This study reviews the existing literature on the determinants of bank-level deposit volatility and is the first to provide empirical evidence for the German banking system by analyzing a large set of confidential micro-data from 2,262 banks over the period from 2003 to 2015. Taking advantage of...

Historically high household debt in several economies is calling for a deleveraging, but according to some economists, this adjustment can slow GDP growth by weighing on consumption. Using a sample of advanced and emerging market economies, this paper finds evidence of a negative relationship...

To analyze the effectiveness of stabilization policies which includes effects on households future income it is central to account for anticipation effects on consumption. We investigate this using high-frequency spending and balance sheet data from a major Danish bank. We examine the behavior...

We explore the relationship between sticky wages and risk. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast...

Motivated by the apparent failure of the credit multiplier mechanism (CM) to deliver amplification in DSGE models, we re-examine its role in business cycles to address the question: is something wrong with the CM? Our answer is no. In coming to this answer we construct a model with reproducible...

How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real economy by both economically and statistically significant...

We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. The model is confronted with the U.S. macroeconomic time series. Our estimated model can account for two prominent facts observed in the data. First, the land price and...

In this paper we analyze theoretically and empirically the impact of an increase in income inequality on the current account balance. We develop a model with consumption externalities and heterogeneous agents which explains how an increase in income inequality can affect negatively or positively...

The large spread between equity returns and risk-free rates (the "equity premium puzzle") has been the subject of intense debate. Two main families of models claim to solve this puzzle: habit-formation models and loss-aversion models. The goal of this paper is to assess empirically which of them...

We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macro-economy and the role of house prices in the monetary policy transmission, across euro area countries. A novel set of identification...