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Thierfelder, Felix - Deutsche Bundesbank - 2012

Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …

Persistent link: https://www.econbiz.de/10010535438

Does anticipation of government spending matter? Evidence from an expectation augmented VAR

Tenhofen, Jörn; Wolff, Guntram B. - Deutsche Bundesbank - 2007

How does private consumption react to an exogenous increase in government expenditure? Standard structural vector autoregressions (SVARs) usually report a positive GDP as well as consumption response, while event studies report a negative consumption response. We investigate in a SVAR whether...

Persistent link: https://www.econbiz.de/10005083242

The macroeconomic effects of exogenous fiscal policy shocks in Germany: a disaggregated SVAR analysis

Wolff, Guntram B.; Tenhofen, Jörn; Heppke-Falk, Kirsten H. - Deutsche Bundesbank - 2006

We investigate the short-term effects of fiscal policy shocks on the German economy following the SVAR approach by Blanchard and Perotti (2002). We find that direct government expenditure shocks increase output and private consumption on impact with low statistical significance, while they...

Persistent link: https://www.econbiz.de/10005083253

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

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