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Central Bank Communication on Financial Stability

Born, Benjamin - 2011

Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications affect financial markets. Building a unique dataset, it provides an empirical assessment of the...

Persistent link: https://www.econbiz.de/10013127492

Financial Factors in Economic Fluctuations

Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2021

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10013316211

Bank Capital Structure and the Credit Channel of Central Bank Asset Purchases

Darracq Paries, Matthieu - 2016

-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi … (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation … approach using granular bank level data. An important feature of our modelling approach is that it captures the heterogeneity …

Persistent link: https://www.econbiz.de/10012988604

How Do Banks Manage Liquidity? Evidence from the ECB's Tiering Experiment

Baldo, Luca; Heider, Florian; Hoffmann, Peter; Sigaux, … - 2022

We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of the ECB’s two-tier system which heterogeneously reduced the cost of additional reserves holdings. We find that the treated banks increase reserve holdings by borrowing on the...

Persistent link: https://www.econbiz.de/10014239530

Systemic Risk and Financial Development in a Monetary Model

Moutot, Philippe - 2011

In a stochastic pure endowment economy with money but no financial markets, two types of agents trade one non-durable good using two alternative types of cash constraints. Simulations of the corresponding variants are compared to Arrow-Debreu and Autarky equilibriums. First, this illustrates how...

Persistent link: https://www.econbiz.de/10013124385

Financial Frictions and Optimal Monetary Policy in an Open Economy

Kolasa, Marcin - 2011

A growing number of papers have studied positive and normative implications of financial frictions in DSGE models. We contribute to this literature by studying the welfare-based monetary policy in a two-country model characterized by financial frictions, alongside a number of key features, like...

Persistent link: https://www.econbiz.de/10013125365

Asset Purchase Programmes and Financial Markets : Lessons from the Euro Area

Altavilla, Carlo - 2016

We evaluate the effects on asset prices of the ECB asset purchase program (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...

Persistent link: https://www.econbiz.de/10013001152

Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling : Tales from 1001 Shocks

Georgiadis, Georgios - 2017

Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that...

Persistent link: https://www.econbiz.de/10012953383

Leaning Against the Wind : Macroprudential Policy and the Financial Cycle

Kok, Christoffer - 2019

Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about “leaning against the wind” (LAW) along three lines. First, we evaluate the cost and benefits of LAW using the Svensson (2017)...

Persistent link: https://www.econbiz.de/10012894739

On Collateral : Implications for Financial Stability and Monetary Policy

Corradin, Stefano - 2017

This paper examines the role of collateral in the financial system, with special emphasis on the implications for financial stability and the conduct of monetary policy. First, we review what drives the demand and supply for both real and financial collateral assets. Then we examine financial...

Persistent link: https://www.econbiz.de/10012943962

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