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Policy mix and debt sustainability : evidence from fiscal policy rules

Claeys, Peter (contributor) - 2005

This paper characterises rules-based fiscal policy setting. Basically, we translate a standard monetary policy rule into a simple fiscal policy rule. We then infer on fiscal policymakers' reaction coefficients by testing the rule with GMM. Interaction is also tested directly by the inclusion of...

Persistent link: https://www.econbiz.de/10002578199

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015158136

Excess reserves and monetary policy tightening

Fricke, Daniel; Greppmair, Stefan; Paludkiewicz, Karol - 2024 - This draft: February 2, 2024

We show that the transmission of the European Central Bank’s (ECB) recent monetary policy tightening differs across banks depending on their level of excess reserves. Specifically, the net worth of reserve-rich banks may display a boost when the interest rate paid on reserves increases...

Persistent link: https://www.econbiz.de/10014481115

Big G

Cox, Lydia; Müller, Gernot J.; Pasten, Ernesto; … - 2020

"Big G" typically refers to aggregate government spending on a homogeneous good. In this paper, we open up this construct by analyzing the entire universe of procurement contracts of the US government and establish ﬁve facts. First, government spending is granular, that is, it is concentrated...

Persistent link: https://www.econbiz.de/10012206057

Understanding global liquidity

Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris - In: European economic review : EER 68 (2014), pp. 1-18

Persistent link: https://www.econbiz.de/10010423012

Endogenous systemic liquidity risk

Cao, Jin; Illing, Gerhard - 2009

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

Persistent link: https://www.econbiz.de/10003833348

Liquidity shortages and monetary policy

Cao, Jin (contributor); Illing, Gerhard (contributor) - 2008

Persistent link: https://www.econbiz.de/10003635213

Cross-border transmission of emergency liquidity

Kick, Thomas; Koetter, Michael; Storz, Manuela - 2016

We show that emergency liquidity provision by the Federal Reserve transmitted to non-U.S. banking markets. Based on … lending and borrowing rates of banks with and without such access. U.S. liquidity shocks cause a significant decrease in the …

Persistent link: https://www.econbiz.de/10011538689

Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis

Quint, Dominic; Tristani, Oreste - 2017

area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response … Gertler and Kiyotaki (2010). We highlight two main results. First, an identified liquidity shock causes a sizable and … in 2008–09. Second, the liquidity injected in the market by the ECB played an important role in attenuating the …

Persistent link: https://www.econbiz.de/10011764878

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

Persistent link: https://www.econbiz.de/10011632212