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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
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Channel Systems : Why is There a Positive Spread?
Berentsen, Aleksander - 2010
this result in a dynamic general equilibrium model where market participants have heterogeneous liquidity needs and where …
Persistent link: https://www.econbiz.de/10013135781
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Inflation Targeting by Debtor Central Banks in Emerging Market Economies
Loeffler, Axel - 2013
to accumulate massive foreign reserves. If left unsterilized, the liquidity expansion can threaten domestic macroeconomic … stability. To contain domestic inflation these central banks absorb rather then provide liquidity in their regular monetary … surplus liquidity is less efficient, because absorbing liquidity raises the costs of monetary policy operations. By …
Persistent link: https://www.econbiz.de/10013094452
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Monetary Policy Transmission and House Prices : European Cross-Country Evidence
Carstensen, Kai - 2013
This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995-2006 to generate impulse responses of key macroeconomic variables to a monetary...
Persistent link: https://www.econbiz.de/10013095720
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Monetary Policy Rules in Emerging Countries : Is There an Augmented Nonlinear Taylor Rule?
Caporale, Guglielmo Maria - 2016
This paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as...
Persistent link: https://www.econbiz.de/10012986234
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The Price Puzzle Revisited : Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?
Henzel, Steffen - 2013
This paper explores whether the cost channel solves the price puzzle. We set-up a New Keynesian DSGE model and estimate it for the euro area by adopting a minimum distance approach. Our findings suggest that - under certain parameter restrictions which are not rejected by the data - the cost...
Persistent link: https://www.econbiz.de/10012753889
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Firm Heterogeneity and Credit Risk Diversification
Pesaran, M. Hashem - 2013
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. It documents a rich and complex interaction between the underlying model...
Persistent link: https://www.econbiz.de/10012754519
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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael - 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/10013028787
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Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali - 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
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Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios
Bachmann, Ruediger - 2017
What are the macroeconomic consequences of changing aggregate lending standards in residential mortgage markets, as measured by loan-to-value (LTV) ratios? In a structural VAR, GDP and business investment increase following an expansionary LTV shock. Residential investment, by contrast, falls, a...
Persistent link: https://www.econbiz.de/10012955193