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This paper examines the relationship between financial instability and monetary policy within the Swedish economy. Based on a standard VAR model of monetary policy extended to include measures of financial instability and credit expansions, we examine the interaction between monetary policy and...
Persistent link: https://www.econbiz.de/10011584566
The central bank's optimal reaction to foreign and domestic shocks is analyzed in an inflation targeting model allowing for incomplete exchange rate pass-through. Limited pass-through is incorporated through nominal rigidities in an aggregate supply-aggregate demand model derived from some...
Persistent link: https://www.econbiz.de/10011584787
This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....
Persistent link: https://www.econbiz.de/10011585346
The pass-through from exchange rate changes to inflation differs depending on the underlying shock. This paper … exchange rate following a certain exogenous shock, with a structural econometric approach using data for Sweden, a small … shock is rather small. Importantly, this shock is not the most important driver of exchange rate fluctuations, unlike what …
Persistent link: https://www.econbiz.de/10011806006
economies, we find that the main driver of consumer price inflation is the global demand shock. A negative global demand shock … pass-through following this shock is of opposite sign to what is usually expected. Finally, exogenous shocks to the …
Persistent link: https://www.econbiz.de/10012176017
restrictions on stock market changes around the announcement to separate structural monetary policy shock from central bank …
Persistent link: https://www.econbiz.de/10012309007
We construct and make available a new monetary policy event study database with high-frequency financial market reactions to Riksbank communications, spanning a period of 20 years. Using these data as instruments, we estimate the macroeconomic effects of monetary policy shocks in Sweden. A...
Persistent link: https://www.econbiz.de/10015163678
How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real economy by both economically and statistically significant...
Persistent link: https://www.econbiz.de/10010202977
We show that in a model with equity and debt financing, the specfication of the borrowing constraint is crucial to generate empirically plausible responses of macro variables and asset prices to financial shocks. The interaction between financial frictions and labor demand, as in Jermann and...
Persistent link: https://www.econbiz.de/10011410405
wisdom about the effects of monetary policy shock. …
Persistent link: https://www.econbiz.de/10011583125