We report new regional evidence indicating that U.S. house prices increase persistently in the face of positive shocks to fiscal spending. In sharp contrast with this fact, though, house prices fall in conventional dynamic general equilibrium models where Ricardian households benefit from the...

We demonstrate how to identify monetary policy under fixed exchange rates in a structural vector autoregression (SVAR) using Denmark as a case study. The identifying restrictions are compared to SVARs for flexible exchange-rate regimes. Our basic model generates a plausible central-bank reaction...

We examine the real effects of credit-supply shocks using a series of structural vector autoregressive models estimated on the basis on a new quarterly data set for Denmark spanning the past 90 years or so. We find no effects on the unemployment level from supplyshocks to credit from...

In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic...

Based on the equilibrium correction structure of a cointegrated vector autoregression it is rejected that US monetary policy 1988-2002 can be described by a traditional Taylor (1993) rule. Instead we find a stable long-term relationship between the Federal funds rate, the unemployment rate, and...

The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks and the Danish financial sector as a whole for the period 2005-15. The systemic risk contribution for a bank is measured as its propensity to be undercapitalized...

We model the dynamics of Danish government bond yields in a low-rate environment using a term structure model with a lower bound, a so-called shadow rate model. Specifically, we use a shadow rate extension of the well-known Arbitrage-Free Nelson

We measure the time-varying strength of macrofinancial linkages within and across the US and euro area economies by relying on factor models with drifting parameters, where real and financial cycles are extracted and shocks are identified via sign and exclusion restrictions. The main results...

The low rate of inflation observed in the U.S. over the entire past decade is hard to reconcile with traditional measures of labor market slack. We show that an alternative notion of slack that encompasses workers' propensity to search on the job explains this missing inflation. We derive this...

We estimate a monthly Interacted-VAR model for euro area macroeconomic aggregates allowing for the impact of uncertainty shocks to depend on the average outlook of the economy measured by survey data. We find that, in response to an uncertainty shock, the peak decrease in industrial production...