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Input-output connections between sectors and optimal monetary policy

Kara, Engin - Nationale Bank van België/Banque national de Belqique (BNB) - 2009

This paper considers the monetary policy implications of a model that features input-output connections between stages of production, so that a distinction between CPI inflation and PPI inflation arises. More specifically, this paper addresses the policy conclusion by K. Huang and Z. Liu [2005,...

Persistent link: https://www.econbiz.de/10004984626

Liquidity, inflation and asset prices in a time-varying framework for the euro area

Baumeister, Christiane; Durinck, Eveline; Peersman, Gert - Nationale Bank van België/Banque national de Belqique (BNB) - 2008

In this paper, we investigate how the dynamic effects of excess liquidity shocks on economic activity, asset prices and … inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity …

Persistent link: https://www.econbiz.de/10005060033

The determinants of stock and bond return comovements

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - Nationale Bank van België/Banque national de Belqique (BNB) - 2007

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

Persistent link: https://www.econbiz.de/10005060044

Financial consolidation and liquidity: prudential regulation and/or competition policy?

Cayseele, Patrick Van - Nationale Bank van België/Banque national de Belqique (BNB) - 2004

A model of loan rate competition with liquidity provision by banks is used to study bank mergers. Both loan rate … competition and liquidity needs are seen to be "localised" phenomena. This allows for tracing down the effects of particular types …

Persistent link: https://www.econbiz.de/10005060078

How does liquidity react to stress periods in a limit order market?

Beltran, Helena; Durré, Alain; Giot, Pierre - Nationale Bank van België/Banque national de Belqique (BNB) - 2004

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

Persistent link: https://www.econbiz.de/10005031946

Self-fulfilling liquidity dry-ups

Malherbe, Frédéric - Nationale Bank van België/Banque national de Belqique (BNB) - 2010

confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose … as it reduces ex-post market participation, which worsens adverse selection and dries up market liquidity; (3) liquidity … idiosyncratic, privately known, illiquidity shocks, I show that: (5) it increases market liquidity; (6) illiquid agents are better …

Persistent link: https://www.econbiz.de/10008463990

A macroeconomic framework for quantifying systemic risk

He, Zhiguo; Krishnamurthy, Arvind - Nationale Bank van België/Banque national de Belqique (BNB) - 2012

Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic model with a financial intermediary sector subject to an equity capital...

Persistent link: https://www.econbiz.de/10011272787

Flights to Safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Nationale Bank van België/Banque national de Belqique (BNB) - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011272793

Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach

Smets, Frank; Wouters, Raf - Nationale Bank van België/Banque national de Belqique (BNB) - 2007

Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to...

Persistent link: https://www.econbiz.de/10005060011

An estimated dynamic stochastic general equilibrium model of the euro area

Smets, Frank; Wouters, Raf - Nationale Bank van België/Banque national de Belqique (BNB) - 2002

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...

Persistent link: https://www.econbiz.de/10005060018