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Banking in the negative : a vector error correction analysis of bank-specific lending and deposit rates

Agati, Alessandra; Sigmund, Michael - 2025

cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit Facility Rate …-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction … after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between …

Persistent link: https://www.econbiz.de/10015183164

Will macroprudential policy counteract monetary policy's effects on financial stability?

Agur, Itai; Demertzis, Maria - 2018

How does monetary policy impact upon macroprudential regulation? This paper models monetary policy's transmission to bank risk taking, and its interaction with a regulator's optimization problem. The regulator uses its macroprudential tool, a leverage ratio, to maintain financial stability,...

Persistent link: https://www.econbiz.de/10011797689

Credit risks and monetary policy within Caribbean economies

Arana, Rumile; Ramirez, Francisco A.; Wright, Allan - 2017

Our paper addresses the issue on the interaction between monetary and macroprudential policies in small open economies for different exchange rate regimes. The need for macroprudential policy arises from exacerbated macroeconomic fluctuations due to frictions in the financial system as in...

Persistent link: https://www.econbiz.de/10011657290

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...

Persistent link: https://www.econbiz.de/10012316011

The risk-taking channel of monetary policy in Macedonia : evidence from credit registry data

Miteski, Mite; Mitreska, Ana; Vaskov, Mihajlo - 2018

The last global crisis brought the monetary policy risk-taking channel to the fore, arguing that lingering low interest rates might affect not only the quantity, but the quality of credit extended as well. In line with this debate, this paper is the first effort to empirically investigate the...

Persistent link: https://www.econbiz.de/10011944421

Hawks vs. Doves : ECB's monetary policy in light of the Fed's policy stance

Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023

The secular increase in globalization led to a substantial increase in the interconnectedness of global financial markets. This has important implications for the conduct of monetary policy, as central bank policies may diverge across countries, potentially affecting key transmission channels of...

Persistent link: https://www.econbiz.de/10014445207

Investigating credit transmission mechanism in the Republic of Macedonia : evidence from Vector Error Correction Model

Eliskovski, Milan - 2018

Johansen cointegration technique which is appropriate for empirical testing based on time series. The empirical results suggest …

Persistent link: https://www.econbiz.de/10011852881

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798

The impact of currency carry trade activity on the transmission of monetary policy

Boeck, Maximilian; Steshkova, Alina; Zörner, Thomas - 2024 - This Version: August 2024

This paper examines how carry trade activity affects the transmission of monetary policy in currency markets. It analyzes a set of developed and emerging market currencies against the U.S. dollar. The U.S. dollar appreciates in response to a conventional monetary policy shock but depreciates to...

Persistent link: https://www.econbiz.de/10015053521

Measuring the natural interest rate for the Macedonian economy : a multi-model approach

Miteski, Mite; Petrovska, Magdalena; Sulejmani, Artan - 2023

This paper identifies the natural interest rate for the Macedonian economy using quarterly data for 2001Q4-2019Q3. To this end, the estimation is made by using different types of models, such as the Holston, Laubach, and Williams model and the full-fledged country-specific structural MAKPAM...

Persistent link: https://www.econbiz.de/10014324792