In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we...

Evidence on the effects of negative interest rates on bank lending is inconclusive so far. By applying a difference-in-difference estimation using granular loan level data with a large coverage from Austria, I show, contrary to some previous ndings, that the introduction of a negative deposit...

In this paper, we empirically analyze the transmission of realized interest rate risk - the gain or loss in bank economic capital due to movements in interest rates - to bank lending. We exploit a unique panel data set that contains supervisory information on the repricing maturity profiles of...

As TLTRO programs provide a direct incentive to increase lending, investigating the level of prudence applied by banks in making lending decisions is of high relevance. Relying on loan-level data, I evaluate the riskiness of lending by applying estimations in a difference-in-differences setting...

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal...

We propose an approach for Bayesian inference in time-varying structural vector autoregressions (SVARs) identified with sign restrictions. The linchpin of our approach is a class of rotation-invariant time-varying SVARs in which the prior and posterior densities of any sequence of structural...

This paper estimates the path of inflation persistence in the United States over the last 50 years and draws implications about the evolution of the Federal Reserve's monetary-policy preferences. Standard models of central bank optimization predict that the central bank's preference for output...

In this paper we analyze the impact of three U.S. structural shocks on, and its transmission 0to, the world economy. For that purpose we use a Bayesian version of the global vector autoregressive (GVAR) model coupled with a prior specification that explicitly treats uncertainty regarding...

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...

This paper analyses the effects of loan supply, as well as aggregate demand, aggregate supply and monetary policy shocks between 1998 and 2014 in Macedonia using a structural Vector Auto Regression with sign restrictions and Bayesian estimation. The main results indicate that loan supply shocks...