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The impact of monetary policy on economic activity in Portugal: a high-frequency event-study
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Orientador(es)
Resumo(s)
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).
Descrição
Palavras-chave
Time series Svar Dfm Monetary policy High-frequency Local projections Forward guidance Quantitative easing Economic activity