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Bayer, Christian - 2020

—the liquidity premium. We rationalize this finding in an estimated heterogeneous-agent New-Keynesian (HANK) model with incomplete … markets and portfolio choice, in which public debt affects private liquidity. In this environment, the short-run fiscal … multiplier is amplified by the countercyclical liquidity premium. This liquidity channel stabilizes investment and crowds in …

Persistent link: https://www.econbiz.de/10012830353

How 'Unconventional' are Large-Scale Asset Purchases? The Impact of Monetary Policy on Asset Prices

Rosa, Carlo - 2012

This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times...

Persistent link: https://www.econbiz.de/10013106884

Banking Globalization, Transmission, and Monetary Policy Autonomy

Goldberg, Linda S. - 2013

International financial linkages, particularly through global bank flows, generate important questions about the consequences for economic and financial stability, including the ability of countries to conduct autonomous monetary policy. I address the monetary autonomy issue in the context of...

Persistent link: https://www.econbiz.de/10013075025

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012838235

Micro Jumps, Macro Humps : Monetary Policy and Business Cycles in an Estimated Hank Model

Auclert, Adrien - 2020

We estimate a Heterogeneous-Agent New Keynesian model with sticky household expectations that matches existing microeconomic evidence on marginal propensities to consume and macroeconomic evidence on the impulse response to a monetary policy shock. Our estimated model uncovers a central role for...

Persistent link: https://www.econbiz.de/10012842965

The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy

Pasten, Ernesto - 2019

We study the transmission of monetary policy shocks in a model in which realistic heterogeneity in price rigidity interacts with heterogeneity in sectoral size and input-output linkages, and derive conditions under which these heterogeneities generate large real effects. Empirically,...

Persistent link: https://www.econbiz.de/10012892210

Home Ownership and Monetary Policy Transmission

Koeniger, Winfried - 2019

We present empirical evidence on the heterogeneity in monetary policy transmission across countries with different home ownership rates. We use household-level data together with shocks to the policy rate identified from high-frequency data. We find that housing tenure reacts more strongly to...

Persistent link: https://www.econbiz.de/10012892226

Monetary Policy Transmission to Consumer Financial Stress and Durable Consumption

Georgarakos, Dimitris - 2019

to liquidity and younger renters who are prospective home buyers …

Persistent link: https://www.econbiz.de/10012866373

Stock Market's Assessment of Monetary Policy Transmission : The Cash Flow Effect

Gürkaynak, Refet S. - 2019

We show that firm liability structure and associated cash flow matter for firm behavior, and that financial market participants price stocks accordingly. Looking at firm level stock price changes around monetary policy announcements, we find that firms that have more cash flow exposure see their...

Persistent link: https://www.econbiz.de/10012860569

What Does Peer-to-Peer Lending Evidence Say About the Risk-Taking Channel of Monetary Policy?

Huang, Yiping - 2019

, while we do not observe consistent findings of risk-shifting from the liquidity change. Monetary policy easing is associated …

Persistent link: https://www.econbiz.de/10012861380