies

2019 ◽  
Vol 16 (4) ◽  
pp. 76-81
Author(s):  
V. Yu. Didenko ◽  
N. I. Morozko ◽  
N. I. Morozko
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Current Account ◽  
Foreign Exchange Market ◽  
Oil Prices ◽  
Balance Of Payments ◽  
Exchange Market ◽  
The Exchange Rate

Subject and topic. Currently, the decrease in payments on foreign debts and a decrease in imports have an impact on the demand in the foreign exchange market. As a result, a situation has arisen due to the actions of the Bank of Russia, caused by threats of sanctions that provoked the absence of excessive demand and adequate supply in the foreign exchange market and led to a decrease in ruble exchange rate fl uctuations due to oil price movements.The subject of research is to determine the role of oil prices in the formation of monetary policy, which can be a key driver of economic growth.Objective. Identifi cation of exchange rate management practices with the search for the relationship between the current account of the balance of payments and the volatility of the national currency exchange rate.Research methods, the main provisions. Methods used grouping, comparing and summarizing economic indicators to study the characteristics and trends of the monetary policy of China, South Korea and Latin American countries.A critical analysis of the various points of view of leading scientists on the negative or positive impact of the exchange rate on the development of the economy was carried out. At the same time, it is interesting to analyze the views of individual economists that the dependence of the ruble exchange rate on oil prices has recently largely decreased.The main results of the study. Determination of the theoretical relationship between the price of oil and the exchange rate, based on the shock component, either in oil prices or in the exchange rate, with testing the response of the economic variable to this shock.Main conclusions. It was concluded that in the conditions of the economic situation of the last decade, the main problem of export-oriented and import-oriented countries is the imbalance of the current account of the balance of payments, as well as its relationship, primarily with the prices of export goods.

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

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.

Sign in / Sign up

Export Citation Format

Share Document