scholarly journals Disentanglement of natural interest rate shocks and monetary policy shocks nexus

2020 ◽  
Vol 59 ◽  
pp. 128-143
Author(s):  
G. Kurovskiy ◽  
◽  
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Interest Rate Shocks ◽  
Policy Shocks

scholarly journals The Time-Varying Effects of Monetary Policy on House Prices in China: An Application of TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 13 (4) ◽  
pp. 149 ◽  
Author(s):  
Weina Cai ◽  
Sen Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
House Prices ◽  
Var Model ◽  
Time Varying ◽  
Credit Channel ◽  
Monetary Policy Shocks ◽  
Time Varying Parameter ◽  
Policy Shocks ◽  
Interest Rate Channel

The boom of housing market in China in recent years has attracted great concerns from all over the world. How monetary policy affects house prices in China becomes an essential topic. This paper studies the time-varying effects of monetary policy on house prices in China during 2005.7-2017.10, by using a time-varying parameter VAR model. This paper obtains three interesting results. First, there are time-varying features of the responses of house prices to monetary policy shocks half-year and 1-year ahead, no matter through interest rate channel or through credit channel. Second, interest rate channel and credit channel have been enhanced since financial crisis in 2008. Third, the responses of nominal house prices to monetary policy in China are mainly driven by the responses of real house prices, instead of inflation. Finally, this paper gives proper suggestions for each finding respectively to central bank in China.

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.

Firm Size, Industry Mix and the Regional Transmission of Monetary Policy in Germany

2004 ◽  
Vol 5 (1) ◽  
pp. 35-59 ◽  
Author(s):  
Ivo J. M. Arnold ◽  
Evert B. Vrugt
Keyword(s):  
Monetary Policy ◽  
Firm Size ◽  
Structural Features ◽  
Regional Economies ◽  
Monetary Policy Shocks ◽  
Regional Effects ◽  
Real Gdp ◽  
Interest Rate Shocks ◽  
Policy Shocks ◽  
The Impact

Abstract This paper estimates the impact of interest rate shocks on regional output in Germany over the period from 1970 to 2000. We use a vector autoregression (VAR) model to obtain impulse responses, which reveal differences in the output responses to monetary policy shocks across ten German provinces. Next, we investigate whether these differences can be related to structural features of the regional economies, such as industry mix, firm size, bank size and openness. An additional analysis of the volatility of real GDP growth for the period 1992-2000 includes the Eastern provinces. We also present evidence on the interrelationship between firm size and industry, and compare our measure of firm size with those used in previous studies. We conclude that the differential regional effects of monetary policy are related to industrial composition, but not to firm size or bank size.

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.  

REAL EFFECTS OF MONETARY POLICY IN LARGE EMERGING ECONOMIES

2011 ◽  
Vol 16 (S2) ◽  
pp. 190-212 ◽  
Author(s):  
Sushanta K. Mallick ◽  
Ricardo M. Sousa
Keyword(s):  
Monetary Policy ◽  
Emerging Market ◽  
Monetary Policy Shocks ◽  
Equity Prices ◽  
Real Effects ◽  
Interest Rate Shocks ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Negative Effect ◽  
Alternative Identification

This paper provides evidence on monetary policy transmission for five key emerging market economies: Brazil, Russia, India, China, and South Africa. Monetary policy (interest rate) shocks are identified using modern Bayesian methods along with the more recent sign restrictions approach. We find that contractionary monetary policy has a strong and negative effect on output. We also show that such contractionary monetary policy shocks do tend to stabilize inflation in these countries in the short term, while producing a strongly persistent negative effect on real equity prices. Overall, the impulse responses are robust to the alternative identification procedures.

scholarly journals Monetary Policy Shocks in the Russian Economy and Their Macroeconomic Effects

2019 ◽  
Vol 14 (4) ◽  
pp. 48-75
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Monetary Policy Shocks ◽  
Interest Rate Policy ◽  
Russian Economy ◽  
Policy Shocks ◽  
Rate Policy ◽  
The Interest Rate

This section conducts an estimate of the impulse response function of key macroeconomic variables to monetary policy shocks in Russia. The estimates are carried out through a dynamic factor model (DFM) of the Russian economy with structural identification of shocks by imposing various sets of sign restrictions on the behavior of endogenous variables. We restricted first the monetary aggregate M2 only (a decrease in response to an increase of the Key rate), and then—simultaneously—M2, real effective exchange rate (an increase), and GDP (a decrease). We estimated the DFM using a large dataset of 58 macroeconomic and financial variables. The estimation results suggest that there is no decreasing response of consumer prices to an exogenous tightening of the interest rate policy of the Central Bank of Russia. This empirical evidence is supported implicitly by DFM-based predictions that under the imposition of such a decreasing response as an identifying restriction to the model, a positive interest rate shock is not transmitted through the interest rate channel of monetary policy to expected increases of the interest rates on commercial loans and private deposits. However, existing empirical evidence refutes this model-based result. Therefore, this study supports the view according to which a tightening of monetary policy in Russia is inefficient in terms of restraining inflation. In addition, monetary policy shocks negatively affect investments, retail sales, export and import, real wages, and employment. Different economic activities react differently to monetary policy shocks: export-oriented activities are not sensitive to these shocks, whereas domestic pro-cyclical activities (e.g. construction) can be substantially depressed in response to unexpected increases of interest rates. Finally, the expectations of economic agents are also significantly affected by shocks in the interest rate policy of the Bank of Russia.

scholarly journals disaggregated analysis of monetary policy effects on the agricultural sector in Nigeria

2020 ◽  
Vol 14 (3-4) ◽  
pp. 47-58
Author(s):  
Jonathan E. Ogbuabor ◽  
Onyinye I. Anthony-Orji ◽  
Charles O. Manasseh ◽  
Anthony Orji
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Crop Production ◽  
Agricultural Sector ◽  
Forecast Error ◽  
Monetary Policy Shocks ◽  
Forecast Horizon ◽  
Policy Shocks

This study provides a disaggregated analysis of the effects of monetary policy shocks on the agricultural sector in Nigeria from 1981Q1 to 2016Q4. The study utilized the generalized impulse responses and the normalized generalized forecast error variance decompositions from an underlying VAR model, which are order-invariant. The four monetary policy variables used in the study are interbank call rate, monetary policy rate, broad money supply and exchange rate; while the four agricultural sub-sectors investigated are crop production, forestry, fishing and livestock. The study also controlled for the general price level and other economic activities in the overall economy. The findings indicate that the aggregate agricultural sector and its various sub-sectors consistently responded negatively to unanticipated monetary tightening in most of the forecast horizon; while the immediate impact of monetary policy shocks is transmitted to the agricultural sector through the interest rate and money demand (credit) channels. The findings further indicate that apart from these two channels, the roles of monetary policy rate and exchange rate are non-negligible in the long-run. The role of money supply channel in spreading monetary policy shocks to the agricultural sector remained muted all through. The study concludes that the monetary authority should evolve interest rate, credit, and exchange rate policies that will promote the development of the agricultural sector in Nigeria. JEL CODES: E52; N50; C22; N57

scholarly journals INTEREST RATE EFFECTS OF DEMOGRAPHIC CHANGES IN A NEW KEYNESIAN LIFE-CYCLE FRAMEWORK

2014 ◽  
Vol 20 (1) ◽  
pp. 120-164 ◽  
Author(s):  
Engin Kara ◽  
Leopold von Thadden
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
New Keynesian ◽  
Policy Framework ◽  
Small Scale ◽  
Monetary Policy Shocks ◽  
Keynesian Model ◽  
Rate Effects ◽  
Policy Shocks ◽  
Short Run

This paper develops a small-scale DSGE model that embeds a demographic structure within a monetary policy framework. We extend the nonmonetary overlapping-generations model of Gertler and present a small synthesis model that combines the setup of Gertler with a New Keynesian structure, implying that the short-run dynamics related to monetary policy can be compared with that of the standard New Keynesian model. In sum, the model offers a New Keynesian platform that can be used to characterize the response of macroeconomic variables to demographic shocks, similarly to the responses to technology or monetary policy shocks. We offer such characterizations for flexible and sticky price equilibria. Empirically, we calibrate the model to demographic developments projected for the euro area. The main finding is that the projected slowdown in population growth and the increase in longevity contribute slowly over time to a decline in the equilibrium interest rate.

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.

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