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Strategic Inattention, Inflation Dynamics, and the Non-Neutrality of Money

Afrouzi, Hassan - 2020

How does competition affect information acquisition of firms and thus the response of inflation and output to monetary policy shocks? This paper addresses these questions in a new dynamic general equilibrium model with both dynamic rational inattention and oligopolistic competition. In the...

Persistent link: https://www.econbiz.de/10012836931

Banking Panics and the Lender of Last Resort in a Monetary Economy

Matsuoka, Tarishi - 2019

This paper studies the role of a lender of last resort (LLR) in a monetary model where a shortage of bank’s monetary reserves (or a banking panic) occurs endogenously. We show that while a discount window policy introduced by the LLR is welfare improving, it reduces the banks’ ex ante...

Persistent link: https://www.econbiz.de/10012892137

A Monetary Equilibrium with the Lender of Last Resort

Matsuoka, Tarishi; Watanabe, Makoto - 2023

This paper studies the role of a lender of last resort (LLR) in a monetary model where a shortage of a bank’s monetary reserves (a liquidity crisis) occurs endogenously. We show that discount window lending by the LLR is welfare-improving but reduces banks’ ex-ante incentive to hold monetary...

Persistent link: https://www.econbiz.de/10014356320

Uncertainty and Monetary Policy During Extreme Events

Pellegrino, Giovanni - 2020

How damaging are uncertainty shocks during extreme events such as the great recession and the Covid-19 outbreak? Can monetary policy limit output losses in such situations? We use a nonlinear VAR framework to document the large response of real activity to a financial uncertainty shock during...

Persistent link: https://www.econbiz.de/10012822498

Market-Based Monetary Policy Uncertainty

Bauer, Michael - 2019

This paper investigates the role of monetary policy uncertainty for the transmission of FOMC actions to financial markets using a novel model-free measure of uncertainty based on derivative prices. We document a systematic pattern in monetary policy uncertainty over the course of the FOMC...

Persistent link: https://www.econbiz.de/10012871021

Uncertainty and Monetary Policy During the Great Recession

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021

We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept...

Persistent link: https://www.econbiz.de/10013235107

Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?

Gomez, Thomas; Piccillo, Giulia - 2023

We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a real-time, Bayesian estimation of a small monetary VAR...

Persistent link: https://www.econbiz.de/10014357029

Liquidity shortages and monetary policy

Cao, Jin; Illing, Gerhard - 2008

The paper models the interaction between risk taking in the financial sector and central bank policy for the case of … pure illiquidity risk. It is shown that, when bad states are highly unlikely, public provision of liquidity may improve the … allocation, even though it encourages more risk taking (less liquid investment) by private banks. In general, however, there is …

Persistent link: https://www.econbiz.de/10010264298

Outside versus inside bonds: A Modigliani-Miller type result for liquidity constrained economies

Berentsen, Aleksander; Waller, Christopher Jude - 2010

When agents are liquidity constrained, two options exist - sell assets or borrow. We compare the allocations arising in two economies: in one, agents can sell government (outside) bonds and in the other they can borrow by issuing (inside) bonds. All transactions are voluntary, implying no...

Persistent link: https://www.econbiz.de/10010277131

Money Creation in Decentralized Finance : A Dynamic Model of Stablecoin and Crypto Shadow Banking

Li, Ye; Mayer, Simon - 2021

allows efficient risk sharing between the issuer and stablecoin users …

Persistent link: https://www.econbiz.de/10013214344

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