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Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris - Deutsche Bundesbank - 2013

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

Persistent link: https://www.econbiz.de/10010957104

Monetary policy and the oil futures market

Eickmeier, Sandra; Lombardi, Marco J. - Deutsche Bundesbank - 2012

We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...

Persistent link: https://www.econbiz.de/10010957148

Optimal stabilization policy with endogenous firm entry

Berentsen, Aleksander; Waller, Christopher J. - Federal Reserve Bank of St. Louis - 2009

Monetary policy has significant but overlooked effects on entry and exit of firms. We study optimal monetary stabilization policy in a DSGE model with microfounded money demand and endogenous firm entry. Due to a congestion externality affecting firm entry, the optimal policy deviates from the...

Persistent link: https://www.econbiz.de/10005077874

Price level targeting and stabilization policy

Berentsen, Aleksander; Waller, Christopher J. - Federal Reserve Bank of St. Louis - 2009

We construct a dynamic stochastic general equilibrium model to study optimal monetary stabilization policy. Prices are fully flexible and money is essential for trade. Our main result is that if the central bank pursues a price-level target, it can control inflation expectations and improve...

Persistent link: https://www.econbiz.de/10005077878

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - Deutsche Bundesbank - 2010

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10008595899

Macroeconomic factors and micro-level bank risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - Deutsche Bundesbank - 2010

The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...

Persistent link: https://www.econbiz.de/10008727825

Monetary policy with asset-backed money

Andolfatto, David; Berentsen, Aleksander; Waller, … - Federal Reserve Bank of St. Louis - 2013

We study the use of intermediated assets as media of exchange in a neo- classical growth model. An intermediary is delegated control over productive capital and finances itself by issuing claims against the revenue generated by its operations. Unlike physical capital, intermediated claims are...

Persistent link: https://www.econbiz.de/10010705757

Channel systems: Why is there a positive spread?

Berentsen, Aleksander; Marchesiani, Alessandro; Waller, … - Federal Reserve Bank of St. Louis - 2010

this result in a dynamic general equilibrium model where market participants have heterogeneous liquidity needs and where …

Persistent link: https://www.econbiz.de/10008690980

In search for yield? Survey-based evidence on bank risk taking

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - Deutsche Bundesbank - 2011

There is growing consensus that the conduct of monetary policy can have an impact on stability through the risk-taking incentives of banks. Falling interest rates might induce a 'search for yield' and generate incentives to invest into risky activities. This paper provides evidence on the link...

Persistent link: https://www.econbiz.de/10009024639