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Macro and micro of external finance premium and monetary policy transmission
Altavilla, Carlo; Gürkaynak, Refet S.; Quaedvlieg, Rogier - 2024
We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance premium at the country, bank, firm, and contract levels of disaggregation. At the country level, the...
Persistent link: https://www.econbiz.de/10014527119
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Risk sharing and monetary policy transmission
Hauptmeier, Sebastian; Holm-Hadulla, Fédéric; … - 2022
Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in output. With strong risk sharing, the response is...
Persistent link: https://www.econbiz.de/10013448692
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Monetary policy transmission over the leverage cycle : evidence for the euro area
Bräuer, Leonie; Rünstler, Gerhard - 2020
cycle. The shift in the inflation-output trade-off may result from higher macro-economic uncertainty in low leverage states …
Persistent link: https://www.econbiz.de/10012241107
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Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR
Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10008901483
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Euro area equity risk premia and monetary policy : a longer-term perspective
Kapp, Daniel; Kristiansen, Kristian Loft - 2021
This study analyses the effects of euro area monetary policy on equity risk premia (ERP). We find that changes in equity prices during periods of accommodative monetary policy mainly reflected adjustments in the discount factor and economic activity - rather than fluctuations in investors'...
Persistent link: https://www.econbiz.de/10012499624
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If the Fed sneezes, who catches a cold?
Dedola, Luca; Rivolta, Giulia; Stracca, Livio - 2017
against the dollar; industrial production and real GDP fall, unemployment rises. Inflation declines especially in advanced …
Persistent link: https://www.econbiz.de/10011645922
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Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks
Georgiadis, Georgios; Jančoková, Martina - 2017
data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …
Persistent link: https://www.econbiz.de/10011664579
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Granular shocks to corporate leverage and the macroeconomic transmission of monetary policy
Holm-Hadulla, Fédéric; Thürwächter, Claire - 2024
We study how shocks to corporate leverage alter the macroeconomic transmission of monetary policy. We identify leverage shocks as idiosyncratic firm-level disturbances that are aggregated up to a size-weighted country-level average to generate a Granular Instrumental Variable (Gabaix and Koijen,...
Persistent link: https://www.econbiz.de/10014484385
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The role of labor markets for euro area monetary policy
Christoffel, Kai; Küster, Keith; Linzert, Tobias - 2009
degree of wage rigidity makes monetary policy more effective, i.e. a monetary policy shock transmits faster onto inflation … fluctuations. Our results point primarily towards disturbances in the bargaining process as a significant contributor to inflation … important for monetary policy. -- Labor Market ; wage rigidity ; bargaining ; Bayesian estimation …
Persistent link: https://www.econbiz.de/10003832582
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Credit, financial conditions and the business cycle in China
Lodge, David; Soudan, Michel - 2019
This paper presents empirical evidence of the role of financial conditions in China's business cycle. We estimate a Bayesian-VAR for the Chinese economy, incorporating a financial conditions index for China that captures movements across a range of financial variables, including interest rates...
Persistent link: https://www.econbiz.de/10011975616