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Macroeconomic factors and micro-level bank risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010

The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...

Persistent link: https://www.econbiz.de/10010302760

In search for yield? Survey-based evidence on bank risk taking

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2011

There is growing consensus that the conduct of monetary policy can have an impact on stability through the risk-taking incentives of banks. Falling interest rates might induce a 'search for yield' and generate incentives to invest into risky activities. This paper provides evidence on the link...

Persistent link: https://www.econbiz.de/10010304726

In search for yield? New survey-based evidence on bank risk taking

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2011

There is growing consensus that the conduct of monetary policy can have an impact on financial and economic stability through the risk-taking incentives of banks. Falling interest rates might induce a 'search for yield' and generate incentives to invest into risky activities. This paper provides...

Persistent link: https://www.econbiz.de/10010274819

Macroeconomic factors and micro-level bank risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010

Persistent link: https://www.econbiz.de/10010274932

The international transmission of monetary policy

Buch, Claudia M.; Bussière, Matthieu; Goldberg, Linda S.; … - 2018

This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential micro-banking...

Persistent link: https://www.econbiz.de/10012144688

Chilean-type capital controls: A building block of the new international financial architecture?

Buch, Claudia M. - 1999

Taxes on short-term capital flows such as introduced in Chile and Slovenia during the 1990s in the form of unremunerated reserve requirements (URRs) on financial credits are under discussion as a remedy against adverse effects of volatile international capital flows. From a theoretical point of...

Persistent link: https://www.econbiz.de/10010305403

Asset Prices in Taylor Rules: Specification, Estimation, and Policy Implications for the ECB

Siklos, Pierre L.; Werner, Thomas; Bohl, Martin T. - 2004

This paper estimates standard and extended Taylor rules for core countries in the euro area, namely France, Germany and Italy, as well as for the ECB. Forward, backward and forecast-based rules are estimated for a variety of samples since the late 1970s. We are particularly interested in the...

Persistent link: https://www.econbiz.de/10010295649

Monetary policy transparency, public commentary, and market perceptions about monetary policy in Canada

Siklos, Pierre L. - 2000

Die Einführung von Inflationszielen in Kanada im Jahr 1991 verdeutlichte angeblich das Ziel der Geldpolitik, nämlich … Preisstabilität. Mit der neuen Politik sollte unter anderem die Öffentlichkeit fortan den Erfolg der Geldpolitik leichter daran messen … in der öffentlichen Kommentierung der Geldpolitik seit 1991 fairer beurteilt werden.' Anhand von Kommentaren in den …

Persistent link: https://www.econbiz.de/10010295696

Did the Bundesbank React to Stock Price Movements?

Siklos, Pierre L.; Bohl, Martin T.; Werner, Thomas - 2003

In this paper, we investigate the relationship between stock returns and short-term interest rates. Identification of the stock return-interest rate relation is solved by using a new technique that relies on the heteroskedasticity of shocks to stock market returns. We suggest some improvements...

Persistent link: https://www.econbiz.de/10010295762

The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank

Bohl, Martin T.; Siklos, Pierre L. - 2005

This paper estimates forward-looking and forecast-based Taylor rules for France, Germany, Italy, as well as the euro area, using both final revised data and real-time data. We are particularly interested in the impact of adding asset prices to the standard Taylor rule specification. Since...

Persistent link: https://www.econbiz.de/10010296350