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Employment effects of unconventional monetary policy : evidence from QE
Luck, Stephan; Zimmermann, Tom - 2018
This paper investigates the effect of the Federal Reserve's unconventional monetary policy on employment via a bank lending channel. We find that banks with higher mortgage-backed securities holdings issued relatively more loans after the first and third rounds of quantitative easing (QE1 and...
Persistent link: https://www.econbiz.de/10012016375
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A unifed measure of Fed monetary policy shocks
Bu, Chunya; Rogers, John H.; Wu, Wenbin - 2019
Identification of Fed monetary policy shocks is complex, in light of the distinct policymaking regimes before, during, and after the ZLB period of December 2008 to December 2015. We develop a heteroscedasticity-based partial least squares approach, combined with Fama-MacBeth style cross-section...
Persistent link: https://www.econbiz.de/10012181228
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US monetary policy and international bond markets
Gilchrist, Simon; Yue, Vivian Z.; Zakrajšek, Egon - 2018
This paper uses high-frequency data to analyze the effects of US monetary policy--during the conventional and unconventional policy regimes--on foreign government bonds markets in advanced and emerging market economies. The results indicate that an expansionary US monetary policy steepens the...
Persistent link: https://www.econbiz.de/10011927015
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Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10011499604
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Self-confirming price dispersion in monetary economies
Baughman, Garth; Rabinovich, Stanislav - 2018
simultaneous search or any heterogeneity in preferences, production costs, or search technologies. A distribution of money holdings … price distribution, in turn, makes buyers indifferent across a range of money balances, rationalizing the non …-degenerate distribution of money holdings. We completely characterize the distribution of posted prices and money holdings in any equilibrium …
Persistent link: https://www.econbiz.de/10011932364
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Capacity choice, monetary trade, and the cost of inflation
Baughman, Garth; Rabinovich, Stanislav - 2020
Persistent link: https://www.econbiz.de/10012388554
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How does the strength of monetary policy transmission depend on real economic activity?
Sapriza, Horacio; Temesvary, Judit - 2019 - This version: February 2019
We study the relationship between the strength of the bank credit channel (BCC) of monetary policy and real GDP growth in the United States using quarterly commercial bank level data between 1986 and 2008. We find that the BCC was significantly stronger during periods of low economic growth....
Persistent link: https://www.econbiz.de/10012018452
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The currency dimension of the bank lending channel in international monetary transmission
Takáts, Előd; Temesvary, Judit - 2017
We investigate how the use of a currency transmits monetary policy shocks in the global banking system. We use newly available unique data on the bilateral cross-border lending flows of 27 BIS-reporting lending banking systems to over 50 borrowing countries, broken down by currency denomination...
Persistent link: https://www.econbiz.de/10011708082
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Monetary policy in a stochastic equilibrium model with real and nominal rigidities
Kim, Jinill - 1998
Persistent link: https://www.econbiz.de/10000658920
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The money view versus the credit view
Baker, Sarah S.; López-Salido, José David; Nelson, Edward - 2018
merits of the "money view" and "credit view" as accounts of macroeconomic outcomes. Our own analysis of the postwar evidence … suggests that money outperforms credit in predicting economic downturns in the 14 countries in Schularick and Taylor's dataset …. This contrasts with Schularick and Taylor's (2012) highly negative verdict on the money view. In accounting for the …
Persistent link: https://www.econbiz.de/10011932271