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Financial instability and monetary policy : the Swedish evidence

Bergman, Michael U.; Hansen, Jan - 2002

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

Monetary policy with incomplete exchange rate pass-through

Adolfson, Malin - 2001

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

An alternative explanation of the price puzzle

Giordani, Paolo - 2001

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

Conditional exchange rate pass-through : evidence from Sweden

Corbo, Vesna; Di Casola, Paola - 2018

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

Drivers of consumer prices and exchange rates in small open economies

Corbo, Vesna; Di Casola, Paola - 2020

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

Monetary policy surprises, central bank information shocks, and economic activity in a small open economy

Laséen, Stefan - 2020

restrictions on stock market changes around the announcement to separate structural monetary policy shock from central bank …

Persistent link: https://www.econbiz.de/10012309007

Measuring Riksbank monetary policy : shocks and macroeconomic transmission

Almerud, Jakob; Krygier, Dominika; Lundvall, Henrik; … - 2024

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

Business cycle implications of mortgage spreads

Walentin, Karl - 2014 - September 2013 (Updated March 2014)

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

Debt, equity and the equity price puzzle

Finocchiaro, Daria; Mendicino, Caterina - 2015

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

Identifying the effects of monetary policy shocks in an open economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 2002

wisdom about the effects of monetary policy shock. …

Persistent link: https://www.econbiz.de/10011583125