Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10009639863
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10009640348
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10009640457
The paper analyses the effect of equity price shocks on current account positions for the G7 industrialized countries in 1974-2007. It uses a Bayesian VAR with sign restrictions for the identification of asset price shocks and to test empirically for their effect on current accounts. Such shocks...
Persistent link: https://www.econbiz.de/10003831797
We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is...
Persistent link: https://www.econbiz.de/10003826072
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10003969262
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10003973320
We introduce a specification of habit formation featuring non-separability between consumption and leisure into an otherwise standard New Keynesian model. The model can be estimated with standard Bayesian techniques and the bond pricing implications are evaluated using higher-order...
Persistent link: https://www.econbiz.de/10009405588
Fulfilling the commitments embedded in the Paris Agreement requires a climate-technology revolution. Patented innovation of low-carbon technologies is lower in the EU than in selected peers, and very heterogeneous across member states. We motivate this fact with an endogenous model of directed...
Persistent link: https://www.econbiz.de/10013285966
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...
Persistent link: https://www.econbiz.de/10003782668