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https://hdl.handle.net/1822/45113
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Campo DC | Valor | Idioma |
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dc.contributor.author | Jawadi, Fredj | por |
dc.contributor.author | Sousa, Ricardo M. | por |
dc.contributor.author | Traverso, Raffaella | por |
dc.date.accessioned | 2017-03-21T16:19:30Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Jawadi, F., Sousa, R. M., & Traverso, R. (2017). On the macroeconomic and wealth effects of unconventional monetary policy. Macroeconomic Dynamics, 1-16. doi: 10.1017/S1365100515000292 | por |
dc.identifier.issn | 1365-1005 | por |
dc.identifier.uri | https://hdl.handle.net/1822/45113 | - |
dc.description.abstract | This paper focuses on the macroeconomic and wealth effects of unconventional monetary policy. To this end, we estimate a Bayesian Structural Vector Autoregression (B-SVAR) using U.S. monthly data for the post-Lehman Brotherscollapse period. We show that a positive shock to the growth rate of central bank reserves does not have a substantial impact on the industrial production or the consumer price. However, the shock gives a strong boost to asset prices, which is larger in magnitude for stock prices than for housing prices. Thus, unconventional monetary policy typically operates via portfolio rebalancing effects. A VAR counter-factual exercise confirms the role of the shocks to the growth rate of central bank reserves in explaining the dynamics of the variables included in the system, especially, in the case of asset prices. Finally, additional empirical assessments uncover an important change in the conduct of monetary policy from "standard" to "exceptional" times and the suitability of our model in capturing such structural transformation. | por |
dc.description.sponsorship | We are grateful to participants to the Third International Symposium in Computational Economics and Finance (ISCEF), organized in Paris on April 10-12 2014 (http://www.iscef.com), and two anonymous referees for their constructive comments that considerably improved this paper. Sousa acknowledges that this work has been financed by Operational Programme for Competitiveness Factors-COMPETE and by National Funds through the FCT-Portuguese Foundation for Science and Technology within the remit of the project "FCOMP-01-0124-FEDER-037268 (PEst-C/EGE/UI3182/2013)." Traverso is also highly indebted to the suggestions made by Vitor Castro. Address correspondence to: Ricardo M. Sousa, University of Minho, Department of Economics and Economic Policies Research Unit (NIPE), Campus of Gualtar, 4710-057 Braga, Portugal; e-mail: rjsousa@eeg.uminho.pt,rjsousa@alumni.lse.ac.uk. | por |
dc.language.iso | eng | por |
dc.publisher | Cambridge University Press | por |
dc.relation | Compete 2020, Portugal 2020, Feder, FCT | por |
dc.rights | restrictedAccess | por |
dc.subject | Unconventional monetary policy | por |
dc.subject | Macroeconomic impact | por |
dc.subject | Wealth effects | por |
dc.subject | Bayesian Structural | por |
dc.subject | VAR | por |
dc.subject | Bayesian Structural VAR | por |
dc.title | On the macroeconomic and wealth effects of unconventional monetary policy | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | https://www.cambridge.org/core/journals/macroeconomic-dynamics/article/on-the-macroeconomic-and-wealth-effects-of-unconventional-monetary-policy/A31D90ED61270F0A1CB4326DAAD805F1 | por |
sdum.publicationstatus | info:eu-repo/semantics/acceptedVersion | por |
oaire.citationStartPage | 1189 | por |
oaire.citationEndPage | 1204 | por |
oaire.citationIssue | 5 | por |
oaire.citationTitle | Macroeconomic Dynamics | por |
oaire.citationVolume | 21 | por |
dc.identifier.eissn | 1469-8056 | por |
dc.identifier.doi | 10.1017/S1365100515000292 | por |
dc.subject.fos | Ciências Sociais::Economia e Gestão | por |
dc.subject.fos | Ciências Sociais::Economia e Gestão | por |
dc.description.publicationversion | info:eu-repo/semantics/publishedVersion | por |
dc.subject.wos | Social Sciences | por |
sdum.journal | Macroeconomic Dynamics | por |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Jawadi, Sousa, Traverso.pdf Acesso restrito! | 9,58 MB | Adobe PDF | Ver/Abrir |