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The Effect of U.S. Stress Tests on Monetary Policy Spillovers to Emerging Markets

Liu, Emily - 2019

This paper shows that monetary policy and prudential policies interact. U.S. banks issue more commercial and industrial loans to emerging market borrowers when U.S. monetary policy eases. The effect is less pronounced for banks that are more constrained through the U.S. bank stress tests,...

Persistent link: https://www.econbiz.de/10012858696

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

Persistent link: https://www.econbiz.de/10012824829

The Effect of News Shocks and Monetary Policy

Görtz, Christoph - 2019

the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the …

Persistent link: https://www.econbiz.de/10012889175

Drivers of Large Recessions and Monetary Policy Responses

Melina, Giovanni; Villa, Stefania - 2023

Shocks to capital utilization are introduced in a structural macroeconomic closed-economy model with financial frictions to capture disruptions on the ability of the capital stock to provide capital services used in production. Estimates for the Euro Area and the United States show that these...

Persistent link: https://www.econbiz.de/10014345602

Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates

Badinger, Harald - 2020

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

Persistent link: https://www.econbiz.de/10012822501

Real and Nominal Effects of Monetary Shocks Under Time-Varying Disagreement

Esady, Vania - 2019

This paper investigates the heterogeneity of monetary policy transmission under time-varying disagreement regimes using a threshold VAR. Empirically, I establish that during times of high disagreement, prices respond more sluggishly in response to monetary shocks. These stickier prices cause a...

Persistent link: https://www.econbiz.de/10012858703

(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme …

Persistent link: https://www.econbiz.de/10014262412

Dynamic Spending Responses to Wealth Shocks : Evidence from Quasi-Lotteries on the Stock Market

Andersen, Asger Lau; Johannesen, Niels; Sheridan, Adam - 2021

How much and over what horizon do households adjust their consumption in response to stock market wealth shocks? We address these questions using granular data on spending and stock portfolios from a large bank and exploiting lottery-like variation in gains across investors with similar...

Persistent link: https://www.econbiz.de/10013219064

Monetary Policy Transmission to Consumer Financial Stress and Durable Consumption

Georgarakos, Dimitris - 2019

We examine the effects of monetary policy on household self-assessed financial stress and durable consumption using panel data from eighteen annual waves of the British Household Panel Survey. For identification, we exploit random variation in household exposure to interest rates generated by...

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

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