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Identification and the Effects of Monetary Policy Shocks
0 references·16 citing·48 second hopsampled
Identification and the Effects of Monetary Policy Shocks (1996)Identification and the Effects of Monetar…Monetary policy and bank lending rates in low-income countries: Heterogeneous panel estimates (2014)Monetary policy and bank lend…Monetary policy and stock market dynamics across monetary regimes (2012)Monetary policy and stock mar…Implementation of Monetary Policy: How Do Central Banks Set Interest Rates? (2010)Implementation of Monetary Po…Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate (2005)Measuring Monetary Policy Sho…Monetary policy and inflation in Brazil (1975-2000): a VAR estimation (2003)Monetary policy and inflation…The Federal Reserve’s operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect (2001)The Federal Reserve’s operati…The Empirics of Monetary Policy Rules in Open Economies (2001)The Empirics of Monetary Poli…The Cost Channel of Monetary Transmission (2001)The Cost Channel of Monetary …Term structure views of monetary policy under alternative models of agent expectations (2001)Term structure views of monet…On the Derivation of Monetary Policy Shocks: Should We Throw the VAR out with the Bath Water? (2000)On the Derivation of Monetary…Monetary shocks, the exchange rate, and the trade balance (1999)Monetary shocks, the exchange…The Real Effects of Monetary Policy in the European Union: What Are the Differences? (1998)The Real Effects of Monetary …The Industrial Impact of Monetary Policy Shocks: Some Stylised Facts (1998)The Industrial Impact of Mone…The Real Effects of Monetary Policy in the European Union (1997)The Real Effects of Monetary …Monetary Policy Shocks and Long-Term Interest Rates (1996)Monetary Policy Shocks and Lo…Understanding the price puzzle (1994)Understanding the price puzzleThe federal funds rate and the channels of monetary transmission (1989)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Industry Effects of Monetary Policy in Germany (2000)The Regional Transmission of UK Monetary Policy (2007)UK Stock Returns and the Impact of Domestic Monetary Policy Shocks (2007)How Well Does The IS-LM Model Fit Postwar U. S. Data? (1992)Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)The Exchange Rate and the Monetary Transmission Mechanism in Germany (1999)Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity (2003)Monetary transmission: empirical evidence from Luxembourg firm-level data (2003)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Discretion versus policy rules in practice (1993)Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals (2011)An Endogenous Money Perspective on the Post-Crisis Monetary Policy Debate (2012)A Model of Monetary Policy and Risk Premia (2014)A Theory of the Term Structure of Interest Rates (1985)The Central Tendency: A Second Factor in Bond Yields (1998)Interest Rate Reaction Functions and the Taylor Rule in the Euro Area (2004)Averaging forecasts from VARs with uncertain instabilities (2009)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)MACROECONOMIC VARIABLES, EXCHANGE RATE AND STOCK PRICE: A MALAYSIAN PERSPECTIVE (2001)The effect of exchange rate changes on trade balances in the short and long run (2004)Monetary shocks, exchange rates and trade balances: Evidence from inflation targeting countries (2010)Macroeconomics and Reality (1980)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models (2001)Financial predictors of real activity and the financial accelerator (2003)Monetary policy rules and their application in Russia (2005)Inference in Linear Time Series Models with some Unit Roots (1990)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary policy, inflation and the level of economic activity in Brazil after the Real Plan: stylized facts from SVAR models (2008)Monetary policy channels in Brazil through the lens of a semi-structural model (2012)Transmission Lags of Monetary Policy: A Meta-Analysis (2012)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)On Regional Monetary Arrangements for ASEAN (2000)Empirical Determinants of Saving in the Islamic Banks: Evidence from Indonesia (2009)A Structural VAR Analysis of Renewable Energy Consumption, Real GDP and CO2 Emissions: Evidence from India (2011)Estimating long-run relationships from dynamic heterogeneous panels (1995)Structural Panel VARs (2013)Bank lending behavior in emerging markets (2018)Monetary policy and bank lending in developing countries: Loan applications, rates, and real effects (2019)Oil and the Macroeconomy since World War II (1983)Agency Costs, Net Worth, And Business Fluctuations (1988)The relative price effects of monetary shocks (2007)Towards an explanation of cross-country asymmetries in monetary transmission (2013)
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  • 1998The Real Effects of Monetary Policy in the European Union: What Are the Differences?132 cited
  • 2014Monetary policy and bank lending rates in low-income countries: Heterogeneous panel estimates131 cited
  • 2003Monetary policy and inflation in Brazil (1975-2000): a VAR estimation108 cited
  • 2001Term structure views of monetary policy under alternative models of agent expectations105 cited
  • 1998The Industrial Impact of Monetary Policy Shocks: Some Stylised Facts97 cited
  • 2001The Empirics of Monetary Policy Rules in Open Economies88 cited
  • 2010Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?82 cited
  • 2005Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate81 cited
  • 1999Monetary shocks, the exchange rate, and the trade balance71 cited
  • 2001The Cost Channel of Monetary Transmission71 cited
  • 1997The Real Effects of Monetary Policy in the European Union71 cited
  • 2000On the Derivation of Monetary Policy Shocks: Should We Throw the VAR out with the Bath Water?70 cited
  • 2012Monetary policy and stock market dynamics across monetary regimes65 cited
  • 1994Understanding the price puzzle

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64 cited
  • 2001The Federal Reserve’s operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect60 cited
  • 1996Monetary Policy Shocks and Long-Term Interest Rates59 cited