We address two main questions. First, do monetary policy announcements contain noise? Second, if yes, what are the effects of policy noise on the economy? The answer to t[...]

Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics. MainProg_JAE.m replicates the analysis in Sect[...]

The Covid-19 pandemic, in Canada and around the world, accelerated trends toward non-cash payments. In this paper, we assess the impact of high-frequency fluctuations in [...]

We examine the impact of US monetary policy news on portfolio flows to emerging markets using a Bayesian Vectorautoregression that accounts for expectations of future mon[...]

We examine the impact of US monetary policy news on portfolio flows to emerging markets using a Bayesian Vectorautoregression that accounts for expectations of future mon[...]

The U.S. Federal Reserve responded to the great recession by implementing quantitative easing, or large-scale asset purchases, when its conventional policy rate reached t[...]

Given the growing importance of emerging market economies (EMEs) in driving global GDP growth, timely and accurate assessments of current and future economic activity in [...]

This paper studies the effects of a conventional monetary policy shock in the USA during times of high financial stress. The analysis is carried out by introducing a smoo[...]

This paper studies the effects of a conventional monetary policy shock in the USA during times of high financial stress. The analysis is carried out by introducing a smoo[...]

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After documenting some stylised facts of credit-less rec[...]