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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

Regional housing market spillovers in the US: lessons from regional divergences in a common monetary policy setting

Vansteenkiste, Isabel - European Central Bank - 2007

In this paper, we seek to quantify the importance of state-level housing price spillovers and interest rate shocks to … importance of interstate housing price spillovers. Beyond real house prices and real income per capita, each state … importance of housing price spillovers is state dependent, with shocks occurring in states with relatively lower land supply …

Persistent link: https://www.econbiz.de/10005222292

Monetary policy and housing prices in an estimated DSGE for the US and the euro area

Darracq Pariès, Matthieu; Notarpietro, Alessandro - European Central Bank - 2008

housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive … reinforce the existing evidence on the role of housing and mortgage markets for the US and provide new evidence on the … with the main features of optimal monetary policy response to housing-related shocks. JEL Classification: E4, E5, F4 …

Persistent link: https://www.econbiz.de/10005344916

Housing and equity wealth effects of Italian households

Grant, Charles; Peltonen, Tuomas A. - European Central Bank - 2008

The study quantifies stock market and housing market wealth effects on households' non-durable consumption using … Italian household panel data (SHIW) of 1989-2002. We found all households react similarly to aggregate housing and stock … market gains. We also found statistically and economically significant housing wealth effects with a marginal propensity to …

Persistent link: https://www.econbiz.de/10005222326

The reception of public signals in financial marketswhat if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...

Persistent link: https://www.econbiz.de/10005866483

optimal monetary Policy in a new keynesian model with habits in consumption

Leith, Campbell; Moldovan, Ioana; Rossi, Raffaele - European Central Bank - 2009

While consumption habits have been utilised as a means of generating a hump shapedoutput response to monetary policy shocks in sticky-price New Keynesian economies,there is relatively little analysis of the impact of habits (particularly, external habits) onoptimal policy. In this paper we...

Persistent link: https://www.econbiz.de/10005866485

Bank risk and monetary policy

Altunbaş, Yener; Gambacorta, Leonardo; Marqués … - European Central Bank - 2009

We find evidence of a bank lending channel for the euro area operating via bank risk.Financial innovation and the new ways to transfer credit risk have tended to diminishthe informational content of standard bank balance-sheet indicators. We show thatbank risk conditions, as perceived by...

Persistent link: https://www.econbiz.de/10005866486

Near-rational exuberance

Bullard, James; Evans, George W.; Honkapohja, Seppo - European Central Bank - 2005

We study how the use of judgement or “add-factors” in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in standard macroeconomic...

Persistent link: https://www.econbiz.de/10005079099

The daily and policy-relevant liquidity effects

Thornton, Daniel L. - European Central Bank - 2008

The phrase “liquidity effect” was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly data using various monetary...

Persistent link: https://www.econbiz.de/10005079103

Welfare-based monetary policy rules in an estimated DSGE model of the US economy

Juillard, Michel; Karam, Philippe; Laxton, Douglas; … - European Central Bank - 2006

We develop and estimate a stylized micro-founded model of the US economy. Next we compute the parameters of a simple interest rate policy rule that maximizes the unconditional mean of utility. We show that such a welfare-based rule lies close to the Taylor efficiency frontier. A counterfactual...

Persistent link: https://www.econbiz.de/10005025577

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