International Effects of Euro Area Forward Guidance
Bibliographic Data
| ID | 21512922 |
|---|---|
| Authors | Maximilian Böck (Vienna University of Business and Economics (WU Wien) Wien Austria), Martin Feldkircher (0000-0002-5511-9215, Vienna School of International Studies (DA) & Oesterreichische Nationalbank (OeNB) Wien Austria, corresponding author), Pierre L Siklos (0000-0002-5685-2355, Wilfrid Laurier University & Balsillie School of International Affairs Waterloo Canada) |
| Year | 2021 |
| Volume | 83 |
| Issue | 5 |
| Pages | 1066-1110 |
| Publication date | 2021-10-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Oxford Bulletin of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0305-9049 • E-ISSN: 1468-0084 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/obes.12438 |
| OpenAlex | W3033451938 |
| Language | EN |
| Citations received | 2 |
| References cited | 64 |
In this paper, we investigate the international effects of euro rate forward guidance (FG) and compare them to spillovers from a conventional monetary policy shock (MP). We identify the forward guidance shock via a combination of zero and sign restrictions that use the relationship between expectations and observed data and additionally draw on insights from recent event studies using high‐frequency data. To address potential time variation, we use a fully flexible approach that allows to handle both drifts in residual variances and the structural coefficients. Our results show that both shocks lead to considerable international effects on output growth, inflation and equity returns. Moreover, we find that effects are stronger during the period of the global financial crisis, which is particularly true for the FG shock. This implies that monetary policy is generally not hindered in affecting the real economy by the zero lower bound. Also, shocks to expectations can have real domestic effects with international consequences
Economics · Interest rate · International economics · Monetary economics · Monetary policy · Political science · Global Financial Crisis and Policies · Italy: Economic History and Contemporary Issues · Monetary Policy and Economic Impact
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| Citations per year | 0.5 |
|---|---|
| Citation span | 2022 - 2023 (2) |
| Highly cited | No |