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Liquidity, inflation and asset prices in a time-varying framework for the euro area

Baumeister, Christiane; Durinck, Eveline; Peersman, Gert - 2008

In this paper, we investigate how the dynamic effects of excess liquidity shocks on economic activity, asset prices and … inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity …

Persistent link: https://www.econbiz.de/10011610148

Investment, R&D and liquidity constraints : a corporate governance approach to the Belgian evidence

Van Cayseele, Patrick - 2002

In this contribution, we present a novel instrument to control for investment opportunities in studying the investment-cash-flow sensitivity. More in particular we introduce the book value of R&D. We argue this instrument has advantages over other theories of investment, especially when...

Persistent link: https://www.econbiz.de/10011623279

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011590578

Forecasting with a Bayesian DSGE model : an application to the euro area

Smets, Frank; Wouters, Rafael - 2004

In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian...

Persistent link: https://www.econbiz.de/10003285769

Inflation persistence and price-setting behaviour in the euro area : a summary of the Inflation Persistence Network evidence

Altissimo, Filippo; Ehrmann, Michael; Smets, Frank - 2006

This paper provides a summary of current knowledge on inflation persistence and price stickiness in the euro area, based on research findings that have been produced in the context of the Inflation Persistence Network. The main findings are: i) Under the current monetary policy regime, the...

Persistent link: https://www.econbiz.de/10011622329

An estimated dynamic stochastic general equilibrium model of the euro area

Smets, Frank; Wouters, Rafael - 2002

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...

Persistent link: https://www.econbiz.de/10011623232

Openness, imperfect exchange rate pass-through and monetary policy

Smets, Frank; Wouters, Rafael - 2002

This paper analyses the implications of imperfect exchange rate passthrough for optimal monetary policy in a linearised open-economy dynamic general equilibrium model calibrated to euro area data. Imperfect exchange rate pass through is modelled by assuming sticky import price behaviour. The...

Persistent link: https://www.econbiz.de/10011623407

Shocks and frictions in US business cycles : a Bayesian DSGE approach

Smets, Frank; Wouters, Rafael - 2007

Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to...

Persistent link: https://www.econbiz.de/10011618212

The transmission mechanism of credit support policies in the Euro Area

Boeckx, Jef; Sola Perea, Maite de; Peersman, Gert - 2016

sheets (liquidity effect), banks that depend more on wholesale funding (retail effect) and low-capitalized banks (capital … levels of bank capitalization at the same time mitigate the size, retail and liquidity effects of the policies. The drag on … responded more to the credit support policies of the Eurosystem as a result of more favourable size, retail and liquidity …

Persistent link: https://www.econbiz.de/10011634998

Effectiveness and transmission of the ECB's balance sheet policies

Boeckx, Jef; Dossche, Maarten; Peersman, Gert - 2014

We estimate the effects of exogenous innovations to the balance sheet of the ECB since the start of the financial crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial markets, and has a positive impact on economic activity...

Persistent link: https://www.econbiz.de/10011587743