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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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Housing, Consumption and Monetary Policy : How Different are the US and the Euro Area?
Musso, Alberto - 2012
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10013116395
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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel - 2009
both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of …
Persistent link: https://www.econbiz.de/10013153609
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Global Impacts of Us Monetary Policy Uncertainty Shocks
Lastauskas, Povilas; Minh, Anh - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
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Identifying SVARS from Sparse Narrative Instruments : Dynamic Effects of U.S. Macroprudential Policies
Budnik, Katarzyna Barbara - 2020
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...
Persistent link: https://www.econbiz.de/10012844716
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Macroprudential Policy Measures : Macroeconomic Impact and Interaction with Monetary Policy
Cozzi, Guido - 2020
This paper examines the interactions of macroprudential and monetary policies. We find, using a range of macroeconomic models used at the European Central Bank, that in the long run, a 1% bank capital requirement increase has a small impact on GDP. In the short run, GDP declines by 0.15-0.35%....
Persistent link: https://www.econbiz.de/10012841083
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Banks and Negative Interest Rates
Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021
In this paper, we survey the nascent literature on the transmission of negative policy rates. We discuss the theory of how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the growing evidence that negative policy rates are...
Persistent link: https://www.econbiz.de/10013227327
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Shock Amplification in an Interconnected Financial System of Banks and Investment Funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock … caused by the Covid-19 outbreak, we model three sources of exogenous shocks: a default shock, a market shock and a redemption …
Persistent link: https://www.econbiz.de/10013216767
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Risk Spillover among Hedge Funds : The Role of Redemptions and Fund Failures
Klaus, Benjamin - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10013154957
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Burned by Leverage? Flows and Fragility in Bond Mutual Funds
Molestina Vivar, Luis - 2020
Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund flows to provide new evidence for the link between mutual fund leverage and financial...
Persistent link: https://www.econbiz.de/10012833579