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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10012320523
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Neuenkirch, Matthias - 2020
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10012383710
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10013328355
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Credit shocks and macroeconomic fluctuations in emerging markets
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10009754529
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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 - 2012
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/10013102102
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Not All International Monetary Shocks are Alike for the Japanese Economy
Ratti, Ronald A. - 2014
It is found that over 1999:1-2012:12 China's monetary expansion influences Japan through the effect of China's growth on world commodity prices, increased demand for imports, and exchange rate policy. China's monetary expansion is associated with significant increases in Japan's industrial...
Persistent link: https://www.econbiz.de/10013059432
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Towards technology-news-driven business cycles
Di Casola, Paola; Sichlimiris, Spyridon - 2018
We identify an inflationary technology news shock as the leading source of business cycle variations for the postwar U ….S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption … technological innovations reduce inflation. The technology news shock became the predominant source of the business cycle from the …
Persistent link: https://www.econbiz.de/10011930326
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Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …
Persistent link: https://www.econbiz.de/10012626760
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Macroeconomic shocks and racial labour market differences in the U.S.
De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019
Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...
Persistent link: https://www.econbiz.de/10012157899
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The Monetary Policy Transmission Mechanism in a Term-Structure Model with Unspanned Macro Risks
Ferman, Marcelo - 2011
In this paper I study how exogenous monetary policy impulses jointly transmit to the US macroeconomy and term structure. I estimate a Macro-Affine Term Structure Model similar to Joslin, Priebsch and Singleton (2010), and use this framework to identify monetary policy shocks and term premia. My...
Persistent link: https://www.econbiz.de/10013117777