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The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10010948836

Sovereigns versus Banks: Credit, Crises, and Consequences

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2013

peak, but in a financial crisis recession the drop is typically 5 percent and it takes over 5 years to regain the previous …Two separate narratives have emerged in the wake of the Global Financial Crisis. One interpretation speaks of private …) in a normal recession and recovery real GDP per capita falls by 1.5 percent and takes only 2 years to regain its previous …

Persistent link: https://www.econbiz.de/10010877944

The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality

Egert, Balazs; Sutherland, Douglas - CESifo - 2012

This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of...

Persistent link: https://www.econbiz.de/10010550832

Consumption, Wealth and Business Cycles in Germany

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - CESifo - 2005

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies — mostly for the Anglo-Saxon economies — have generally documented that departures of these three variables from their common trend...

Persistent link: https://www.econbiz.de/10005765943

Effectiveness and Transmission of the ECB's Balance Sheet Policies

Boeckx, Jef; Dossche, Maarten; Peersman, Gert - CESifo - 2014

crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial … member countries that have been more affected by the financial crisis, in particular those countries where the banking system …

Persistent link: https://www.econbiz.de/10010887047

Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area

Peersman, Gert - CESifo - 2011

I find that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet or the monetary base, that is so-called quantitative easing. The transmission mechanism turns out to be different compared to traditional interest rate innovations: (i) whilst...

Persistent link: https://www.econbiz.de/10009320781

Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations

Peersman, Gert; Wagner, Wolf - CESifo - 2014

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...

Persistent link: https://www.econbiz.de/10010752434

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2011

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...

Persistent link: https://www.econbiz.de/10009391724

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - CESifo - 2010

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10008534040

Emergent Dynamics of a Macroeconomic Agent Based Model with Capital and Credit

Assenza, Tiziana; Gatti, Domenico Delli; Grazzini, Jakob - CESifo - 2014

Building on the framework put forward by Delli Gatti et al. 2011, in this paper we present and discuss a Macroeconomic Agent-Based Model with Capital and Credit (hereafter CC-MABM). The novelty of this model with respect to the previous framework consists in the introduction of capital goods...

Persistent link: https://www.econbiz.de/10010764279

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