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Cao, Jin; Illing, Gerhard - 2021

pure illiquidity risk. It is shown that, when bad states are highly unlikely, public provision of liquidity may improve the … an incentive of financial intermediaries to free ride on liquidity in good states, resulting in excessively low liquidity … more liquid investment. In that case, liquidity injection will make the free riding problem even worse. The results show …

Persistent link: https://www.econbiz.de/10013316591

The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area

Altavilla, Carlo - 2013

This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...

Persistent link: https://www.econbiz.de/10012753184

The European Central Bank's QE : A New Hope

Wieladek, Tomasz - 2016

We examine the impact of the ECB's QE on Euro Area real GDP and core CPI with a Bayesian VAR, estimated on monthly data from 2012M6 to 2016M4. We assess the total impact via a counter-factual exercise, country-by-country and through alternative transmission channels. QE announcement shocks are...

Persistent link: https://www.econbiz.de/10012986934

Interest Rate Pass-Through and Monetary Policy Asymmetry : A Journey into the Caucasian Black Box

Jamilov, Rustam - 2013

This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically...

Persistent link: https://www.econbiz.de/10013085758

The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis

Hristov, Nikolay - 2013

This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro–area banks to the global financial crisis. We focus on their interest–rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding...

Persistent link: https://www.econbiz.de/10013089850

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali K. - 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10012953959

The Transmission Mechanism of Credit Support Policies in the Euro Area

Boeckx, Jef - 2017

sheets (liquidity effect), banks that depend more on wholesale funding (retail effect) and low-capitalized banks (capital … levels of bank capitalization at the same time mitigate the size, retail and liquidity effects of the policies. The drag on … responded more to the credit support policies of the Eurosystem as a result of more favourable size, retail and liquidity …

Persistent link: https://www.econbiz.de/10012955416

The International Transmission of Monetary Policy

Buch, Claudia M. - 2018

This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential micro-banking...

Persistent link: https://www.econbiz.de/10012911041

Differences in Euro-Area Household Finances and Their Relevance for Monetary-Policy Transmission

Hintermaier, Thomas - 2019

This paper quantifies the extent of heterogeneity in consumption responses to changes in real interest rates and house prices in the four largest economies in the euro area: France, Germany, Italy, and Spain. We first calibrate a life-cycle incomplete-markets model with a liquid financial asset...

Persistent link: https://www.econbiz.de/10012898763

Effectiveness and Transmission of the ECB's Balance Sheet Policies

Boeckx, Jef - 2014

We estimate the effects of exogenous innovations to the balance sheet of the ECB since the start of the financial crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial markets, and has a positive impact on economic activity...

Persistent link: https://www.econbiz.de/10013048831