The impact of monetary policy on economic activity in Portugal: a high-frequency event-study

Detalhes bibliográficos
Autor(a) principal: Silva, Guilherme Bugalho Mah Alves Da
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/133141
Resumo: My paper is a novel event ­study that estimates the impact of monetary policy on economic activity in Portugal. I identify four monetary surprises from high­ frequency windows: a Target, Short Path, Long Path and QE. Estimates display insignificant effects on economic activity on policy days. Between the third and sixth day ahead, all monetary surprises showcase significant effects, with QE showing a significant impact until the eighth day ahead. However, only the Target seems to have a significant cumulative effect over a 30 days ­a head horizon. Likewise, monthly estimates unveil that only the Target is significant to explain economic activity contemporaneously (CI=0.68).
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spelling The impact of monetary policy on economic activity in Portugal: a high-frequency event-studyTime seriesSvarDfmMonetary policyHigh-frequencyLocal projectionsForward guidanceQuantitative easingEconomic activityDomínio/Área Científica::Ciências Sociais::Economia e GestãoMy paper is a novel event ­study that estimates the impact of monetary policy on economic activity in Portugal. I identify four monetary surprises from high­ frequency windows: a Target, Short Path, Long Path and QE. Estimates display insignificant effects on economic activity on policy days. Between the third and sixth day ahead, all monetary surprises showcase significant effects, with QE showing a significant impact until the eighth day ahead. However, only the Target seems to have a significant cumulative effect over a 30 days ­a head horizon. Likewise, monthly estimates unveil that only the Target is significant to explain economic activity contemporaneously (CI=0.68).Duarte, João B.RUNSilva, Guilherme Bugalho Mah Alves Da2022-02-18T14:21:01Z2021-06-292021-05-212021-06-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/133141TID:202770818enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:11:52Zoai:run.unl.pt:10362/133141Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:47:43.896785Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
title The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
spellingShingle The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
Silva, Guilherme Bugalho Mah Alves Da
Time series
Svar
Dfm
Monetary policy
High-frequency
Local projections
Forward guidance
Quantitative easing
Economic activity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
title_full The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
title_fullStr The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
title_full_unstemmed The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
title_sort The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
author Silva, Guilherme Bugalho Mah Alves Da
author_facet Silva, Guilherme Bugalho Mah Alves Da
author_role author
dc.contributor.none.fl_str_mv Duarte, João B.
RUN
dc.contributor.author.fl_str_mv Silva, Guilherme Bugalho Mah Alves Da
dc.subject.por.fl_str_mv Time series
Svar
Dfm
Monetary policy
High-frequency
Local projections
Forward guidance
Quantitative easing
Economic activity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Time series
Svar
Dfm
Monetary policy
High-frequency
Local projections
Forward guidance
Quantitative easing
Economic activity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description My paper is a novel event ­study that estimates the impact of monetary policy on economic activity in Portugal. I identify four monetary surprises from high­ frequency windows: a Target, Short Path, Long Path and QE. Estimates display insignificant effects on economic activity on policy days. Between the third and sixth day ahead, all monetary surprises showcase significant effects, with QE showing a significant impact until the eighth day ahead. However, only the Target seems to have a significant cumulative effect over a 30 days ­a head horizon. Likewise, monthly estimates unveil that only the Target is significant to explain economic activity contemporaneously (CI=0.68).
publishDate 2021
dc.date.none.fl_str_mv 2021-06-29
2021-05-21
2021-06-29T00:00:00Z
2022-02-18T14:21:01Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/133141
TID:202770818
url http://hdl.handle.net/10362/133141
identifier_str_mv TID:202770818
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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