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

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

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  1. 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.
  2. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  3. 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.
  4. 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.
  5. 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.
  6. A. Anzuini & M. J. Lombardi & P. Pagano, 2013. "The Impact of Monetary Policy Shocks on Commodity Prices," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 125-150, September.
  7. Piazzesi, Monika & Swanson, Eric T., 2008. "Futures prices as risk-adjusted forecasts of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
  8. 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.
  9. 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.
  10. 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.
  11. Daniel L. Thornton, 2014. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Oxford Economic Papers, Oxford University Press, vol. 66(1), pages 67-87, January.
  12. Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers 2015-12, University of Paris West - Nanterre la Defense, EconomiX.
  13. 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.
  14. Angeloni, Ignazio & Faia, Ester & Lo Duca, Marco, 2015. "Monetary policy and risk taking," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 285-307.
  15. 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.
  16. Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK, 2010. "Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 25(295), pages 21-45.
  17. 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.
  18. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
  19. Saleem Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Discussion Papers 1406, Centre for Macroeconomics (CFM).
  20. 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.
  21. 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.
  22. 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.
  23. Monticini & Vaciago, 2004. "Are Europe Interest Rates led by FED's Announcements?," Macroeconomics 0407025, EconWPA.
  24. Masahiko Shibamoto, 2016. "Source of Underestimation of the Monetary Policy Effect: Re-Examination of the Policy Effectiveness in Japan's 1990s," Manchester School, University of Manchester, vol. 84(6), pages 795-810, December.
  25. 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.
  26. 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.
  27. 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 447-466, November.
  28. 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.
  29. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2015. "Macroeconomic Effects of Precautionary Demand for Oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 968-986, 09.
  30. 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.
  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. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
  33. 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.
  34. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, 09.
  35. Hilde C. Bjørnland, 2005. "Monetary policy and the illusionary exchange rate puzzle," Working Paper 2005/11, Norges Bank.
  36. Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2014. "Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S," "Marco Fanno" Working Papers 0181, Dipartimento di Scienze Economiche "Marco Fanno".
  37. 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.).
  38. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
  39. Eric T. Swanson, 2011. "Let's Twist Again: A High-Frequency Event-study Analysis of Operation Twist and Its Implications for QE2," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 151-207.
  40. 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.
  41. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
  42. Jon Wongswan, 2006. "Transmission of Information across International Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1157-1189.
  43. 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.
  44. 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.
  45. Yuriy Gorodnichenko & Michael Weber, 2016. "Are Sticky Prices Costly? Evidence from the Stock Market," American Economic Review, American Economic Association, vol. 106(1), pages 165-199, January.
  46. repec:eee:jimfin:v:74:y:2017:i:c:p:88-114 is not listed on IDEAS
  47. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
  48. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
  49. Kriwoluzky, Alexander, 2012. "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, vol. 56(3), pages 373-388.
  50. William T Gavin, 2007. "Recent Developments in Monetary Macroeconomics and US Dollar Policy," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 49-56, August.
  51. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
  52. 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.
  53. "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.
  54. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Economics Letters, Elsevier, vol. 121(2), pages 247-251.
  55. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Identifying Unconventional Monetary Policy Shocks," Discussion Paper Series DP2017-05, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2017.
  56. Kronick, Jeremy, 2014. "Monetary Policy Shocks from the EU and US: Implications for Sub-Saharan Africa," MPRA Paper 59416, University Library of Munich, Germany.
  57. 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.
  58. Bjørnland, Hilde C., 2009. "Monetary policy and exchange rate overshooting: Dornbusch was right after all," Journal of International Economics, Elsevier, vol. 79(1), pages 64-77, September.
  59. 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.
  60. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
  61. Jorda, Oscar & Schularick, Moritz & Taylor, Alan M., 2017. "Large and State-Dependent Effects of Quasi-Random Monetary Experiments," Working Paper Series 2017-2, Federal Reserve Bank of San Francisco.
  62. Gabriel Pérez Quirós & Jorge Sicilia, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Papers 0229, Banco de España;Working Papers Homepage.
  63. Masuod Homayounifar & Kamran Pahlavan Mosaveri & Elmira Shahriari, 2014. "Football Marketing and Its Effect on Economic Boom," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 2, pages 1-1, December.
  64. James Bishop & Peter Tulip, 2017. "Anticipatory Monetary Policy and the 'Price Puzzle'," RBA Research Discussion Papers rdp2017-02, Reserve Bank of Australia.
  65. James Cloyne & Patrick Hürtgen, 2016. "The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 75-102, October.
  66. Gultekin Isiklar, 2005. "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics 0501001, EconWPA, revised 02 Jan 2005.
  67. Efrem Castelnuovo, 2016. "Modest Macroeconomic Effects of Monetary Policy Shocks during the Great Moderation: An Alternative Interpretation," Melbourne Institute Working Paper Series wp2016n30, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  68. Neuenkirch, Matthias, 2013. "Monetary policy transmission in vector autoregressions: A new approach using central bank communication," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4278-4285.
  69. Pitschner, Stefan, 2013. "Using Financial Markets To Estimate the Macro Effects of Monetary Policy:," Working Paper Series 267, Sveriges Riksbank (Central Bank of Sweden).
  70. 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.
  71. Llaudes, Ricardo, 2007. "Monetary policy shocks in a two-sector open economy: an empirical study," Working Paper Series 799, European Central Bank.
  72. 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.
  73. Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
  74. Elif C. Arbatli, 2008. "Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account," Staff Working Papers 08-48, Bank of Canada.
  75. 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.
  76. Willems, Tim, 2013. "Analyzing the effects of US monetary policy shocks in dollarized countries," European Economic Review, Elsevier, vol. 61(C), pages 101-115.
  77. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  78. Tim Willems, 2011. "Using Dollarized Countries to Analyze the Effects of US Monetary Policy Shocks," 2011 Meeting Papers 200, Society for Economic Dynamics.
  79. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy: new data and evidence from the United Kingdom," Bank of England working papers 615, Bank of England.
  80. 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.
  81. 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.
  82. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
  83. Melolinna, Marko, 2008. "Using financial markets information to identify oil supply shocks in a restricted VAR," Research Discussion Papers 9/2008, Bank of Finland.
  84. Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
  85. Andrew J Swiston, 2007. "Where Have the Monetary Surprises Gone? The Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund.
  86. Juan R. Hernández, 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
  87. Farka, Mira & DaSilva, Amadeu, 2011. "The fed and the term structure: Addressing simultaneity within a structural VAR model," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 935-952.
  88. Lutz Kilian, 2013. "Structural vector autoregressions," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554 Edward Elgar Publishing.
  89. 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.
  90. 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.
  91. Paul, Pascal, 2017. "The Time-Varying Effect of Monetary Policy on Asset Prices," Working Paper Series 2017-9, Federal Reserve Bank of San Francisco.
  92. 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.
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