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Understanding global liquidity
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
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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
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Active monetary policy, passive fiscal policy and the value of public debt: some further monetarist arithmetic
von Thadden, Leopold - Deutsche Bundesbank - 2003
?aktiven? Geldpolitik und einer ?passiven? Fiskalpolitik. Insbesondere wird davon ausgegangen, dass der Fiskalagent die …
Persistent link: https://www.econbiz.de/10005083165
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Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers
Leith, Campbell; von Thadden, Leopold - Deutsche Bundesbank - 2006
This paper develops a small New Keynesian model with capital accumulation and government debt dynamics. The paper discusses the design of simple monetary and fiscal policy rules consistent with determinate equilibrium dynamics in the absence of Ricardian equivalence. Under this assumption,...
Persistent link: https://www.econbiz.de/10005083241
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Monetary and fiscal policy rules in a model with capital accumulation and potentially non-superneutral money
von Thadden, Leopold - Deutsche Bundesbank - 2002
We consider the properties of two monetary policy rules (monetary targeting, Taylor-type interest rate rule) in an intertemporal equilibrium model with capital accumulation and two outside assets (government bonds, fiat money). The paper shows that the long-run behaviour of the economy depends...
Persistent link: https://www.econbiz.de/10005083289
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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
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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
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On policy interactions among nations: when do cooperation and commitment matter?
Kempf, Hubert; von Thadden, Leopold - European Central Bank - 2008
This paper offers a framework to study commitment and cooperation issues in games with multiple policymakers. To reconcile some puzzles in the recent literature on the nature of policy interactions among nations, we prove that games characterized by different commitment and cooperation schemes...
Persistent link: https://www.econbiz.de/10005816174
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - European Central Bank - 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/10008476125
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Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers
Leith, Campbell; von Thadden, Leopold - European Central Bank - 2006
This paper develops a small New Keynesian model with capital accumulation and government debt dynamics. The paper discusses the design of simple monetary and fiscal policy rules consistent with determinate equilibrium dynamics in the absence of Ricardian equivalence. Under this assumption,...
Persistent link: https://www.econbiz.de/10005530871