The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
Autor(a) principal: | |
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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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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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1799138080110673920 |