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Illing, Gerhard; Cao, Jin - 2007

the absence of central bank intervention, the incentive of financial intermediaries to free ride on liquidity in good … states may result in excessively low liquidity in bad states. In the prevailing mixed-strategy equilibrium, depositors are … worse off than if banks would coordinate on more liquid investment. It is shown that public provision of liquidity improves …

Persistent link: https://www.econbiz.de/10010427485

Modeling Monetary Policy

Reynard, Samuel; Schabert, Andreas - 2009

conditions, i.e. the varying liquidity value ofeligible assets and the associated risk. This induces a liquiditypremium, which …

Persistent link: https://www.econbiz.de/10010325945

Credit risk transfers and the macroeconomy

Faia, Ester - 2010

credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets …

Persistent link: https://www.econbiz.de/10011605302

Firm entry, inflation and the monetary transmission mechanism

Lewis, Vivien; Poilly, Céline - 2011

This paper estimates a business cycle model with endogenous firm entry by matching impulse responses to a monetary policy shock in US data. Our VAR includes net business formation, profits and markups. We evaluate two channels through which entry may influence the monetary transmission process....

Persistent link: https://www.econbiz.de/10011506731

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

Do markets care about central bank governor changes?: evidence from emerging markets

Moser, Christoph; Dreher, Axel - 2007

Central bank governor changes in emerging markets may convey important signals about future monetary policy. Based on a new daily data set, this paper examines the reactions of foreign exchange markets, domestic stock market indices and sovereign bond spreads to central bank governor changes....

Persistent link: https://www.econbiz.de/10010275868

States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives

Balling, Morten; Jackson, Patricia; Gnan, Ernest; … - 2013

On 5-6 September 2012 SUERF held its 30th Colloquium “States, Banks, and the Financing of the Economy” at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the papers in this publication discuss from different...

Persistent link: https://www.econbiz.de/10011689959

Endogenous Systemic Liquidity Risk

Cao, Jin; Illing, Gerhard - 2008

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

Persistent link: https://www.econbiz.de/10010427534

The Shadow Banking System - Survey and Typological Framework

Poschmann, Jenny - 2012

Even though the sector of Non-bank financial intermediaries (NBFI) or shadow banks represent a large part of the contemporary financial system, these institutions received almost no attention in macroeconomic studies so far. Their presence has significant influence on the conduct of monetary...

Persistent link: https://www.econbiz.de/10010334475

Fleshing out the monetary transmission mechanism: output composition and the role of financial frictions

Meier, André; Müller, Gernot J. - 2005

Financial frictions affect the way in which different components of GDP respond to a monetary policy shock. We embed the financial accelerator of Bernanke, Gertler and Gilchrist (1999) into a medium-scale Dynamic General Equilibrium model and evaluate the relative importance of financial...

Persistent link: https://www.econbiz.de/10011604546