Similar Search Results

Monetary and macroprudential policy in an estimated DSGE model of the euro area

Quint, Dominic; Rabanal, Pau - 2014

always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In …

Persistent link: https://www.econbiz.de/10010258716

Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus

Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012197879

Buried in the vaults of central banks : monetary gold hoarding and the slide into the Great Depression

Karau, Sören - 2020 - This draft: October 2020

of narrative information to sharpen shock identification in a structural VAR analysis based on sign restrictions …

Persistent link: https://www.econbiz.de/10012405992

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Cross-border banking and business cycles in asymmetric currency unions

Dräger, Lena; Proano, Christian - 2015

productivity shocks or on the productivity shock from one dominating region. Thereby, we demonstrate a channel through which the …

Persistent link: https://www.econbiz.de/10011299044

Heterogeneity in euro-area monetary policy transmission : results from a large multi-country BVAR model

Mandler, Martin; Scharnagl, Michael; Volz, Ute - 2016

We study cross-country differences in monetary policy transmission across the large four euro-area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country...

Persistent link: https://www.econbiz.de/10011444752

Is it really more dispersed? : measuring and comparing the stress from the common monetary policy in the euro area

Quint, Dominic - 2014

The ECB's one size monetary policy is unlikely to fit all euro area members at all times, which raises the question of how much monetary policy stress this causes at the national level. I measure monetary policy stress as the difference between actual ECB interest rates and Taylor-rule implied...

Persistent link: https://www.econbiz.de/10010349426

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 … persistent fall in investment. The shock can account for one third of the observed, large fall in euro area aggregate investment …

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

Macroprudential policy and the sovereign-bank nexus in the euro area

Hristov, Nikolay; Hülsewig, Oliver; Kolb, Benedikt - 2021

expand their loan portfolios rather than adjusting theirdomestic sovereign bond holdings in response to the shock. We show …

Persistent link: https://www.econbiz.de/10012623677

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641