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Duprey, Thibaut; Ueberfeldt, Alexander - 2020 - Last updated: January 28, 2020

We propose a novel framework to analyze how policy-makers can manage risks to the median projection and risks specific to the tail of gross domestic product (GDP) growth. By combining a quantile regression of GDP growth with a vector autoregression, we show that monetary and macroprudential...

Persistent link: https://www.econbiz.de/10012154134

Changes in monetary regimes and the identification of monetary policy shocks : narrative evidence from Canada

Champagne, Julien; Sekkel, Rodrigo - 2017

by the announcement of inflation targeting in 1991 when estimating the effects of monetary policy. For instance, we find …

Persistent link: https://www.econbiz.de/10011777945

Euro area government bonds : integration and fragmentation during the sovereign debt crisis

Ehrmann, Michael; Fratzscher, Marcel - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

Persistent link: https://www.econbiz.de/10010508561

The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model

Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas - 2018

sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in …

Persistent link: https://www.econbiz.de/10011804879

Monetary policy, trends in real interest rates and depressed demand

Beaudry, Paul; Meh, Césaire Assah - 2021 - Last updated: August 16, 2021

long run. In particular, we show that if monetary policy reacts aggressively to inflation, this supports a steady state … where inflation is close to the central bank's target. However, the same aggressive policy simultaneously favours the … inflation are lower and monetary policy is constrained by the effective lower bound. We discuss how fiscal policy can be used to …

Persistent link: https://www.econbiz.de/10012546126

House price responses to monetary policy surprises : evidence from the U.S. listings data

Gorea, Denis; Kryvtsov, Oleksiy; Kudlyak, Marianna - 2022 - Last updated: September 20, 2022

Existing literature documents that house prices respond to monetary policy surprises with a significant delay, taking years to reach their peak response. We present new evidence of a much faster response. We exploit information contained in listings for residential properties for sale in the...

Persistent link: https://www.econbiz.de/10013370483

Gazing at r-star : a hysteresis perspective

Beaudry, Paul; Kartashova, Katya; Meh, Césaire Assah - 2023 - Last updated: January 12, 2023

Many explanations for the decline in real interest rates over the last 30 years point to the role that population aging or rising income inequality plays in increasing the long-run aggregate demand for assets. Notwithstanding the importance of such factors, the starting point of this paper is to...

Persistent link: https://www.econbiz.de/10013482643

Shaping the future : policy shocks and the GDP growth distribution

Boire, François-Michel; Duprey, Thibaut; Ueberfeldt, … - 2021 - Last updated: May 25, 2021

We incorporate quantile regressions into a structural vector autoregression model to empirically assess how monetary and fiscal policy influence risks around future GDP growth. Using a panel of six developed countries, we find that both policy instruments affect the location of the distribution...

Persistent link: https://www.econbiz.de/10012522864

Democratic political economy of financial regulation

Livshits, Igor; Park, Youngmin - 2021 - Last updated: November 26, 2021

This paper offers a simple theory of inefficiently lax financial regulation arising as an outcome of a democratic political process. Lax financial regulation encourages some banks to issue risky residential mortgages. In the event of an adverse aggregate housing shock, these banks fail. When...

Persistent link: https://www.econbiz.de/10012670328

Lending standards, productivity and credit crunches

Swarbrick, Jonathan M. - 2019

We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis. Endogenous lending standards emerge...

Persistent link: https://www.econbiz.de/10012034334

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