Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/283494 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Working Paper No. 252
Verlag: 
Oesterreichische Nationalbank (OeNB), Vienna
Zusammenfassung: 
The secular increase in globalization led to a substantial increase in the interconnectedness of global financial markets. This has important implications for the conduct of monetary policy, as central bank policies may diverge across countries, potentially affecting key transmission channels of domestic policy actions. In this paper, we use a non-linear multivariate time series model to shed light on how the US monetary policy stance affects the conduct of monetary policy in the euro area. We assume that the dynamic coefficients implicitly depend on a measure of the Federal Reserve's policy stance through a smooth transition function. This assumption allows us to examine how the dynamic responses of financial market quantities such as government bond yields and inflation swaps to euro area monetary policy shocks change with the US policy stance. Scenario-specific impulse responses show that the transmission of euro area monetary policy through financial markets does indeed depend on the prevailing monetary policy regime of the Federal Reserve and has significant effects on a variety of euro area variables.
Schlagwörter: 
Monetary Policy Transmission
Financial Markets
Real Rates
High-Frequency Data
Smooth Transition VAR
JEL: 
E43
E52
F42
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
994.77 kB





Publikationen in EconStor sind urheberrechtlich geschützt.