Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/163189
Authors: 
Feldkircher, Martin
Huber, Florian
Pornpinun Chantapacdepong
Punzi, Maria Teresa
Year of Publication: 
2017
Series/Report no.: 
ADBI Working Paper Series 690
Abstract: 
We use a non-linear factor-augmented vector-autoregressive model to evaluate international effects of an unexpected decrease in euro area policy rates. Given the current environment of ultra low or negative interest rates, we especially focus on potential differences in the transmission of the monetary policy shock depending on the level of interest rates in the country from where the shock originates, i.e., the euro area. A euro area monetary policy shock when euro area interest rates are positive at the time the shock occurs tends to trigger positive spillovers to industrial production, house and stock prices and negative effects on short- and long-term interest rates, as well as on inflation. Results tend to be similar when interest rates are already below zero at the time monetary policy turns out to be expansionary, however responses are estimated with a larger degree of uncertainty. In some cases, a distinct transmission depending on the level of interest rates in the euro area, is observable but no general patterns emerge from the data.
Subjects: 
NIRP
yield curve
capital flow
emerging Asia
FAVAR
JEL: 
C3
E3
E5
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/3.0/igo/
Document Type: 
Working Paper

Files in This Item:
File
Size
897.56 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.