This paper is on monetary policy transmission. First, it asks the question whether industries are affected differently by monetary policy shocks. Here both output and price effects are compared. Second, some industry characteristics are explored which may help to understand the existence of...

Recent empirical results about the US term structure are difficult to reconcile with the classical hypothesis of rational expectations even if time-varying but stationary term premia are allowed for. A hypothesis of rational learning about the conditional variance of the log pricing kernel is...

This paper studies the transmission of common monetary shocks across European countries by using a dynamic factor model (Forni-Reichlin (1998)). This technique allows to extract the common European monetary shock and to compute country-specific responses. Our identification employs rotations of...

As part of the monetary transmission studies of the Magyar Nemzeti Bank, this paper attempts to analyse the role of the housing market in the monetary transmission mechanism of Hungary. The housing market can influence monetary transmission through three channels, namely, the nature of the...

Over the last decade, research has shown that financing constraints have an important impact on many aspects of firm behavior and aggregate fluctuations. This paper undertakes a critical comparison of the three main financing constraint hypotheses- -the bank lending, collateral, and internal...

Since 1 January 1999 the ECB has conducted a single monetary policy in the euro area, but the mechanisms by which and the extent to which monetary shocks are transmitted into prices and real economic activity may vary from country to country. This paper investigates how and to what extent the...

The paper exploits a unique panel, covering some 2,000 Italian manufacturing firms and 14 years of data on individual prices and individual interest rates paid on several types of debt, to address the question of the existence of a channel of transmission of monetary policy operating through the...

In the present paper we explicitly introduce interest payments and debt into a Kaleckian distribution and growth model with an investment function very close to Kalecki’s original writings. The effects of interest rate variations on the short-run equilibrium values of capacity utilisation,...

This book focuses on general theory of price. Price, wage, interest rate, GNP and exchange rate, five factors, are very important not only in economics and economical activity, but also in social and political life. Those five factors are concrete, but also abstract. They belong to different...

In this paper, we begin the modeling of bond and currency prices from the modeling of the state-price density satisfying basic properties of a potential. We provide extensive examples and show their implications on bond and currency pricing. Most classic short rate models are special cases of...