International Effects of Euro Area Forward Guidance
Martin Feldkircher and
Pierre Siklos ()
Authors registered in the RePEc Author Service: Maximilian Böck
Oxford Bulletin of Economics and Statistics, 2021, vol. 83, issue 5, 1066-1110
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Working Paper: International effects of euro area forward guidance (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:83:y:2021:i:5:p:1066-1110
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049
Access Statistics for this article
Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple
More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().