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The costs of macroprudential deleveraging in a liquidity trap

Chen, Jiaqian; Finocchiaro, Daria; Lindé, Jesper; … - 2020

We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...

Persistent link: https://www.econbiz.de/10012251966

A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10011978601

One money, many markets : monetary transmission and housing financing in the euro area

Corsetti, Giancarlo; Duarte, Joao B.; Mann, Samuel - 2020

We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity, which we find to be low in financial variables and output, but significant in consumption,...

Persistent link: https://www.econbiz.de/10012252067

Mortgage Market Development, Savings, and Growth

Li, Xiaowei - 2001

Jappelli and Pagano (1994) argues that tightening the borrowing constraints in the mortgage markets promotes savings … savings and growth rates to fall. Therefore, for countries with scarce mortgage availability like those in the Middle East …, expanding the mortgage markets to some extent is conducive to savings and growth …

Persistent link: https://www.econbiz.de/10014403815

Household debt and house prices-at-risk : a tale of two countries

Alter, Adrian; Mahoney, Elizabeth M. - 2020

To identify and quantify downside risks to housing markets, we apply the house price-at-risk methodology to a sample of 37 cities across the United States and Canada using quarterly data from 1983 to 2018. This paper finds that downside risks to housing markets in the United States have...

Persistent link: https://www.econbiz.de/10012251283

Determinants of Interest Rate Pass-Through : Do Macroeconomic Conditions and Financial Market Structure Matter?

Gigineishvili, Nikoloz - 2011

Numerous empirical studies have found that the strength of the interest rate pass-through varies markedly across countries and markets. The causes of such heterogeneity have attracted considerably less attention so far. Unlike other studies that mainly focus on small groups of mostly developed...

Persistent link: https://www.econbiz.de/10014398656

Secular drivers of the natural rate of interest in the United States : a quantitative evaluation

Platzer, Josef; Peruffo, Marcel - 2022

We develop a heterogeneous agent, overlapping generations model with nonhomothetic preferences that nests several explanations for the decline in the natural rate of interest (r*) suggested in the literature: demographic change, a slowdown in productivity growth, a rise in income inequality, and...

Persistent link: https://www.econbiz.de/10013170272

Market power and monetary policy transmission

Duval, Romain; Furceri, Davide; Lee, Raphael; Mendes … - 2021

We show that firms' market power dampens the response of their output to monetary policy shocks, using firm-level data for the United States and a large cross-country firm-level dataset for 14 advanced economies. The estimated impact of a firm's markup on its response to a monetary policy shock...

Persistent link: https://www.econbiz.de/10012605640

Bank Lending and Interest Rate Changes in a Dynamic Matching Model

Dell'Ariccia, Giovanni - 1998

This paper presents theory and evidence on the dynamic relationship between aggregate bank lending and interest rate …

Persistent link: https://www.econbiz.de/10014400310

Linkages Among Asset Markets in the United States : Tests in a Bivariate Garch Framework

Deb, Parha - 1999

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of...

Persistent link: https://www.econbiz.de/10014400867

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