Monetary policy matters: Evidence from new shocks data

Barakchian, Seyed Mahdi; Crowe, Christopher

doi:10.1016/j.jmoneco.2013.09.006

Cited by 180 publications

(223 citation statements)

References 24 publications

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“…9 In line with the previous analysis, I circumvent the problem of identifying US monetary policy shocks by using the time series of shocks constructed by Romer and Romer (2004), Sims and Zha (2006), Bernanke and Kuttner (2005), Barakchian and Crowe (2013), Smets and Wouters (2007), and financial market survey data of future monetary policy rates. 10,11 Specifically, the monetary policy shocks constructed by Romer and Romer (2004) are based on the seminal "narrative approach"; those from Sims and Zha (2006) are structural shocks implied by a non-recursively identified VAR model for the US economy; those from Bernanke and Kuttner (2005) as well as Barakchian and Crowe (2013) build on the difference between lagged futures and the actual values of the federal funds rate; the monetary policy shocks from Smets and Wouters (2007) are smoothed structural shocks from an estimated dynamic stochastic general equilibrium model; finally, I construct shock time series based on the difference between lagged survey expectations of future short-term interest rates and their actual values using data from Consensus Economics or the Survey of Professional Forecasters. Consistent with the exposition in the previous sections, the US economy is represented by the unit with subscript i = 1.…”

Section: Global Spillovers From Us Monetary Policymentioning

confidence: 99%

“…In the baseline I pool the spillover estimates obtained from separate estimations of the twocountry VAR models and the GVAR model using monetary policy shock time series from Romer and Romer (2004), Bernanke and Kuttner (2005), Sims and Zha (2006), Barakchian and Crowe (2013), Smets and Wouters (2007), as well as financial market survey data of future monetary policy rates. Table 6 reports the regression results for each individual monetary policy shock time series.…”

Section: Individual Monetary Policy Shock Time Seriesmentioning

confidence: 99%

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To Bi, or not to Bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models

Georgiadis

2015

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Asymptotic analysis and Monte Carlo simulations show that spillover estimates obtained from widely-used bilateral (such as two-country VAR) models are significantly less accurate than those obtained from multilateral (such as global VAR) models. In particular, the accuracy of spillover estimates obtained from bilateral models depends on two aspects of economies' integration with the rest of the world. First, accuracy worsens as direct bilateral transmission channels become less important, for example when the spillover-sender accounts only for a small share of the spillover-recipient's overall integration with the rest of the world. Second, accuracy worsens as indirect higher-order spillovers and spillbacks become more important, for example when the spillover-recipient is more integrated with the rest of the world overall. Empirical evidence on the global output spillovers from US monetary policy is consistent with these generic results: Spillover estimates obtained from two-country VAR models are systematically smaller than those obtained from a global VAR model; and the differences between spillover estimates obtained from two-country VAR models and a global VAR model are more pronounced for economies for which the US accounts for a smaller share of their overall trade and financial integration with the rest of the world, and for economies which are more integrated with the rest of the world overall. JEL codes: F44, C33

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Section: Global Spillovers From Us Monetary Policymentioning

confidence: 99%

Section: Individual Monetary Policy Shock Time Seriesmentioning

confidence: 99%

To Bi, or not to Bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models

Georgiadis

2015

gwp

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“…I use the medium specification of their model, which includes twenty variables. 4 The third series of monetary shocks is taken from Barakchian and Crowe (2013). They build on Kuttner (2001) and compute the variation in the policy rate that was not expected by the markets, using different maturities on the futures contracts on the federal fund rate.…”

Section: Monetary Shocksmentioning

confidence: 99%

“…Romer shocks (developed by Romer and Romer, 2004), the shocks identified from a recursive large VAR model (for which I use the estimates by Bańbura et al, 2010) and the shocks estimated from futures contracts on the federal funds rate (which I take from Barakchian and Crowe, 2013). The advantage of this comprehensive approach is that it avoids having to choose a single identification strategy, a choice which would prove hard given the limited consensus in the literature on which methodology is the best one.…”

mentioning

confidence: 99%

Monetary Policy and Defaults in the US

Piffer

2015

SSRN Journal

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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. 1 Abstract This paper uses a structural VAR model to study the effect of monetary policy on the delinquency rate of business loans and consumer credit. The VAR is identified using at the same time several external instruments, which cover different approaches from the literature. Delinquency rates, defined as the rate of loans whose repayment is overdue for more than a month relative to total loans, are found to decrease in response to a monetary expansion. Terms of use: Documents inThe results are consistent with a general equilibrium effect formalized in the paper using a standard model of optimal defaults. According to the model, the decrease in defaults is driven by the fact that monetary expansions increase aggregate demand and push up profits and income, thereby improving the repayment possibility of borrowers.

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“…3 See, among others, Nakamura and Steinsson (2013), Barakchian and Crowe (2013), Rogers et al (2014), Gertler and Karadi (2015), Hanson and Stein (2015), Gilchrist et al (2015), and Rogers et al (2015).…”

Section: Introductionmentioning

confidence: 99%

Monetary Policy Transmission in an Open Economy: New Data and Evidence from the United Kingdom

2016

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This paper constructs a new series of monetary policy surprises for the United Kingdom and estimates their effects on macroeconomic and financial variables, employing a high-frequency identification procedure. First, using local projections methods, we find that monetary policy has persistent effects on real interest rates and breakeven inflation. Second, employing our series of surprises as an instrument in a SVAR, we show that monetary policy affects economic activity, prices, the exchange rate, exports, and imports. Finally, we implement a test of overidentifying restrictions, which exploits the availability of the narrative series of monetary policy shocks computed by Cloyne and Huertgen (2014), and find no evidence that either set of shocks contains any 'endogenous' response to macroeconomic variables.

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Monetary policy matters: Evidence from new shocks data

Cited by 180 publications

References 24 publications

To Bi, or not to Bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models

To Bi, or not to Bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models

Monetary Policy and Defaults in the US

Monetary Policy Transmission in an Open Economy: New Data and Evidence from the United Kingdom

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