scholarly journals The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone

2020 ◽  
Vol 186 ◽  
pp. 108803 ◽  
Author(s):  
Lucia M. Murgia
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Shocks ◽  
Macroeconomic Variables ◽  
Policy Shocks ◽  
Effect Of Monetary Policy

Monetary policy and macroeconomic responses: non-recursive SVAR study of Egypt

2019 ◽  
Vol 11 (3) ◽  
pp. 319-337
Author(s):  
Mohamed Aseel Shokr ◽  
Zulkefly Abdul Karim ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Svar Model ◽  
Policy Shocks ◽  
Effect Of Monetary Policy ◽  
Foreign Shocks

Purpose This paper aims to examine the effects of monetary policy and foreign shocks on output, inflation and exchange rate in Egypt. Design/methodology/approach This paper studies the effects of monetary policy and foreign shocks on output, inflation and exchange rate by using non-recursive SVAR model and quarterly data. Findings First, the empirical results reveal that monetary policy shocks, through changes in interest rate or money supply, have a significant effect on output, inflation and exchange rate in Egypt. Second, the world oil prices and foreign output have significant impacts on output, inflation and exchange rate in Egypt, while foreign interest rate has a significant effect on domestic output and inflation. Research limitations/implications The limitation of the study is examining one country only. Practical implications The Central Bank of Egypt (CBE) should adjust interest rate to stabilize inflation, output and exchange rate. By stabilizing inflation, output and exchange rate, the CBE would be able to achieve the ultimate targets of monetary policy, namely, price stability and economic growth. Social implications It is important for the CBE because it shows the significant effect of monetary policy on macroeconomic variables in Egypt. Also, it is important for people because it shows the important role for the CBE. Originality/value It is important for the CBE because it examines the effect of monetary policy and foreign shocks on macroeconomic variables.

On the effects of monetary policy in Russia: The role of the space of spanned shocks and the policy regime shifts

2018 ◽  
pp. 33-55 ◽  
Author(s):  
A. A. Pestova
Keyword(s):  
Monetary Policy ◽  
Policy Instruments ◽  
Recursive Identification ◽  
Monetary Shocks ◽  
Monetary Policy Shocks ◽  
Vector Autoregressions ◽  
Policy Regime ◽  
Relative Contribution ◽  
Policy Shocks ◽  
Effect Of Monetary Policy

This paper investigates the influence of monetary policy shocks in Russia on the basic macroeconomic and financial indicators. To identify the shocks of monetary policy, the Bayesian approach to the estimation of vector autoregressions (VARs) is applied, followed by extraction of the unexplained dynamics of monetary policy instruments (shocks) using both recursive identification and sign restrictions approach. The estimates show that the monetary policy shocks, apparently, cannot be attributed to the key drivers of cyclical movements in Russia, as they explain only less than 10% of the output variation and from 5 to10% of the prices variation. When applying recursive identification, no restraining effect of monetary policy on prices is found. Respective impact on output is negative and statistically significant in all identification procedures employed; however, the relative contribution of monetary shocks to output is not large. In addition, no significant effect of monetary policy tightening on the stabilization of the ruble exchange rate was found.

scholarly journals Pengaruh Guncangan Kebijakan Moneter dan Variabel Makro Terhadap Dana Pihak Ketiga (DPK) Bank Syariah di Indonesia

2017 ◽  
Vol 4 (8) ◽  
pp. 642
Author(s):  
Mohammad Abdul Adim ◽  
Raditya Sukmana
Keyword(s):  
Monetary Policy ◽  
Secondary Data ◽  
Islamic Banks ◽  
Monetary Policy Shocks ◽  
Financial Reports ◽  
Vector Autoregressive ◽  
Long Run ◽  
Policy Shocks ◽  
Short Run ◽  
Effect Of Monetary Policy

The purpose of this research is to find out the effect of monetary policy shocks and macro variables towards Islamic banks deposits. The method that used in this researc his quantitative method and also using secondary data which obtained from financial reports and other reports started from 2005 until the end of 2015. Analysis technique used is Johansen Cointegration and Vector Autoregressive (VAR). The result are monetary policy shocks have affect significant on deposits Islamic banks in long run and short run. Furthermore, variables macroeckonomic like GDP and CPI have effect significant on deposits in Islamic banks. interestingly, the money supply in the long run have significant effect on Islaimc banks deposits, but in the short run does not have a significant effect on the deposits of Islamic banks.

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

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.

scholarly journals Impact of Monetary Policy Shocks on Macroeconomic Fundamentals: The Role of Asymmetry and Uncertainty in Nigeria

2019 ◽  
Vol 6 (11) ◽  
pp. 110-129
Author(s):  
LeeLee N. Deekor
Keyword(s):  
Monetary Policy ◽  
Developing Economies ◽  
Policy Instruments ◽  
Monetary Policy Shocks ◽  
Asymmetry Effect ◽  
Monetary Authorities ◽  
Policy Shocks ◽  
The Asymmetry ◽  
Effect Of Monetary Policy

That monetary policy is made in an environment of substantial uncertainty is only a commonplace knowledge. But for the peculiar vulnerability of monetary authorities to exogenous conditions in developing economies, we hypothesized for the role of uncertainty in the asymmetry effect of monetary policy. Essentially, we explore both money supply and interest rate process using linear and non-linear ARDL to show that political pressure such as variability in government borrowing has the potential to accelerate the asymmetry effect of monetary policy. We also observe the asymmetry effect of monetary policy to be sensitive to the choice of monetary policy indicator. These findings suggest that monetary authorities must consider not only the effectiveness or otherwise of monetary policy instruments to affect the target policy goals, but also the fact that not all the target variables react in a similar way to expansionary and contractionary monetary policy shocks.

scholarly journals Effect of Monetary Policy on Investment in Russian Regions

2021 ◽  
Vol 80 (4) ◽  
pp. 31-49
Author(s):  
Andrei Shevelev ◽  
◽  
Maria Kvaktun ◽  
Kristina Virovets ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Russian Regions ◽  
Monetary Policy Shocks ◽  
Vector Autoregressions ◽  
Explanatory Factors ◽  
Market Rate ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Regional Product ◽  
Effect Of Monetary Policy

This paper assesses the effect of monetary policy on investment in Russian regions. In the first stage of the research, we estimate the responses of regional investment to interbank market rate shocks using structural vector autoregressions. In the second stage, we estimate regression models using impulse responses as dependent variables and explanatory factors as independent variables. The regression calculations are performed using the Elastic Net regularisation technique. We find that regions with higher shares of manufacturing, agriculture and construction are more responsive to monetary policy shocks. In addition, we identified the high importance of these sectors in explaining the different effects of monetary policy on investment. The results also show that the larger is the share of the mining and quarrying sector in the gross regional product (GRP) and the greater the imports to GRP ratio, the smaller is the absolute change in investment from a monetary policy shock.

scholarly journals Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis

2020 ◽  
Vol 9 (s1) ◽  
pp. 237-265
Author(s):  
Zulquar Nain ◽  
Bandi Kamaiah
Keyword(s):  
Monetary Policy ◽  
Empirical Studies ◽  
Developed Countries ◽  
Monetary Policy Shocks ◽  
Policy Effectiveness ◽  
Policy Shocks ◽  
Monetary Policy Effectiveness ◽  
Effect Of Monetary Policy ◽  
Low Uncertainty ◽  
Effectiveness Of Monetary Policy

AbstractThere is a growing body of literature examining the effectiveness of the monetary policy on the macroeconomy in different contexts for developed and developing countries. However, lately, especially after the GFC, the focus of research shifted to examine the role of uncertainty in economic activity and on the monetary policy effectiveness. Both theoretical and empirical studies suggest that uncertainty does influence monetary policy effectiveness. However, until now, empirical studies are restricted to only developed countries. To this end, the present study examines the influence of uncertainty on monetary policy effectiveness for a developing country, namely India. We applied a non-linear VAR, which allows us to examine the effect of monetary policy shocks during high and low uncertainty periods. The results exhibit that uncertainty influences the effectiveness of monetary policy shocks. We find weaker effects of the monetary policy shocks during high uncertainty regime relative to low uncertainty regime.

Sign in / Sign up

Export Citation Format

Share Document