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Are banks passive liquidity backstops? : deposit rates and flows during the 2007-2009 crisis

Acharya, Viral V.; Mora, Nada - 2011

Persistent link: https://www.econbiz.de/10009413023

How Do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007

Acharya, Viral V. - 2013

In August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We … investigate how banks scrambled for liquidity in response to this freeze and its implications for corporate borrowing. Commercial …

Persistent link: https://www.econbiz.de/10013077991

When Does a Central Bank's Balance Sheet Require Fiscal Support?

Del Negro, Marco - 2014

Using a simple general equilibrium model, we argue that it would be appropriate for a central bank with a large balance sheet composed of long-duration nominal assets to have access to, and be willing to ask for, support for its balance sheet by the fiscal authority. Otherwise its ability to...

Persistent link: https://www.econbiz.de/10013043485

The Forward Guidance Puzzle

Del Negro, Marco - 2012

With short-term interest rates at the zero lower bound, forward guidance has become a key tool for central bankers, and yet we know little about its effectiveness. Standard medium-scale DSGE models tend to grossly overestimate the impact of forward guidance on the macroeconomy — a phenomenon...

Persistent link: https://www.econbiz.de/10013099189

Time-Varying Structural Vector Autoregressions and Monetary Policy : A Corrigendum

Del Negro, Marco - 2013

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with...

Persistent link: https://www.econbiz.de/10013081874

The FRBNY DSGE Model

Del Negro, Marco - 2013

The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is...

Persistent link: https://www.econbiz.de/10013074011

Monetary Easing, Leveraged Payouts and Lack of Investment

Acharya, Viral V. - 2020

This paper studies a model in which a low monetary policy rate lowers the cost of capital for entrepreneurs, potentially spurring productive investment. Low interest rates, however, also induce entrepreneurs to lever up so as to increase payouts to equity. Whereas such leveraged payouts...

Persistent link: https://www.econbiz.de/10012846842

The Anatomy of the Transmission of Macroprudential Policies

Acharya, Viral V. - 2020

We analyze how regulatory constraints on household leverage—in the form of loan-to-income and loan-to-value limits—affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Supervisory loan level data suggest that mortgage credit...

Persistent link: https://www.econbiz.de/10012849205

The Great Escape? A Quantitative Evaluation of the Fed’s Liquidity Facilities

Del Negro, Marco; Eggertsson, Gauti B.; Ferrero, Andrea; … - 2011

We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities, explicitly … incorporating the zero bound on the short-term nominal interest rate. Within this framework, we ask: Can a shock to the liquidity of … government exchanges liquid government assets for illiquid private paper? We find that the effects of the liquidity shock can be …

Persistent link: https://www.econbiz.de/10014176860

The Financial (In)Stability Real Interest Rate, R**

Akinci, Ozge; Benigno, Gianluca; Del Negro, Marco; … - 2022

We introduce the concept of a financial stability real interest rate using a macroeconomic banking model with an occasionally binding financing constraint, as in Gertler and Kiyotaki (2010). The financial stability interest rate, r**, is the threshold interest rate that triggers the constraint...

Persistent link: https://www.econbiz.de/10014239222