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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
a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …
Persistent link: https://www.econbiz.de/10010321190
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A Banking Explanation of the US Velocity of Money: 1919-2004
Benk, Szilárd; Gillman, Max; Kejak, Michal - 2009
money demand falls, while a positive goods productivity shock raises temporary output and velocity. The paper explains such … velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during … important for velocity during less stable times and the goods productivity shock more important during stable times. …
Persistent link: https://www.econbiz.de/10010494417
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Dynamic effects of credit shocks in a data-rich environment
Boivin, Jean; Giannoni, Marc P.; Stevanovi´c, Dalibor - 2013
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates...
Persistent link: https://www.econbiz.de/10010333628
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The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007
We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....
Persistent link: https://www.econbiz.de/10011604862
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Financial variables as predictors of real growth vulnerability
Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020
We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...
Persistent link: https://www.econbiz.de/10012174678
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The Direction, Timing and Causality Relationships Between The Cyclical Components of Real and Financial Variables During The Financial Liberalization Period in Turkey
Insel, Aysu; Soytaş, Mehmet Ali; Gündüz, Seda - 2004
flows, and domestic spread are the transmission channels of a shock to the real economy. …
Persistent link: https://www.econbiz.de/10010322151
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Asymmetric monetary policy effects in Germany
Tober, Silke; Kuzin, Vladimir N. - 2004
In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the...
Persistent link: https://www.econbiz.de/10010274488
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Ciclos económicos y financieros: Una aproximación empírica para Bolivia
Santander Quino, Camila Miriam - 2022
A partir de las crisis financieras de los últimos años y el creciente desarrollo del sistema financiero, ha surgido la necesidad de entender la relación entre el sector financiero y el sector real de la economía desde una visión integral. Muchos autores han abordado esta relación desde el...
Persistent link: https://www.econbiz.de/10013205363
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A banking explanation of the US velocity of money: 1919 - 2004
Benk, Szilárd; Gillman, Max; Kejak, Michal - 2009
money demand falls, while a positive goods productivity shock raises temporary output and velocity. The paper explains such … velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during … important for velocity during less stable times and the goods productivity shock more important during stable times. …
Persistent link: https://www.econbiz.de/10010288749
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Money velocity in an endogenous growth business cycle with credit shocks
Benk, Szilárd; Gillman, Max; Kejak, Michal - 2007
well velocity volatility. Its Cagan-like money demand means that money and credit shocks cause greater velocity variation …
Persistent link: https://www.econbiz.de/10010322477