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Financial shocks and inflation dynamics
Abbate, Angela; Eickmeier, Sandra; Prieto, Esteban - 2016
We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a vector autoregressive model to US data and identify financial shocks through sign restrictions. Our main finding is that...
Persistent link: https://www.econbiz.de/10011546785
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Bank capital, the state contingency of banks’ assets and its role for the transmission of shocks
Kühl, Michael - 2014
The role of bank capital as a propagation channel of shocks is strongly pronounced in recent macroeconomic models. In this paper, we show how the evolution of bank capital depends on the share of non-state-contingent assets in banks’ balance sheets and present the consequences for...
Persistent link: https://www.econbiz.de/10010415785
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Excess reserves and monetary policy tightening
Fricke, Daniel; Greppmair, Stefan; Paludkiewicz, Karol - 2024 - This draft: February 2, 2024
We show that the transmission of the European Central Bank’s (ECB) recent monetary policy tightening differs across banks depending on their level of excess reserves. Specifically, the net worth of reserve-rich banks may display a boost when the interest rate paid on reserves increases...
Persistent link: https://www.econbiz.de/10014481115
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The financial accelerator and market-based debt instruments : a role for maturities?
Kühl, Michael - 2014
This paper shows how the average maturity of corporate bonds can affect the transmission of shocks if financial frictions prevail. We modify a standard financial accelerator model à la Bernanke, Gertler, and Gilchrist (1999) and allow for market-based debt which has a market-determined price....
Persistent link: https://www.econbiz.de/10010357605
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Firm heterogeneity and the transmission of central bank credit policy
Kuhmann, Konrad - 2023
I study the role of firm heterogeneity for the transmission of unconventional monetary policy in the form of "credit policy" à la Gertler and Karadi (2011). To this end, I lay out a Two-Agent New-Keynesian model with financially constrained and unconstrained firms and a financial intermediary...
Persistent link: https://www.econbiz.de/10014234463
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The hockey stick Phillips curve and the effective lower bound
Böhl, Gregor; Lieberknecht, Philipp - 2021
nominal interest rate, which together constitute external financing costs, balance out in response to a financial shock. When …
Persistent link: https://www.econbiz.de/10012792813
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On the macroeconomic effects of reinvestments in asset purchase programmes
Gerke, Rafael; Kienzler, Daniel; Scheer, Alexander - 2022
A feature of recent monetary policy asset purchase programmes is the reinvestment policy: the central bank announces to keep the overall volume of assets on its balance sheet constant for some time. In this paper, we systematically assess the macroeconomic effects of such reinvestment policies....
Persistent link: https://www.econbiz.de/10013460153
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The transmission of bank liquidity shocks : evidence from the Eurosystem collateral framework
Hüttl, Pia; Kaldorf, Matthias - 2024
How does a shock to the liquidity of bank assets affect credit supply, cross-border lending, and real activity at the …. This collateral framework shock added loans to non-domestic euro area firms to the pool of eligible assets. Using loan … shock. However, the shock had real effects: firms highly exposed to affected banks increase their total debt, employment …
Persistent link: https://www.econbiz.de/10014467917
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(Un)expected monetary policy shocks and term premia
Kliem, Martin; Meyer-Gohde, Alexander - 2017
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...
Persistent link: https://www.econbiz.de/10011740263
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The role of long-term inflation expectations for the transmission of monetary policy shocks
Diegel, Max; Nautz, Dieter - 2020 - This version: November 10, 2020
monetary policy shock. In line with a re-anchoring channel of monetary policy, we find that long-term inflation expectations …
Persistent link: https://www.econbiz.de/10012311576