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

Auclert, Adrien - 2020

shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high … MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to … investment shocks, leading our model to infer a central role for these shocks as a source of business cycles …

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

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

57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?

Wolfinger, Julia - 2019

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield spreads using daily data between January 1, 2007 and December 1, 2016. We employ 1,542,233 human coded news items from evening news shows of leading TV stations in 12 countries...

Persistent link: https://www.econbiz.de/10012892159

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

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

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

Gürkaynak, Refet S. - 2019

exposure at the time of monetary policy actions predicts future net worth, investment, and assets, verifying the stock pricing …

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

This paper uses loan application-level data from a peer-to-peer lending platform to study the risk-taking channel of monetary policy. By employing a direct ex-ante measure of risk-taking and estimating the simultaneous equations of loan approval and loan amount, we are the first to provide...

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

Monetary Policy, Sectoral Comovement and the Credit Channel

Di Pace, Federico; Görtz, Christoph - 2021

Using a structural vector autoregression, we document that a contractionary monetary policy shock triggers a decline in durable and non-durable outputs as well as a contraction in bank equity and a rise in the excess bond premium. The latter points to an important transmission channel of...

Persistent link: https://www.econbiz.de/10013222201

The Liquidity Channel of Fiscal Policy

Bayer, Christian - 2020

multiplier is amplified by the countercyclical liquidity premium. This liquidity channel stabilizes investment and crowds in …

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

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