SSRN Electronic Journal,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Jan. 1, 2024
This
paper
investigates
the
interaction
between
global
geopolitical
risks
and
energy
uncertainty
by
focusing
on
their
implications
for
domestic
prices
of
157
countries.
The
empirical
investigation
is
based
a
structural
vector
autoregression
model
covering
monthly
sample
period
1996m1-2022m10,
where
real
economic
activity
controlled
for.
results
show
that
unit
shock
to
risk
(normalized
one
standard
deviation)
in
about
1.13
units
an
increase
long
run
(after
two
years),
whereas
corresponding
effects
are
statistically
insignificant.
In
contrast,
52%
reduction
prices.
When
country-specific
considered,
10%
(10%)
oil
producing
countries,
32.1%
(19.7%)
non-oil
47.2%
(0%)
advanced
economies,
55%
euro
area
25%
(22.4%)
emerging
markets,
22.2%
(26.7%)
developing
countries
affected
positively
(negatively)
significant
way
following
positive
run.
comparison,
5%
(40%)
3.6%
(54%)
0%
(61.1%)
(50%)
3.9%
(56.6%)
6.7%
(37.8%)
Important
policy
follow
regarding
security
Macroeconomic Dynamics,
Journal Year:
2025,
Volume and Issue:
29
Published: Jan. 1, 2025
Abstract
How
do
geopolitical
risk
shocks
impact
monetary
policy?
Based
on
a
panel
of
18
economies,
we
develop
and
estimate
an
augmented
Taylor
rule
via
constant
time-varying
local
projection
regression
models.
First,
the
evidence
suggests
that
interest
rate
decreases
in
short
run
increases
medium
event
shock.
Second,
results
are
confirmed
model,
where
policy
reaction
is
accommodating
(1
to
2
months)
limit
negative
effects
consumer
sentiment.
In
term
(12
15
months),
central
bank
more
committed
combating
inflation
pressures.
SSRN Electronic Journal,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Jan. 1, 2024
How
do
geopolitical
risk
shocks
impact
monetary
policy?
Based
on
a
panel
of
20
economies,
we
develop
and
estimate
an
augmented
Taylor
rule
via
linear
nonlinear
local
projections
(LP)
regression
models.
First,
the
model
suggests
that
interest
rate
remains
relatively
unchanged
in
event
uncertainty
shock.
Second,
result
turns
out
to
be
different
model,
where
policy
reaction
is
muted
during
expansionary
state,
which
operating
manner
proportional
transitory
However,
risks
can
amplify
non-expansionary
period.
