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Equilibrium unemployment, job flows and inflation dynamics

Trigari, Antonella - 2004

general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price … worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …

Persistent link: https://www.econbiz.de/10009636527

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

Asset pricing, habit memory, and the labor market

Jaccard, Ivan - 2010

This article studies the asset pricing and the business cycle implications of habit formation in a production economy with capital adjustment costs and endogenous labor supply. A specification of internal habit in the mix of consumption and leisure which minimizes the wealth effect on labor...

Persistent link: https://www.econbiz.de/10009640396

Trusting the bankers

Ciccarelli, Matteo; Maddaloni, Angela; Peydró, José-Luis - 2010

monetary policy shock on GDP and inflation; (3) for business loans, the impact through the (supply) bank lending channel is …

Persistent link: https://www.econbiz.de/10009640312

Financial regulation, financial globalization and the synchronization of economic activity

Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - 2010

We identify the effect of financial integration on international business cycle synchronization, by utilizing a confidential database on banks’ bilateral exposure and employing a country-pair panel instrumental variables approach. Countries that become more integrated over time have less...

Persistent link: https://www.econbiz.de/10009640319

Credit supply

Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - 2010

To identify credit availability we analyze the extensive and intensive margins of lending with loan applications and all loans granted in Spain. We find that during the period analyzed both worse economic and tighter monetary conditions reduce loan granting, especially to firms or from banks...

Persistent link: https://www.econbiz.de/10009640362

The euro area Bank Lending Survey matters

Bondt, Gabe de; Maddaloni, Angela; Peydró, José-Luis; … - 2010

This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant leading indicator for euro area bank credit and real GDP...

Persistent link: https://www.econbiz.de/10009640399

Securitization, bank lending and credit quality

Carbó-Valverde, Santiago; Marqués-Ibáñez, David; … - 2011

While the 2007-2010 financial crisis has hit a variety of countries asymmetrically, the case of Spain is particularly illustrative: this country experienced a pronounced housing bubble partly funded via spectacular developments in its securitization markets leading to looser credit standards and...

Persistent link: https://www.econbiz.de/10009640768

Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

Persistent link: https://www.econbiz.de/10009635905

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

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