Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis

Dahlhaus, Tatjana

doi:10.1002/jae.2524

Cited by 34 publications

(20 citation statements)

References 58 publications

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“…Additionally, Dahlhaus () examines how changes in financial stress can alter the channels through which monetary policy acts.…”

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confidence: 99%

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Financial Stress Regimes and the Macroeconomy

Galvão¹,

Owyang²

2018

J of Money Credit Banking

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Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes. The stress regimes are identified using an unbalanced panel of financial variables with an embedded method for variable selection. Our identified stress regimes are associated with corporate credit tightening and with NBER recessions. An exogenous deterioration in our financial conditions index has strong negative effects in economic activity, and negative amplification effects on inflation in the stress regime. These results are obtained with a novel factor‐augmented vector autoregressive model with smooth‐transition regimes (FASTVAR).

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“…Additionally, Dahlhaus () examines how changes in financial stress can alter the channels through which monetary policy acts.…”

mentioning

confidence: 99%

“…Hatzius et al (2010) filter the time series of financial variables to exclude the effect of macroeconomic conditions before building their financial 2. Additionally, Dahlhaus (2017) examines how changes in financial stress can alter the channels through which monetary policy acts. conditions index (Brave and Butters 2012 also follow a similar approach).…”

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confidence: 99%

Financial Stress Regimes and the Macroeconomy

Galvão¹,

Owyang²

2018

J of Money Credit Banking

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“…Literature also shows empirical evidence that monetary policy is more effective after a crisis. Dahlhaus (2017) empirically investigates the effects of monetary policy conditional on financial stress using a smooth transition factor model which is based on the dynamic factor model. She finds that a monetary policy shock has stronger and more persistent effects on output, consumption, and investment during periods of a financial crisis than during "normal" times.…”

Section: Literature Reviewmentioning

confidence: 99%

The Transmission of Monetary Policy in South Africa Before and After the Global Financial Crisis

Kabundi

Rapapali

2019

South African J Economics

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This paper examines whether the transmission mechanism of monetary policy in South Africa has changed after the global financial crisis (GFC). We use a Bayesian vector autoregressive (BVAR) model with Minnesota priors and 15 monthly variables, extending the system of Christiano, Eichenbaum, with Evans (1999). The benefit of the BVAR approach is that it can accommodate a large cross section of variables without running out of degrees of freedom. To identify the change in the transmission process, we divide the sample size into two subsamples, namely the pre‐GFC period (March 2001 to August 2008) and the post‐GFC period (September 2008 to February 2016). The results indicate that a change in the transmission of monetary policy occurred after the GFC. The magnitude of the effect of a monetary policy shock on output is considerably greater in the pre‐GFC period compared to the post‐GFC period. Moreover, the impact of a policy shock on inflation is not statistically significant in the post‐GFC period. The variance decomposition shows that the interest‐rate channel has possibly weakened in the post‐GFC period.

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“…Ciccarelli, Maddaloni, and Peydro (2013) analyse the effectiveness of monetary policy in the euro area between 2007 and 2011 and find that monetary policy was more effective in the first years of the Global Financial Crisis. Dahlhaus (2017) provides evidence that, in the United States, monetary policy is more effective in periods of high financial stress. Usually, periods of high financial stress are observed at the beginning of financial crises.…”

Section: The Role Of Monetary Policymentioning

confidence: 99%

Post-crisis business investment in the euro area and the role of monetary policy

Ademmer

Jannsen

2018

Applied Economics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Business investment in the euro area strongly declined during the Global Financial Crisis and the Sovereign Debt Crisis. It has not yet rebounded to its pre-crisis trend despite the very expansionary monetary policy measures of the ECB. We analyse the sluggish recovery in business investment in the euro area and the role of monetary policy in three steps. We investigate the main factors that have impeded business investment since the Global Financial Crisis. We empirically analyse how business investment has developed compared to typical patterns during other financial crises. Based on these results, we then discuss how effective monetary policy has been in stimulating business investment since the Global Financial Crisis. We conclude that business investment in the euro area has developed broadly in line with typical post-crisis patterns. Monetary policy significantly contributed to stabilize business investment at the beginning of the crises. In the aftermath of the crises, however, there seems to be little scope for monetary policy to further stimulate investment. Terms of use: Documents in EconStor may

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Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis

Cited by 34 publications

References 58 publications

Financial Stress Regimes and the Macroeconomy

Financial Stress Regimes and the Macroeconomy

The Transmission of Monetary Policy in South Africa Before and After the Global Financial Crisis

Post-crisis business investment in the euro area and the role of monetary policy

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