Identifying conventional and unconventional monetary policy shocks: a latent threshold approach
نویسندگان
چکیده
منابع مشابه
Conventional and Unconventional Monetary Policy
The authors extend a standard New Keynesian model to incorporate heterogeneity in spending opportunities and two sources of (potentially time-varying) credit spreads and to allow a role for the central bank’s balance sheet in equilibrium determination. They use the model to investigate the implications of imperfect financial intermediation for familiar monetary policy prescriptions, and to cons...
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We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered i...
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This topic has not featured prominently in the speeches given by central bankers in recent decades. But the escalating financial crisis since last autumn has pushed the theme to centre stage. Central banks throughout the world have been responding to the crisis by taking both conventional and unconventional policy measures. It is important to have a good understanding of the unconventional poli...
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We consider the effects of central-bank purchases of a risky asset, financed by issuing riskless nominal liabilities (reserves), as an additional dimension of policy alongside “conventional” monetary policy (central-bank control of the riskless nominal interest rate), in a general-equilibrium model of asset pricing and risk sharing with endogenous collateral constraints of the kind proposed by ...
متن کاملIdentifying Monetary Policy Shocks via Changes in Volatility
A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to fully identify monetary policy shocks. In fact, to compare different theories it would even be desirable ...
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ژورنال
عنوان ژورنال: The B.E. Journal of Macroeconomics
سال: 2016
ISSN: 1935-1690,2194-6116
DOI: 10.1515/bejm-2015-0074