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Optimal monetary policy with uncertainty about financial frictions

Moessner, Richhild - 2006

This paper studies optimal discretionary monetary policy in the presence of uncertainty about the degree of financial frictions. Changes in the degree of financial frictions are modelled as changes in parameters of a hybrid New-Keynesian model calibrated for the UK, following Bean, Larsen and...

Persistent link: https://www.econbiz.de/10011604685

Housing, consumption and monetary policy: how different are the US and the euro area?

Musso, Alberto; Neri, Stefano; Stracca, Livio - 2010

The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...

Persistent link: https://www.econbiz.de/10011605207

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - 2010

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10011605224

Substitution between domestic and foreign currency loans in Central Europe. Do central banks matter?

Brzoza-Brzezina, Michał; Chmielewski, Tomasz; … - 2010

In this paper we analyse the impact of monetary policy on total bank lending in the presence of a developed market for foreign currency denominated loans and potential substitutability between domestic and foreign currency loans. Our results, based on a panel of four biggest Central European...

Persistent link: https://www.econbiz.de/10011605233

The bank lending channel: lessons from the crisis

Gambacorta, Leonardo; Marqués-Ibáñez, David - 2011

The 2007-2010 financial crisis highlighted the central role of financial intermediaries’ stability in buttressing a smooth transmission of credit to borrowers. While results from the years prior to the crisis often cast doubts on the strength of the bank lending channel, recent evidence shows...

Persistent link: https://www.econbiz.de/10011605381

Asset price shocks, real expenditures, and financial structure: a multi-country analysis

Chirinko, Robert S.; de Haan, Leo; Sterken, Elmer - 2008

This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...

Persistent link: https://www.econbiz.de/10010274043

Assessing the impact of the ECB's monetary policy on the stock markets: a sectoral view

Kholodilin, Konstantin Arkadievich; Montagnoli, Alberto; … - 2008

This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the...

Persistent link: https://www.econbiz.de/10010274373

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/10010274932

Geldpolitik und Vermögensmärkte

Dreger, Christian; Wolters, Jürgen - In: Vierteljahrshefte zur Wirtschaftsforschung 78 (2009) 1, pp. 56-65

. Andererseits wäre im Fall steigender Vermögenspreise eine restriktivere Geldpolitik erforderlich, die die Dynamik von Produktion … die USA, den Euroraum, Japan und Großbritannien spezifiziert. Während die Geldpolitik keinen Einfluss auf die Entwicklung … eine restriktivere Geldpolitik bei nicht fundamental begründeten Preissteigerungen tatsächlich dämpfend auf die Entwicklung …

Persistent link: https://www.econbiz.de/10010377866

Three Liquidity Crises in Retrospective: Implications for Central Banking Today

Sauer, Stephan - 2007

Liquidity problems lie at the heart of crises on financial markets as demonstrated in this paper by detailed descriptions of the stock market crash in 1987, the LTCM-crisis in 1998 and the financial market consequences of 11 September 2001. The events also demonstrate that modern central banks,...

Persistent link: https://www.econbiz.de/10010427504