IDEAS home Printed from
MyIDEAS: Login

Citations for "Identifying VARS based on high frequency futures data"

by Faust, Jon & Swanson, Eric T. & Wright, Jonathan H.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Bjørnland, Hilde C. & Jacobsen, Dag Henning, 2010. "The role of house prices in the monetary policy transmission mechanism in small open economies," Journal of Financial Stability, Elsevier, vol. 6(4), pages 218-229, December.
  2. Elif C. Arbatli, 2009. "Futures Markets, Oil Prices, and the Intertemporal Approach to the Current Account," 2009 Meeting Papers 406, Society for Economic Dynamics.
  3. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Working Paper Series 1565, European Central Bank.
  4. Laopodis, Nikiforos T., 2013. "Monetary policy and stock market dynamics across monetary regimes," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 381-406.
  5. Joshua D. Angrist & Òscar Jordà & Guido Kuersteiner, 2013. "Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited," NBER Working Papers 19355, National Bureau of Economic Research, Inc.
  6. Willems, Tim, 2013. "Analyzing the effects of US monetary policy shocks in dollarized countries," European Economic Review, Elsevier, vol. 61(C), pages 101-115.
  7. Daniel L. Thornton, 2009. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Working Papers 2009-037, Federal Reserve Bank of St. Louis.
  8. Pitschner, Stefan, 2013. "Using Financial Markets To Estimate the Macro Effects of Monetary Policy:," Working Paper Series 267, Sveriges Riksbank (Central Bank of Sweden).
  9. Ignazio Angeloni, 2010. "Monetary Policy and Risk Taking," Working Papers 380, Bruegel.
  10. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, 06.
  11. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
  12. Masahiko Shibamoto, 2014. "Source of Underestimation of the Monetary Policy Effect: Re-examination of the Policy Effectiveness in Japan's 1990s," Discussion Paper Series DP2014-10, Research Institute for Economics & Business Administration, Kobe University.
  13. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Economics Letters, Elsevier, vol. 121(2), pages 247-251.
  14. Monticini & Vaciago, 2004. "Are Europe Interest Rates led by FED's Announcements?," Macroeconomics 0407025, EconWPA.
  15. Andrew Swiston, 2007. "Where Have the Monetary Surprises Gone? The Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund.
  16. Eric T. Swanson, 2011. "Let’s twist again: a high-frequency event-study analysis of operation twist and its implications for QE2," Working Paper Series 2011-08, Federal Reserve Bank of San Francisco.
  17. Andrea Monticini & Giacomo Vaciago, 2007. "Are Euro Interest Rates led by FED Announcements?," Money Macro and Finance (MMF) Research Group Conference 2006 16, Money Macro and Finance Research Group.
  18. Hürtgen, Patrick & Cloyne, James, 2014. "The macroeconomic effects of monetary policy: A new measure for the United Kingdom," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100304, Verein für Socialpolitik / German Economic Association.
  19. William T. Gavin, 2005. "Recent developments in monetary macroeconomics and U.S. dollar policy," Working Papers 2005-062, Federal Reserve Bank of St. Louis.
  20. Carlo Rosa & Giovanni Verga, 2008. "The Impact of Central Bank Announcements on Asset Prices in Real Time," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 175-217, June.
  21. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2002. "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," International Finance Discussion Papers 739, Board of Governors of the Federal Reserve System (U.S.).
  22. Carlo Rosa & Giovanni Verga, 2006. "The impact of central bank announcements on asset prices in real time: testing the efficiency of the Euribor futures market," LSE Research Online Documents on Economics 19777, London School of Economics and Political Science, LSE Library.
  23. Tim Willems, 2011. "Using Dollarized Countries to Analyze the Effects of US Monetary Policy Shocks," 2011 Meeting Papers 200, Society for Economic Dynamics.
  24. Pérez Quirós, Gabriel & Sicilia, Jorge, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series 0192, European Central Bank.
  25. Gospodinov, Nikolay & Jamali, Ibrahim, 2015. "The response of stock market volatility to futures-based measures of monetary policy shocks," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 42-54.
  26. Peter Karadi & Mark Gertler, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," 2015 Meeting Papers 447, Society for Economic Dynamics.
  27. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
  28. Alexander Kriwoluzky, 2009. "Pre-announcement and Timing - The Effects of a Government Expenditure Shock," Economics Working Papers ECO2009/40, European University Institute.
  29. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
  30. Tim Willems, 2010. "What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries," Tinbergen Institute Discussion Papers 10-099/2, Tinbergen Institute, revised 25 Mar 2013.
  31. Barakchian, S. Mahdi & Crowe, Christopher, 2013. "Monetary policy matters: Evidence from new shocks data," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 950-966.
  32. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
  33. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
  34. Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak, 2010. "Turkiye’de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi," Working Papers 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  35. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
  36. M. Berument & Selahattin Togay & Afsin Sahin, 2011. "Identifying the Liquidity Effects of Monetary Policy Shocks for a Small Open Economy: Turkey," Open Economies Review, Springer, vol. 22(4), pages 649-667, September.
  37. Hilde C. Bjørnland, 2009. "Monetary policy and exchange rate overshooting: Dornbusch was right after all," Working Paper 2009/09, Norges Bank.
  38. Eric T. Swanson, 2004. "Federal Reserve transparency and financial market forecasts of short-term interest rates," Finance and Economics Discussion Series 2004-06, Board of Governors of the Federal Reserve System (U.S.).
  39. Hilde C. Bjørnland, 2006. "Monetary Policy and the Illusionary Exchange Rate Puzzle," Computing in Economics and Finance 2006 45, Society for Computational Economics.
  40. Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, EconWPA.
  41. Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
  42. Mark Gertler & Peter Karadi, 2014. "Monetary Policy Surprises, Credit Costs and Economic Activity," NBER Working Papers 20224, National Bureau of Economic Research, Inc.
  43. Sacht, Stephen, 2014. "Optimal monetary policy responses and welfare analysis within the highfrequency New-Keynesian framework," Economics Working Papers 2014-03, Christian-Albrechts-University of Kiel, Department of Economics.
  44. Yuriy Gorodnichenko & Michael Weber, 2013. "Are Sticky Prices Costly? Evidence From The Stock Market," NBER Working Papers 18860, National Bureau of Economic Research, Inc.
  45. Marko Melolinna, 2011. "Using Financial Markets Information to Identify Oil Supply Shocks in a Restricted VAR," Finnish Economic Papers, Finnish Economic Association, vol. 24(1), pages 33-54, Spring.
  46. Anzuini, Alessio & Lombardi, Marco J. & Pagano, Patrizio, 2010. "The impact of monetary policy shocks on commodity prices," Working Paper Series 1232, European Central Bank.
  47. Monika Piazzesi & Eric Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  48. "Hilde C." "Bjørnland", 2008. "Monetary Policy and Exchange Rate Interactions in a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 110(1), pages 197-221, 03.
  49. Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the Interdependence between US Monetary Policy and the Stock Market," Memorandum 12/2005, Oslo University, Department of Economics.
  50. Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
  51. Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  52. Olivier Coibion, 2012. "Are the Effects of Monetary Policy Shocks Big or Small?," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 1-32, April.
  53. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers CWP55/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  54. Douglas Laxton & Andrew Berg & Philippe D Karam, 2006. "A Practical Model-Based Approach to Monetary Policy Analysis—Overview," IMF Working Papers 06/80, International Monetary Fund.
  55. Zsolt Darvas, 2006. "Monetary Transmission in the New EU Member States: Evidence from Time-Varying Coefficient Vector Autoregression," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 140-155.
  56. Thapar, Aditi, 2008. "Using private forecasts to estimate the effects of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 806-824, May.
  57. Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages F447-F466, November.
  58. Matthias Neuenkirch, 2011. "Monetary Policy Transmission in Vector Autoregressions: A New Approach Using Central Bank Communication," MAGKS Papers on Economics 201143, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  59. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  60. Juan R. Hernández, 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
  61. Kronick, Jeremy, 2014. "Monetary Policy Shocks from the EU and US: Implications for Sub-Saharan Africa," MPRA Paper 59416, University Library of Munich, Germany.
  62. Llaudes, Ricardo, 2007. "Monetary policy shocks in a two-sector open economy: an empirical study," Working Paper Series 0799, European Central Bank.
  63. Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554 Edward Elgar.
  64. Saleem Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Discussion Papers 1406, Centre for Macroeconomics (CFM).
  65. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
  66. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
  67. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.).
  68. James D. Hamilton, 2008. "Daily Monetary Policy Shocks and the Delayed Response of New Home Sales," NBER Working Papers 14223, National Bureau of Economic Research, Inc.
  69. James H. Stock & Mark W. Watson, 2012. "Disentangling the Channels of the 2007-2009 Recession," NBER Working Papers 18094, National Bureau of Economic Research, Inc.
  70. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
  71. Alessandro Gobbi & Tim Willems, 2011. "Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries," Tinbergen Institute Discussion Papers 11-145/2, Tinbergen Institute.
  72. Luis N. Lanteri, 2014. "Choques macroeconómicos y tipo de cambio real. Alguna evidencia para Argentina," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2014), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages -, December.
  73. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2013. "Macroeconomic effects of precautionary demand for oil," Temi di discussione (Economic working papers) 918, Bank of Italy, Economic Research and International Relations Area.
  74. Selva Demiralp & Kevin Hoover & Stephen Perez, 2014. "Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression," Empirical Economics, Springer, vol. 46(2), pages 701-731, March.
  75. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
  76. Gultekin Isiklar, 2005. "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics 0501001, EconWPA, revised 02 Jan 2005.
  77. Carlo Rosa & Giovanni Verga, 2006. "The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market," CEP Discussion Papers dp0764, Centre for Economic Performance, LSE.
  78. Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
  79. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research and International Relations Area.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.