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A Non-Standard Monetary Policy Shock : The ECB’s 3-year LTROs and the Shift in Credit Supply
Darracq Paries, Matthieu - 2013
The identification of non-standard monetary policy shocks is a key challenge for econometricians, not least as these measures are somewhat unprecedented in modern central banking history and as the instruments vary widely across the various non-standard measures. This paper focuses on the 3-year...
Persistent link: https://www.econbiz.de/10013088278
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Shocks, Structures or Monetary Policies? The Euro Area and US After 2001
Christiano, Lawrence J. - 2007
The US Federal Reserve cut interest rates more vigorously in the recent recession than the European Central Bank did. By comparison with the Fed, the ECB followed a more measured course of action. We use an estimated dynamic general equilibrium model with financial frictions to show that...
Persistent link: https://www.econbiz.de/10012776610
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Collateral Damage? Micro-Simulation of Transaction Cost Shocks on the Value of Central Bank Collateral
Lennkh, Alvise - 2015
cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0 …
Persistent link: https://www.econbiz.de/10013020666
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Lenders on the Storm of Wholesale Funding Shocks : Saved by the Central Bank?
de Haan, Leo - 2016
We provide empirical evidence on banks' responses to shocks in wholesale funding, using data of 181 euro area banks over the period August 2007 to June 2013. Banks' adjustments of loan volumes and lending rates in response to funding liquidity shocks are analysed in a panel VAR framework. The...
Persistent link: https://www.econbiz.de/10012998237
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On the Credit and Exchange Rate Channels of Central Bank Asset Purchases in a Monetary Union
Darracq Paries, Matthieu - 2019
Through the euro area crisis, financial fragmentation across jurisdictions became a prime concern for the single monetary policy. The ECB broadened the scope of its instruments and enacted a series of non-standard measures to engineer an appropriate degree of policy accommodation. The...
Persistent link: https://www.econbiz.de/10012889467
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Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates
Dedola, Luca; Georgiadis, Georgios; Gräb, Johannes; … - 2021
2016 depreciated the euro vis-à-vis the US dollar by 12%. Regarding transmission channels, we find that a relative QE shock …
Persistent link: https://www.econbiz.de/10013315385
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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10013130602
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Exchange Rate Shocks and Inflation Comovement in the Euro Area
Leiva‐Leon, Danilo - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012838756
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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …
Persistent link: https://www.econbiz.de/10013060040
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Inflation Persistence in the European Union, the Euro Area, and the United States
Gadzinski, Gregory - 2011
In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area...
Persistent link: https://www.econbiz.de/10013120765