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Stock Markets, Banks and Long Run Economics Growth: A Panel Cointegration-Based Analysis
Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz - CESifo - 2013
and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence … the direction of potential causality between financial and economic development. Our results conclude to the existence of … a single cointegrating vector between financial development and growth and of causality going from financial development …
Persistent link: https://www.econbiz.de/10010723543
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The Monetary Policy of the ECB : A Robin Hood Approach?
Drometer, Marcus - 2013
We derive counterfactual national interest rate paths for the 17 Euro Area countries for the period 1999 to 2012 to approximate the interest rates countries would have implemented had they still been able to conduct independent monetary policy. We find that prior to the financial crisis the...
Persistent link: https://www.econbiz.de/10013083869
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Monetary Policy Analysis in Real-Time : Vintage Combination from a Real-Time Dataset
Altavilla, Carlo - 2011
This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...
Persistent link: https://www.econbiz.de/10013128542
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Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset.
Altavilla, Carlo; Ciccarelli, Matteo - CESifo - 2011
This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...
Persistent link: https://www.econbiz.de/10008861862
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House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand
Funke, Michael - 2017
We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to New Zealand. We find that the main historical drivers of house prices are shocks specific to the housing sector. While our...
Persistent link: https://www.econbiz.de/10012953951
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Quantitative Easing in the Euro Area - An Event Study Approach
Urbschat, Florian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10012942366
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Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program
Hristov, Nikolay - 2014
This paper explores the potential effectiveness of the ECB's Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting sovereign bond purchases on secondary markets, a stable...
Persistent link: https://www.econbiz.de/10013057668
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The Risk-Taking Channel of Monetary Policy Transmission in the Euro-Area
Neuenkirch, Matthias - 2018
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through the relaxation of lending standards for borrowers. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth,...
Persistent link: https://www.econbiz.de/10012917006
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Out of Sync Subnational Housing Markets and Macroprudential Policies
Funke, Michael - 2018
In view of regional house prices drifting apart, we examine whether regionally differentiated macroprudential policies can address financial stability concerns and moderate house price differences. To this end, we disaggregate both the household sector and the housing stock in a two-region DSGE...
Persistent link: https://www.econbiz.de/10012922555
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Bank Behavior and the Cost Channel of Monetary Transmission
Hülsewig, Oliver; Mayer, Eric; Wollmershaeuser, Timo - 2021
This paper presents a New Keynesian model that dwells on the role of banks in the cost channel of monetary policy. Banks extend loans to firms in an environment of monopolistic competition by setting the loan rate according to a Calvo-type staggered price setting approach, which means that the...
Persistent link: https://www.econbiz.de/10013317392