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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
This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...
Persistent link: https://www.econbiz.de/10005196187
We estimate the effects of exogenous innovations to the balance sheet of the ECB since the start of the financial crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial markets, and has a positive impact on economic activity...
Persistent link: https://www.econbiz.de/10010887047
beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in … the short-term popularity benefits of weak credit booms rather than implementing politically costly corrective policies …
Persistent link: https://www.econbiz.de/10010888458
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …
Persistent link: https://www.econbiz.de/10010948836
This paper presents a micro data approach to the identification of credit crunches. Using a survey among German firms … which regularly queries the firms’ assessment of the current willingness of banks to extend credit we estimate the … probability of a restrictive credit supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness …
Persistent link: https://www.econbiz.de/10008498992
credit multiplier. In contrast, the multiplier declines considerably after an expansion of the Eurosystem’s balance sheet. …
Persistent link: https://www.econbiz.de/10009320781
results suggest that the correlation between investment and savings depends on institutions, exchange rate risk and credit …
Persistent link: https://www.econbiz.de/10011155380
Over the past 20 years, macroeconomists have incorporated more and more results from behavioral economics into their models. We argue that doing so has helped fixed deficiencies with standard approaches to modeling the economy—for example, the counterfactual absence of inertia in the standard...
Persistent link: https://www.econbiz.de/10010877677
This paper examines empirically the interaction between immigration and host country economic conditions. We employ panel VAR techniques to use a large annual dataset on 22 OECD countries over the period 1987-2009. The VAR approach allows to addresses the endogeneity problem by allowing the...
Persistent link: https://www.econbiz.de/10010877796