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The Augmented Bank Balance-Sheet Channel of Monetary Policy
Bittner, Christian; Bonfim, Diana; Heider, Florian; … - 2022
This paper studies how banks' balance sheets and funding costs interact in the transmission of monetary-policy rates to … banks' credit supply to firms. To do so, we use credit-registry data from Germany and Portugal together with the European … Central Bank's policy-rate cuts in mid-2014. The pass-through of the rate cuts to banks' funding costs differs across the euro …
Persistent link: https://www.econbiz.de/10013492380
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The hockey stick Phillips curve and the effective lower bound
Böhl, Gregor; Lieberknecht, Philipp - 2021
We show that if business cycles are driven by financial shocks, the interplay between the effective lower bound (ELB) and the costs of external financing can generate an additional supply-side channel, which causes a disconnect between inflation and output. In normal times, factor costs dominate...
Persistent link: https://www.econbiz.de/10012797214
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The Hockey Stick Phillips Curve and the Effective Lower Bound
Boehl, Gregor; Lieberknecht, Philipp - 2022
We show that if business cycles are driven by financial shocks, the interplay between the effective lower bound (ELB) and the costs of external financing can generate an additional supply-side channel, which causes a disconnect between inflation and output. In normal times, factor costs dominate...
Persistent link: https://www.econbiz.de/10013306818
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The Power of Forward Guidance in a Quantitative TANK Model
Gerke, Rafael; Giesen, Sebastian; Scheer, Alexander - 2021
We quantify the macroeconomic effects of interest rate forward guidance in an estimated medium-scale two-agent New Keynesian (TANK) model. In general, such models can dampen or amplify the power of forward guidance compared to a representative agent model. Our empirical estimates indicate a...
Persistent link: https://www.econbiz.de/10013315324
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012227061
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On household labour supply in sticky-wage HANK models
Gerke, Rafael; Giesen, Sebastian; Lozej, Matija; … - 2024
Heterogeneous-agent New Keynesian models with sticky nominal wages usually assume that wage-setting unions demand the same amount of hours from all households. As a result, unions do not take account of the fact that (i) households are heterogeneous in their willingness to work, and that (ii)...
Persistent link: https://www.econbiz.de/10014470138
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Reversal interest rate and macroprudential policy
Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2021
Could a monetary policy loosening in a low interest rate environment have unintended recessionary effects? Using a non-linear macroeconomic model fitted to the euro area economy, we show that the effectiveness of monetary policy can decline in negative territory until it reaches a turning point,...
Persistent link: https://www.econbiz.de/10012599183
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Financial Frictions, the Phillips Curve and Monetary Policy
Lieberknecht, Philipp - 2020
This paper proposes a tractable financial accelerator New Keynesian DSGE model that allows for closed-form solutions. In the presence of financial frictions, the New Keynesian Phillips curve features a flat slope with respect to the output gap and is strongly forward-looking. All shocks cause...
Persistent link: https://www.econbiz.de/10012840479
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Interest Rate Rules Under Financial Dominance
Lewis, Vivien - 2019
. Capital-constrained entrepreneurs finance risky projects by borrowing from banks. Banks, in turn, make loans using equity and …
Persistent link: https://www.econbiz.de/10012898121
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Unconventional Monetary Policy, Bank Lending, and Security Holdings : The Yield-Induced Portfolio Rebalancing Channel
Paludkiewicz, Karol - 2019
Exploiting a granular dataset of banks' security holdings I assess the impact of unconventional monetary policy on bank …), this paper provides evidence for the presence of a yield-induced portfolio rebalancing channel: Banks experiencing a higher … real sector lending more strongly relative to other banks. The effect is stronger for banks facing many reinvestment …
Persistent link: https://www.econbiz.de/10012898444