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The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - 2001

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...

Persistent link: https://www.econbiz.de/10011400913

Commodity price shocks and global cycles : monetary policy matters

Castelnuovo, Efrem; Mori, Lorenzo; Peersman, Gert - 2024

We employ a structural VAR model with global and US variables to study the relevance and transmission of oil, food commodities, and industrial input price shocks. We show that commodities are not all alike. Industrial input price changes are almost entirely endogenous responses to other shocks....

Persistent link: https://www.econbiz.de/10014550949

Uncertainty and monetary policy during the great recession

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …

Persistent link: https://www.econbiz.de/10012495676

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

Persistent link: https://www.econbiz.de/10014336426

Drivers of large recessions and monetary policy responses

Melina, Giovanni; Villa, Stefania - 2023

Shocks to capital utilization are introduced in a structural macroeconomic closed-economy model with financial frictions to capture disruptions on the ability of the capital stock to provide capital services used in production. Estimates for the Euro Area and the United States show that these...

Persistent link: https://www.econbiz.de/10014320690

The causal effects of global supply chain disruptions on macroeconomic outcomes : evidence and theory

Bai, Xiwen; Fernández-Villaverde, Jesús; Li, Yiliang; … - 2024

monetary policy is more effective in taming inflation after a global supply chain shock than in regular circumstances. …

Persistent link: https://www.econbiz.de/10014469003

The ECB's fiscal policy

Sinn, Hans-Werner - 2018

While the ECB helped mitigate the euro crisis in the aftermath of Lehman, it has stretched its monetary mandate and moved into fiscal territory. This text describes and summarises the crucial role played by the ECB in the intervention spiral resulting from its bid to manage the crisis. It also...

Persistent link: https://www.econbiz.de/10011845207

The VARying effect of foreign shocks in Central and Eastern Europe

Jiménez-Rodríguez, Rebeca; Morales Zumaquero, Amalia; … - 2010

This paper investigates the impact of international shocks - interest rate, commodity price and industrial production shocks - on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In contrast to...

Persistent link: https://www.econbiz.de/10003974654

Real and nominal effects of monetary shocks under time-varying disagreement

Esady, Vania - 2019

This paper investigates the heterogeneity of monetary policy transmission under time-varying disagreement regimes using a threshold VAR. Empirically, I establish that during times of high disagreement, prices respond more sluggishly in response to monetary shocks. These stickier prices cause a...

Persistent link: https://www.econbiz.de/10012124866

Risk, intermediate input prices and missing deflation during the Great Recession

Kara, Engin; Pirzada, Ahmed Jamal - 2015

During the Great Recession, despite the large fall in output, inflation did not fall much. This is known as the missing deflation puzzle. In this paper, we develop and estimate a New Keynesian Dynamic Stochastic General Equilibrium model to provide an explanation for the puzzle. The new model...

Persistent link: https://www.econbiz.de/10011292980