Monetary Policy Matters: New Evidence Based on a New Shock Measure

Crowe, Christopher; Barakchian, Seyed Mahdi

doi:10.5089/9781455208951.001

Cited by 5 publications

(2 citation statements)

References 38 publications

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“…Further, Crowe and Barakchian (2010) stated that examining the impact of monetary policy shock is sensitive to the period being observed. This finding is quite tricky to explain.…”

Section: Nomentioning

confidence: 99%

Asymmetric Impacts of Monetary Policy Shock on Output Gap: Evidence From Regions in Indonesia

Triwibowo

Oktaviani

2022

bemp

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We examine the impact of the monetary policy on regional output gaps across 33 Indonesian provinces. Heterogeneous regional responses of the output gap to monetary policy shock are captured using the Vector Autoregressive model. Moreover, the idiosyncratic variations across provinces accounted for different responses are observed with the spatial econometric model. The spatial analysis suggests that economic structure and financial depth positively and significantly determine the aforesaid asymmetric responses. On the other hand, economic size and trade openness have a negative impact on them.

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“…Further, Crowe and Barakchian (2010) stated that examining the impact of monetary policy shock is sensitive to the period being observed. This finding is quite tricky to explain.…”

Section: Nomentioning

confidence: 99%

Asymmetric Impacts of Monetary Policy Shock on Output Gap: Evidence From Regions in Indonesia

Triwibowo

Oktaviani

2022

bemp

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“…Moreover, identifying monetary policy shocks in the data has been the subject of much contentious debate and no consensus has emerged in the literature. 41 Paradoxical results across sample periods, as documented in Ilzetzki and Jin (2013) and Crowe and Barakchian (2010) have further questioned common identification schemes for monetary policy shocks, and Fernández-Villaverde et al (2005) too have cautioned against the VAR-based impulse response matching approach. Appendix D provides an overview of the Bayesian approach and model selection criterion used in the paper.…”

Section: Estimation Set Upmentioning

confidence: 99%

International Trade Finance and the Cost Channel of Monetary Policy in Open Economies

Patel

2018

SSRN Journal

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Monetary policy and risk taking

Angeloni

Faia

Duca

2015

Journal of Economic Dynamics and Control

131

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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. Terms of use: Documents in Highlights• The financial and economic crisis has taught central banks a lesson. They were previously primarily concerned with maintaining price stability, but the crisis has produced evidence to show that monetary policy can contribute to the development (or the mitigation) of systemic risk in the financial sector. Monetary policy therefore needs to take financial stability implications into account, and the macroeconomic implications of bank supervision and regulation must also be considered.• It is therefore important to understand the linkages between financial risk, monetary policy and the business cycle. This paper considers the thinking to date on risk taking in monetary policy, presents comparative evidence for the euro area and the United States, and interprets the evidence using a macro dynamic stochastic general equilibrium model.• This approach produces three preliminary conclusions: central banks' monetary policy approaches affect, with time lags, the propensity of financial markets and banks to assume risk; it is possible to take account of these effects through macroeconomic models that embody optimising agents with limited information and include explicitly banking and financial sectors; and there is some indication that the modelling done in the paper can be used as the basis for predicting the relationship between monetary policy and the effect of risk on macroeconomic variables, though this area needs considerable further research. AbstractWe assess, through VAR evidence, the effects of monetary policy on banks' risk exposure and find the presence of a risk-taking channel. A model combining fragile banks prone to risk mis-incentives and credit constrained firms, whose collateral fluctuations generate a balance sheet channel, is used to rationalize the evidence. A monetary expansion increases bank leverage. With two consequences: on the one side this exacerbates risk exposure; on the other, the risk spiral depresses output, therefore dampening the conventional amplification effect of the financial accelerator.

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Monetary Policy Matters: New Evidence Based on a New Shock Measure

Cited by 5 publications

References 38 publications

Asymmetric Impacts of Monetary Policy Shock on Output Gap: Evidence From Regions in Indonesia

Asymmetric Impacts of Monetary Policy Shock on Output Gap: Evidence From Regions in Indonesia

International Trade Finance and the Cost Channel of Monetary Policy in Open Economies

Monetary policy and risk taking

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