Research

VAR analyses on the effects of monetary policy shocks are usually based on final revised data. Instead, we explicitly model the real-time information set of the Federal Open Market Committee using Greenbook data. We jointly estimate the real-time monetary policy reaction function implied by the VAR, equations measuring the transmission of monetary policy based on final revised data and the effects of monetary policy on different vintages of Greenbook revisions. We find that monetary policy shocks have a stronger countercyclical effect when accounting for information problems than conventional final data VAR models imply. In particular, the impact of monetary policy shocks on prices is considerably underestimated when using revised data. Finally, we show that many of the empirical findings provided by the real-time monetary policy rule literature carry over to monetary policy analysis in real-time VARs. (Draft upon request)

pdf|slides Central bank announcements may comprise different information components. I use high-frequency financial market data and a theoretically founded identification scheme to disentangle FOMC announcements into a standard monetary policy shock, forward guidance regarding future interest rates and an information shock containing news about the economic outlook. My analysis shows that these different dimensions of monetary policy announcements have quite distinct effects on the term structure. Expansionary forward guidance leads to a persistent decrease in the term premium. The majority of the term premium response on announcement days is, however, caused by news about nominal risks to the economic outlook. Thus, for the transmission of forward guidance and information shocks to the real economy, the effects on market participants’ expectations captured by the term premium turn out to be important. In a local projection analysis, I use the shock series as instruments to provide evidence for the effects of the different components of FOMC announcements. My results show a significant impact of the conventional monetary policy shock and the forward guidance shock on the real economy, without any evidence for a price or quantity puzzle. Further, information shocks have a considerable effect on actual and expected output growth demonstrating the importance of accounting for this additional component of monetary policy announcements.

pdf We examine the credit channel of the European Central Bank (ECB) monetary policy transmission mechanism and detect that an expansionary monetary policy shock leads to a short-run increase in the credit risk of non- nancial corporations before their credit conditions improve in the mid to long run. Our analysis for France, Germany, Italy, and Spain from 2000 to 2015 shows that this adverse short-run e ect is primarily driven by the post-2009 period, which is characterized by a low interest rate environment. Interestingly, our results indicate that this adverse effect can be mitigated when ECB monetary policy targets the long-run expectations of the  nancial market participants. The introduction of the Corporate Bond Purchase Programme in 2016 may thus help combat the dysfunctional credit channel of the euro area.

pdf In this paper we give an overview of the German and European reliance on energy imports from Russia with a focus on gas imports and we discuss price effects, alternative suppliers of natural gas, and the potential for saving and replacing natural gas. Finally, we provide an overview of estimates of the consequences on the economic outlook if the conflict intensifies.

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