This paper provides an overview of supply and demand factors influencing the availability of euro-denominated debt instruments that qualify as high-quality liquid assets (HQLA) in the euro area. The paper estimates the supply of HQLA issued by the public and private sectors as well as the...

This paper exhibits and quantifies a new theoretical channel of the non-neutrality of inflation transiting through capital market imperfections. Unconstrained households change their financial position in front of a change in the inflation rate, whereas constrained households can not. Thus...

We investigate whether monetary policy defined as an interest rate rule should respond to stock prices fluctuations under the following two criteria: 1) the rule must guarantee a unique equilibrium and 2) the MSV representation of this unique equilibrium must be learnable in the E-stability...

This paper embeds the financial accelerator into a medium-scale DSGE model and estimates it using Bayesian methods. Incorporation of financial frictions enhances the model's description of the main macroeconomic aggregates. The financial accelerator accounts for approximately ten percent of...

The method of maximum likelihood is used to estimate a Dynamic Stochastic General Equilibrium business cycle model that combines elements of existing sticky-price and limited-participation specifications. Sticky prices are incorporated, following Rotemberg (1982), by assuming that...

This paper presents a model of a monetary production economy with non-Walrasian good, labor and money markets. In the non-Walrasian approach, transactions occur at non clearing prices and agents's demand and supply are affected by quantity constraints in the opposite side of the market. The...

Identification of the monetary policy process is of ongoing interest to both economists and private sector agents. Econometricians have used a variety of tools to identify which macroeconomic variables stimulate a change in monetary policy and to estimate the magnitude and timing of the...

This paper examines the role of housing decisions on business cycles fluctuations. We use an overlapping generation model where to acquire a house whose services are an argument in the utility function households have to save for a down payment and make a long term financial committment. Because...

Using a sticky price-wage model with capital accumulation and adjustment costs, this paper analyses the welfare effects of non-fundamental asset price and investment fluctuations for the representative household. The welfare effect depends strongly on the steady state level around which the...

In the late 1960s and into the 1970s, the United States experienced a burst of inflation the origins of which seemed hard to uncover. This paper advances the idea that the Fed simply got the model wrong. We assume that the true model of the economy is a variant of the standard New Keynesian...