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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
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Monetary Momentum
Neuhierl, Andreas - 2017
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10012946927
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Monetary Policy and the Stock Market : Time-Series Evidence
Neuhierl, Andreas - 2017
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931
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Monetary Policy, Vagabonding Liquidity and Bursting Bubbles in New and Emerging Markets - An Overinvestment View
Schnabl, Gunther; Hoffmann, Andreas - 2021
theories of Hayek, Wicksell and Schumpeter. We argue that ample liquidity supply originating in the large industrialized …
Persistent link: https://www.econbiz.de/10013316825
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Securitization and Asset Prices
Aksoy, Yunus; Basso, Henrique S. - CESifo - 2015
During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more...
Persistent link: https://www.econbiz.de/10011167135
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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015
Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...
Persistent link: https://www.econbiz.de/10011155372
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Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based Evidence from Japan
Schenkelberg, Heike; Watzka, Sebastian - CESifo - 2011
Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding DSGE models. Our results show that while a quantitative...
Persistent link: https://www.econbiz.de/10009147746
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Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus; Basso, Henrique S. - CESifo - 2012
affect their ability to cover for any liquidity needs and hence influence the premium banks require to carry the maturity … the central bank after a liquidity shock creates a new channel of policy transmission that leads to a sharp decrease in … responses after a liquidity shock. The short-term rate does not need to decrease as much as when only conventional policies are …
Persistent link: https://www.econbiz.de/10010690388
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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
Romain, Houssa; Mohimont, Jolan; Otrok, Chris - CESifo - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10010668472
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Superneutrality of Money under Open Market Operations
Homburg, Stefan - CESifo - 2015
Monetary policy is superneutral in an overlapping generations model. Previous authors have argued that superneutrality does not hold in such a setting. However, the standard results rely on the counter-factual premise of helicopter money and are overturned if money creation through open market...
Persistent link: https://www.econbiz.de/10011185625