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Do Exchange Rates Absorb Demand Shocks at the ZLB?
Hürtgen, Patrick; Hoffmann, Mathias - 2021
appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …
Persistent link: https://www.econbiz.de/10013228710
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Monetary Policy Communication Shocks and the Macroeconomy
Goodhead, Robert - 2019
Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...
Persistent link: https://www.econbiz.de/10012897008
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To Sign or Not to Sign? On the Response of Prices to Financial and Uncertainty Shocks
Meinen, Philipp - 2019
that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …
Persistent link: https://www.econbiz.de/10012898117
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Markups and Financial Shocks
Meinen, Philipp; Soares, Ana Cristina - 2022
This paper analyses the impact of financial frictions on markup adjustments at the firm level. We use a rich panel data set that matches information on banking relationships with firm-level data. By relying on insights from recent contributions in the literature, we obtain exogenous credit...
Persistent link: https://www.econbiz.de/10013306819
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Time-Varying Stock Return Correlation, News Shocks, and Business Cycles
Metiu, Norbert; Prieto, Esteban - 2023
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …
Persistent link: https://www.econbiz.de/10014256409
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The Global Financial Cycle and Macroeconomic Tail Risks
Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2023
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...
Persistent link: https://www.econbiz.de/10014258313
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Information Transmission between Banks and the Market for Corporate Control
Bittner, Christian; Fecht, Falko; Pala, Melissa; Saidi, … - 2022
This paper provides evidence of deliberate private-information disclosure within banks' international business networks. Using supervisory trade-level data, we show that banks with closer ties to a target advisor in a takeover buy more stocks of the target firm prior to the deal announcement,...
Persistent link: https://www.econbiz.de/10013492361
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Shadow-Rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2023
the ELB binds or not. After an adverse shock, our shadow-rate VAR sees a stronger decline of economic activity at the ELB …
Persistent link: https://www.econbiz.de/10014352599
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Partial Pooling with Cross-Country Priors : An Application to House Price Shocks
Roth, Markus - 2020
A structural Bayesian vector autoregression model predicts that - when accompanied by a decline in consumer confidence - a one-percent decrease in house prices is associated with a contraction of economic activity by 0.2 to 1.2 percent after one year. Results point to important second-round...
Persistent link: https://www.econbiz.de/10012839174
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Interest Rate Pegs and the Reversal Puzzle : On the Role of Anticipation
Gerke, Rafael - 2020
We revisit the reversal puzzle: A counterintuitive contraction of inflation in response to an interest rate peg. We show that it is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do...
Persistent link: https://www.econbiz.de/10012822450