Macroeconomic Shocks And Unconventional Monetary Policy

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Macroeconomic Shocks and Unconventional Monetary Policy

Naoyuki Yoshino,Pornpinun Chantapacdepong,Matthias Helble
Macroeconomic Shocks and Unconventional Monetary Policy Book PDF

Author : Naoyuki Yoshino,Pornpinun Chantapacdepong,Matthias Helble
Publisher : Oxford University Press, USA
Page : 345 pages
File Size : 45,7 Mb
Release : 2019
Category : Business & Economics
ISBN : 9780198838104

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Macroeconomic Shocks and Unconventional Monetary Policy by Naoyuki Yoshino,Pornpinun Chantapacdepong,Matthias Helble Pdf

Barely two decades after the Asian financial crisis Asia was suddenly confronted with multiple challenges originating outside the region: the 2008 global financial crisis, the European debt crisis, and finally developed economies' implementation of unconventional monetary policies. The implementation of quantitative easing, ultra-low interest rate policies, and negative interest rate policies by a number of large central banks has given rise to concerns over financial stability and international capital flows. Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets explains how shocks stemming from the global financial crisis have affected macroeconomic and financial stability in emerging Asia. Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets brings together the most up-to-date knowledge impacts of recent macroeconomic shocks on Asia's real economy; the spillover effects of macroeconomic shocks on financial markets and flows in Asia; and key challenges for monetary, exchange rate, trade and macro prudential policies of developing Asian economies. It is authored by experts in the field of international macroeconomics from leading academic institutions, central banks, and international organizations including the International Monetary Fund, the Bank for International Settlement, and the Asian Development Bank Institute.

Should Unconventional Monetary Policies Become Conventional?

Mr.Dominic Quint,Mr.Pau Rabanal
Should Unconventional Monetary Policies Become Conventional Book PDF

Author : Mr.Dominic Quint,Mr.Pau Rabanal
Publisher : International Monetary Fund
Page : 44 pages
File Size : 47,5 Mb
Release : 2017-03-31
Category : Business & Economics
ISBN : 9781475591392

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Should Unconventional Monetary Policies Become Conventional? by Mr.Dominic Quint,Mr.Pau Rabanal Pdf

The large recession that followed the Global Financial Crisis of 2008-09 triggered unprecedented monetary policy easing around the world. Most central banks in advanced economies deployed new instruments to affect credit conditions and to provide liquidity at a large scale after shortterm policy rates reached their effective lower bound. In this paper, we study if this new set of tools, commonly labeled as unconventional monetary policies (UMP), should still be used when economic conditions and interest rates normalize. In particular, we study the optimality of asset purchase programs by using an estimated non-linear DSGE model with a banking sector and long-term private and public debt for the United States. We find that the benefits of using such UMP in normal times are substantial, equivalent to 1.45 percent of consumption. However, the benefits from using UMP are shock-dependent and mostly arise when the economy is hit by financial shocks. When more traditional business cycle shocks (such as supply and demand shocks) hit the economy, the benefits of using UMP are negligible or zero.

Financial Crisis, US Unconventional Monetary Policy and International Spillovers

Qianying Chen,Andrew Filardo,Mr. Dong He,Feng Zhu
Financial Crisis US Unconventional Monetary Policy and International Spillovers Book PDF

Author : Qianying Chen,Andrew Filardo,Mr. Dong He,Feng Zhu
Publisher : International Monetary Fund
Page : 32 pages
File Size : 41,9 Mb
Release : 2015-04-29
Category : Business & Economics
ISBN : 9781484340714

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Financial Crisis, US Unconventional Monetary Policy and International Spillovers by Qianying Chen,Andrew Filardo,Mr. Dong He,Feng Zhu Pdf

We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures reducing the US corporate spread appear to be more important than lowering the US term spread. Second, US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies have been diverse but often larger than those recorded in the US and other advanced economies. The heterogeneous effects from US QE measures indicate unevenly distributed benefits and costs.

Should Unconventional Monetary Policies Become Conventional?

Dominic Quint,Pau Rabanal
Should Unconventional Monetary Policies Become Conventional Book PDF

Author : Dominic Quint,Pau Rabanal
Publisher : Unknown
Page : 128 pages
File Size : 42,9 Mb
Release : 2017
Category : Electronic
ISBN : 3957293952

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Should Unconventional Monetary Policies Become Conventional? by Dominic Quint,Pau Rabanal Pdf

The large recession that followed the Global Financial Crisis of 2008-09 triggered unprecedented monetary policy easing around the world. Most central banks in advanced economies deployed new instruments to affect credit conditions and to provide liquidity on a large scale after short-term policy rates had reached their effective lower bound. In this paper, we study if this new set of tools, commonly labeled as unconventional monetary policies (UMP), should continue to be used once economic conditions and interest rates have normalized. In particular, we study the optimality of asset purchase programs by using an estimated non-linear DSGE model with a banking sector and long-term private and public debt for the United States. We find that the benefits of using such UMP in normal times are substantial, equivalent to 1.45 percent of consumption. However, the benefits of using UMP are shock-dependent and mostly arise when the economy is hit by financial shocks. By contrast, when more traditional business cycle shocks (such as supply and demand shocks) hit the economy, the benefits of using UMP are negligible or zero.

Unconventional Monetary Policy and Long-Term Interest Rates

Mr. Tao Wu
Unconventional Monetary Policy and Long Term Interest Rates Book PDF

Author : Mr. Tao Wu
Publisher : International Monetary Fund
Page : 49 pages
File Size : 48,9 Mb
Release : 2014-10-22
Category : Business & Economics
ISBN : 9781498373951

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Unconventional Monetary Policy and Long-Term Interest Rates by Mr. Tao Wu Pdf

This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both "signaling" and "portfolio balance" channels. On the other hand, the Fed's "forward guidance" also leads to gradual extension of market projections for the duration of the LSAP program, thereby enhancing the LSAP's effect to keep term premiums low. Estimation results also reveal a diminished effectiveness of the LSAP during QE III. Finally, model simulations underscore the importance of policy transparency in minimizing unnecessary market turbulence and ensuring a timely and smooth exit of the unconventional monetary policy stimulus.

Global Impact and Challenges of Unconventional Monetary Policies - Background Paper

International Monetary Fund. Strategy, Policy, & Review Department,International Monetary Fund. Monetary and Capital Markets Department
Global Impact and Challenges of Unconventional Monetary Policies Background Paper Book PDF

Author : International Monetary Fund. Strategy, Policy, & Review Department,International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 59 pages
File Size : 52,9 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9781498341349

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Global Impact and Challenges of Unconventional Monetary Policies - Background Paper by International Monetary Fund. Strategy, Policy, & Review Department,International Monetary Fund. Monetary and Capital Markets Department Pdf

This paper provides case studies of 13 of the largest non-UMP countries. The case studies begin with an overview of recent macro-economic developments as well as capital flow patterns during the crisis up to the first U.S. tapering announcement in May 2013. Country experiences with capital inflows are judged along five dimensions: (i) the size of capital inflows, (ii) policies used to manage inflows, (iii) external stability, measured by exchange rate overvaluation and current account deficits relative to fundamentals,2 (iv) asset price and credit market reactions, and (v) financial sector stability. Case studies mostly draw on published IMF Staff Reports for each country, as well as the 2013 Pilot External Stability Report (IMF 2013d).

The Effects of Monetary Policy Shocks on Inequality

Davide Furceri,Mr.Prakash Loungani,Ms.Aleksandra Zdzienicka
The Effects of Monetary Policy Shocks on Inequality Book PDF

Author : Davide Furceri,Mr.Prakash Loungani,Ms.Aleksandra Zdzienicka
Publisher : International Monetary Fund
Page : 43 pages
File Size : 49,9 Mb
Release : 2017-01-18
Category : Business & Economics
ISBN : 9781475568356

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The Effects of Monetary Policy Shocks on Inequality by Davide Furceri,Mr.Prakash Loungani,Ms.Aleksandra Zdzienicka Pdf

This paper provides new evidence of the effect of monetary policy shocks on income inequality. Using a measure of unanticipated changes in policy rates for a panel of 32 advanced and emerging market countries over the period 1990-2013, the paper finds that contractionary (expansionary) monetary actions increase (reduce) income inequality. The effect, however, varies over time, depending on the type of the shocks (tightening versus expansionary monetary policy) and the state of the business cycle, and across countries depending on the share of labor income and redistribution policies. In particular, we find that the effect is larger for positive monetary policy shocks, especially during expansions. Looking across countries, we find that the effect is larger in countries with higher labor share of income and smaller redistribution policies. Finally, while an unexpected increase in policy rates increases inequality, changes in policy rates driven by an increase in growth are associated with lower inequality.

Unconventional Monetary Policy in a Small Open Economy

Margaux MacDonald,Michal Ksawery Popiel
Unconventional Monetary Policy in a Small Open Economy Book PDF

Author : Margaux MacDonald,Michal Ksawery Popiel
Publisher : International Monetary Fund
Page : 70 pages
File Size : 45,6 Mb
Release : 2017-12-01
Category : Business & Economics
ISBN : 9781484330944

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Unconventional Monetary Policy in a Small Open Economy by Margaux MacDonald,Michal Ksawery Popiel Pdf

This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.

Too Low for Too Long: Could Extended Periods of Ultra Easy Monetary Policy Have Harmful Effects?

Mr. Etibar Jafarov,Enrico Minnella
Too Low for Too Long Could Extended Periods of Ultra Easy Monetary Policy Have Harmful Effects Book PDF

Author : Mr. Etibar Jafarov,Enrico Minnella
Publisher : International Monetary Fund
Page : 32 pages
File Size : 52,8 Mb
Release : 2023-05-19
Category : Business & Economics
ISBN : 9798400241314

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Too Low for Too Long: Could Extended Periods of Ultra Easy Monetary Policy Have Harmful Effects? by Mr. Etibar Jafarov,Enrico Minnella Pdf

Extended periods of ultra-easy monetary policy in advanced economies have rekindled debates about the zombification of weak companies and its impact on resource allocation, economic growth, inflation, and financial stability. Using both firm-level and macroeconomic data, we find that recessions are a critical factor in the rapid increase in the number of zombie firms. Expansionary monetary policy can help reduce zombification when interest rates are at the zero lower bound (ZBL), but a too-accommodative monetary policy for extended periods is associated with a higher probability of zombification. Small and medium enterprises are more likely to become zombie firms. This raises concerns about the sustainability of too-easy monetary policy implementation, especially in countries where growth is lackluster. Our findings imply a tradeoff between conducting a countercyclical monetary policy, which also helps contain the increase in the number of zombie firms in cyclical downturns, and using an expansionary monetary policy for long periods, which may lead to a combination of low interest rates, low growth, and high financial vulnerability. Such a tradeoff is not a concern currently when most countries are tightening their monetary policy stance, but policymakers should be mindful of it during future recessions.

A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers

Richard Varghese,Yuanyan Sophia Zhang
A New Wave of ECB s Unconventional Monetary Policies Domestic Impact and Spillovers Book PDF

Author : Richard Varghese,Yuanyan Sophia Zhang
Publisher : International Monetary Fund
Page : 33 pages
File Size : 55,9 Mb
Release : 2018-01-24
Category : Business & Economics
ISBN : 9781484338544

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A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers by Richard Varghese,Yuanyan Sophia Zhang Pdf

ECB President Draghi’s Jackson Hole speech in August 2014 arguably marked a new phase of unconventional monetary policies (UMPs) in the euro area. This paper examines the market impact and tranmission channels of this new wave of UMPs using a modified event study framework. They are found to have a more prominent impact on inflation expectations and exchange rates compared to the earlier UMP announcements. The impact on bank equity, however, is less significant in part due to narrowing profit margin in a low interest rate environment; and the marginal effect on sovereign spread compression has diminished. By extracting components of monetary policy shocks from the yield curve, we find that the traditional signaling channel of the monetary policy transmission continued to play an important role, but the portfolio rebalancing channel became more important in the new phase. Spillovers to non-euro area EU countries (the Czech Republic, Denmark, Poland, and Sweden) are transmitted mainly through the portfolio rebalancing channel, largely affecting sovereign yields and exchange rates.

Monetary Policy in the New Normal

Mr.Tamim Bayoumi,Mr.Giovanni Dell'Ariccia,Mr.Karl F Habermeier,Mr.Tommaso Mancini Griffoli,Mr.Fabian Valencia
Monetary Policy in the New Normal Book PDF

Author : Mr.Tamim Bayoumi,Mr.Giovanni Dell'Ariccia,Mr.Karl F Habermeier,Mr.Tommaso Mancini Griffoli,Mr.Fabian Valencia
Publisher : International Monetary Fund
Page : 49 pages
File Size : 49,7 Mb
Release : 2014-04-04
Category : Business & Economics
ISBN : 9781475561784

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Monetary Policy in the New Normal by Mr.Tamim Bayoumi,Mr.Giovanni Dell'Ariccia,Mr.Karl F Habermeier,Mr.Tommaso Mancini Griffoli,Mr.Fabian Valencia Pdf

The proposed SDN would take stock of the current debate on the shape that monetary policy should take after the crisis. It revisits the pros and cons of expanding the objectives of monetary policy, the merits of turning unconventional policies into conventional ones, how to make monetary policy frameworks more resilient to the risk of being constrained by the zero-lower bound going forward, and the institutional challenges to preserve central bank independence with regards to monetary policy, while allowing adequate government oversight over central banks’ new responsibilities. It will draw policy conclusions where consensus has been reached, and highlight the areas where more work is needed to get more granular policy advice.

Macroeconomic Fluctuations and Policies

Edouard Challe
Macroeconomic Fluctuations and Policies Book PDF

Author : Edouard Challe
Publisher : MIT Press
Page : 361 pages
File Size : 51,9 Mb
Release : 2023-09-19
Category : Business & Economics
ISBN : 9780262549295

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Macroeconomic Fluctuations and Policies by Edouard Challe Pdf

The basic tools for analyzing macroeconomic fluctuations and policies, applied to concrete issues and presented within an integrated New Keynesian framework. This textbook presents the basic tools for analyzing macroeconomic fluctuations and policies and applies them to contemporary issues. It employs a unified New Keynesian framework for understanding business cycles, major crises, and macroeconomic policies, introducing students to the approach most often used in academic macroeconomic analysis and by central banks and international institutions. The book addresses such topics as how recessions and crises spread; what instruments central banks and governments have to stimulate activity when private demand is weak; and what “unconventional” macroeconomic policies might work when conventional monetary policy loses its effectiveness (as has happened in many countries in the aftermath of the Great Recession.). The text introduces the foundations of modern business cycle theory through the notions of aggregate demand and aggregate supply, and then applies the theory to the study of regular business-cycle fluctuations in output, inflation, and employment. It considers conventional monetary and fiscal policies aimed at stabilizing the business cycle, and examines unconventional macroeconomic policies, including forward guidance and quantitative easing, in situations of “liquidity trap”—deep crises in which conventional policies are either ineffective or have very different effects than in normal time. This book is the first to use the New Keynesian framework at the advanced undergraduate level, connecting undergraduate learning not only with the more advanced tools taught at the graduate level but also with the large body of policy-oriented research in academic journals. End-of-chapter problems help students master the materials presented.

The Impact of Unconventional Monetary Policy Measures by the Systemic Four on Global Liquidity and Monetary Conditions

Ms.Yevgeniya Korniyenko,Ms.Elena Loukoianova
The Impact of Unconventional Monetary Policy Measures by the Systemic Four on Global Liquidity and Monetary Conditions Book PDF

Author : Ms.Yevgeniya Korniyenko,Ms.Elena Loukoianova
Publisher : International Monetary Fund
Page : 48 pages
File Size : 48,6 Mb
Release : 2015-12-30
Category : Business & Economics
ISBN : 9781513515021

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The Impact of Unconventional Monetary Policy Measures by the Systemic Four on Global Liquidity and Monetary Conditions by Ms.Yevgeniya Korniyenko,Ms.Elena Loukoianova Pdf

The paper examines the impact of unconventional monetary policy measures (UMPMs) implemented since 2008 in the United States, the United Kingdom, Euro area and Japan— the Systemic Four—on global monetary and liquidity conditions. Overall, the results show positive significant relationships. However, there are differences in the impact of the UMPMs of individual S4 countries on these conditions in other countries. UMPMs of the Bank of Japan have positive association with global liquidity but negative association with securities issuance. The quantitative easing (QE) of the Bank of England has the opposite association. Results for the quantitative easing measures of the United States Federal Reserve System (U.S. Fed) and the ECB UMPMs are more mixed.

Unconventional Central Bank Measures for Emerging Economies

Mr.Etienne B. Yehoue,Kotaro Ishi,Mr.Mark R. Stone
Unconventional Central Bank Measures for Emerging Economies Book PDF

Author : Mr.Etienne B. Yehoue,Kotaro Ishi,Mr.Mark R. Stone
Publisher : International Monetary Fund
Page : 44 pages
File Size : 46,9 Mb
Release : 2009-10-01
Category : Business & Economics
ISBN : 9781451873733

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Unconventional Central Bank Measures for Emerging Economies by Mr.Etienne B. Yehoue,Kotaro Ishi,Mr.Mark R. Stone Pdf

Unconventional central bank measures are playing a key policy role for many advanced economies in the 2007-09 global crisis. Are they playing a similar role for emerging economies? Emerging economies have widely used unconventional foreign exchange and domestic short-term liquidity easing measures. Their use of credit easing and quantitative easing measures has been much more limited. Thus, unconventional measures are much less important for emerging economies compared to advanced economies in achieving broader macroeconomic objectives. The difference can be attributed to the relatively limited financial stress in emerging economies, their external vulnerabilities and their limited scope for quasifiscal activities.

Spillovers from United States Monetary Policy on Emerging Markets: Different This Time?

Mr. Jiaqian Chen,Mr. Tommaso Mancini Griffoli,Ms. Ratna Sahay
Spillovers from United States Monetary Policy on Emerging Markets Different This Time Book PDF

Author : Mr. Jiaqian Chen,Mr. Tommaso Mancini Griffoli,Ms. Ratna Sahay
Publisher : International Monetary Fund
Page : 30 pages
File Size : 41,8 Mb
Release : 2014-12-24
Category : Business & Economics
ISBN : 9781498322454

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Spillovers from United States Monetary Policy on Emerging Markets: Different This Time? by Mr. Jiaqian Chen,Mr. Tommaso Mancini Griffoli,Ms. Ratna Sahay Pdf

The impact of monetary policy in large advanced countries on emerging market economies—dubbed spillovers—is hotly debated in global and national policy circles. When the U.S. resorted to unconventional monetary policy, spillovers on asset prices and capital flows were significant, though remained smaller in countries with better fundamentals. This was not because monetary policy shocks changed (in size, sign or impact on stance). In fact, the traditional signaling channel of monetary policy continued to play the leading role in transmitting shocks, relative to other channels, affecting longer-term bond yields. Instead, we find that larger spillovers stem more from structural factors, such as the use of new instruments (asset purchases). We obtain these results by developing a new methodology to extract, separate, and interpret U.S. monetary policy shocks.