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Monetary Policy and the Relative Price of Durable Goods
Cantelmo, Alessandro; Melina, Giovanni - 2015
In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...
Persistent link: https://www.econbiz.de/10010531804
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How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence
Bjørnland, Hilde C.; Halvorsen, Jørn Inge - 2008
This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...
Persistent link: https://www.econbiz.de/10012143695
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Loan supply in Germany during the financial crisis
Busch, Ulrike; Scharnagl, Michael; Scheithauer, Jan - 2010
Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, we employ Bayesian vector autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of...
Persistent link: https://www.econbiz.de/10010300299
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How do credit supply shocks propagate internationally? A GVAR approach
Eickmeier, Sandra; Ng, Tim - 2011
We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the … effect of reducing credit supply to the private sector. We find that negative US credit supply shocks have stronger negative … effects on domestic and foreign GDP, compared to credit supply shocks from the euro area and Japan. Domestic and foreign …
Persistent link: https://www.econbiz.de/10010307706
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The information content of money in forecasting Euro area inflation
Berger, Helge; Stavrev, Emil - 2008
This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using...
Persistent link: https://www.econbiz.de/10010299146
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Monetary Transmission in Three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions
Darvas, Zsolt - 2009
This paper studies the transmission of monetary policy to macroeconomic variables in three new EU Member States in comparison with that in the euro area with structural time-varying coefficient vector autoregressions. In line with the Lucas Critique reduced-form models like standard VARs are not...
Persistent link: https://www.econbiz.de/10010494407
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Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions
Darvas, Zsolt - 2012
We study the transmission of monetary policy to macroeconomic variables with structural time-varying coefficient vector autoregressions in the Czech Republic, Hungary and Poland, in comparison with that in the euro area. These three countries have experienced changes in monetary policy regimes...
Persistent link: https://www.econbiz.de/10010494497
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Monetary transmission in three central European economies: Evidence from time-varying coefficient vector autoregressions
Darvas, Zsolt - 2012
We study the transmission of monetary policy to macroeconomic variables with structural time-varying coefficient vector autoregressions in the Czech Republic, Hungary and Poland, in comparison with that in the euro area. These three countries have experienced changes in monetary policy regimes...
Persistent link: https://www.econbiz.de/10010317298
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Business cycles, monetary transmission and shocks to financial stability: Empirical evidence from a new set of Danish quarterly national accounts 1948-2010
Abildgren, Kim - 2010
In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic...
Persistent link: https://www.econbiz.de/10010321190
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Output and inflation responses to credit shocks: are there threshold effects in the euro area?
Calza, Alessandro; Sousa, João - 2005
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The … effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of …
Persistent link: https://www.econbiz.de/10011604527