Heterogeneous Loans and the Effect of Monetary Interventions

The amount of credit in the economy is a heterogeneous aggregate that can be analyzed across different dimensions. Considering such dimensions provides insights into the effect of monetary policy interventions because the credit components are observed to respond differently. Several possible motivations are behind such a differential response and those relate to either demand and supply factors intrinsic to the transmission mechanism of monetary policy. Our objective is to unveil such a differential response across a couple of relevant dimensions and discuss the possible causes behind what observed. The analysis refers to the US and is based on a vector auto-regression estimated using Bayesian techniques and identified with a combination of sign and zero-restrictions

If the Fed sneezes, who catches a cold?

This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. In most countries, a surprise US monetary tightening leads to depreciation against the dollar; industrial production and real GDP fall, unemployment rises. Inflation declines especially in advanced economies. At the same time, there is significant heterogeneity across countries in the response of asset prices, and portfolio and banking cross-border flows. However, no clear-cut systematic relation emerges between country responses and likely relevant country characteristics, such as their income level, dollar exchange rate flexibility, financial openness, trade openness vs. the US, dollar exposure in foreign assets and liabilities, and incidence of commodity exports. 2017 Elsevier B.V. All rights reserved

Реформування бюджетних відносин: нові позитивні зрушення чи проблеми

Дмитрик, О. О. Реформування бюджетних відносин: нові позитивні зрушення чи проблеми / О. О. Дмитрик, К. О. Токарєва // Харківський національний університет внутрішніх справ: 25 років досвіду та погляд у майбутнє (1994–2019 рр.) : зб. тез доп. на міжнар. наук.-практ. конф. до 25-річчя створення ун-ту (м. Харків, 22 листоп. 2019 р.) / МВС України, Харків. нац. ун-т внутр. справ. – Харків, 2019. – С. 155-157.Автором статті зауважено, що рецензовані законопроєкти містять низку положень, які негативно впливають на бюджетну діяльність, зокрема, на фінансування бюджетних установ в Україні, суттєво обмежують їх право розпоряджатися власними коштами і, як наслідок, створюють умови для жорсткої централізації розглядуваних відносин.The author of the article noted that the draft laws under review contain a number of provisions that negatively affect budgetary activities, in particular, the financing of budgetary institutions in Ukraine, significantly limit their right to manage their own funds and, as a result, create conditions for the strict centralization of the relations under consideration.Автором статьи отмечено, что рецензируемые законопроекты содержат ряд положений, негативно влияющих на бюджетную деятельность, в частности, на финансирование бюджетных учреждений в Украине, существенно ограничивают их право распоряжаться собственными средствами и, как следствие, создают условия для жесткой централизации рассматриваемых отношений

rostrata

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Conventional monetary interventions through the credit channel and the rise of non-bank institutions

The amount of credit assets held by non-bank institutions has increased substantially in recent decades, to the point where it exceeded the amount held by depository institutions in the US before the global financial crisis. Our research aims to gain evidence on whether the credit channel of monetary policy, i.e. the transmission of monetary interventions through bank lending, has been altered by the enlargement of the non-bank sector. The analysis is based on the period before the global financial crisis in order to apply a theory-consistent identification of conventional monetary interventions within a large Bayesian VAR. The results indicate an uncertain transmission in the period when the non-bank sector is larger, casting doubt on the grip of monetary interventions in an evolving scenario

An Event Study Analysis of ECB Unconventional Monetary Policy

This paper analyzes the impact of the unconventional monetary policy measures implemented by the European Central Bank since 2007 to cope with the financial and sovereign debt crisis. The focus is on government bond yields of 10 European countries and 6 extra-Euro countries to evaluate the monetary policy transmission mechanism. In particular, I evaluate the effects of monetary policy announcements and liquidity injections on the yield curve. The econometric tool applied is the event-study methodology on policy announcements and liquidity injections (longer-term refinancing operations). Results support the existence of an expectational channel of transmission and, more important, they shows that the effects of unconventional measures are not unique inside the monetary union but vary between countries and over time. In particular, the unfolding of the European sovereign debt crisis completely changed the impact of liquidity injections as they led to a rise in interest rate spreads for highly indebted countries

Monetary Interventions and the Rise of Non-Bank Lenders

The amount of assets managed by non-bank lenders has increased significantly over the last decades. Our research aims to clarify whether such an increase has had any impact on the effectiveness of monetary policy. To this end, we consider several credit aggregates granted from bank and non-bank institutions for different scopes and developments in the US economy. Our analysis is based on the estimation of a large Bayesian VAR. The results suggest that the rise of non-bank lenders has reduced and altered the monetary policy transmission mechanism

tenax

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Measuring the Effects of U.S. Uncertainty and Monetary Conditions on EMEs’ Macroeconomic Dynamics

We explore empirically the transmission of U.S. financial and macroeconomic uncertainty to emerging market economies (EMEs). We start by assuming that there are crucial differences between volatility and uncertainty, and between the latter and its shocks. With the help of Bayesian vector auto-regressions, we first identify two measures of U.S. uncertainty shocks, which appear to explain the dynamics of output developments better than conventional volatility measures. Next, we find evidence that adverse shocks to U.S. aggregate uncertainty are associated with marked contractions in some EMEs’ business cycles. However, we detect significant cross-country heterogeneity in the responses of EMEs’ business cycles to U.S uncertainty shocks. We also find generalized declines in stock market values, which supports the so-called Global Financial Cycle hypothesis