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To sign or not to sign? : on the response of prices to financial and uncertainty shocks
Meinen, Philipp; Röhe, Oke - 2018
Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their effects on prices. While our results confirm that such disturbances are important drivers of output...
Persistent link: https://www.econbiz.de/10011897983
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Great recession, slow recovery and muted fiscal policies in the US
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...
Persistent link: https://www.econbiz.de/10011434680
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Limited Asset Market Participation and the Euro Area Crisis. An Empirical DSGE Model
Albonico, Alice - 2018
consumption correlation with output. In the LAMP model this role is played by the investment-specific shock, because Non …-Ricardian households introduce a Keynesian multiplier effect and raise the correlation between consumption and investments. We also detect … contractionary role of monetary policy shocks during the post-2007 years. In this period consumption of Non-Ricardian households fell …
Persistent link: https://www.econbiz.de/10012907972
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The simpler, the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2021
In this paper we assess the merits of financial condition indices constructed using simple averages versus a more sophisticated alternative that uses factor models with time varying parameters. Our analysis is based on data for 18 advanced and emerging economies at a monthly frequency covering...
Persistent link: https://www.econbiz.de/10012653846
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The simpler the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2020
In this paper we assess the merits of financial condition indices constructed using simple averages versus a more sophisticated alternative that uses factor models with time varying parameters. Our analysis is based on data for 18 advanced and emerging economies at a monthly frequency covering...
Persistent link: https://www.econbiz.de/10012259350
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What do VARs tell us about the impact of a credit supply shock?
Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2015
This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying...
Persistent link: https://www.econbiz.de/10010484833
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Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models
Muellbauer, John; Duca, John - Department of Economics, Oxford University - 2012
modelling framework for analysing the household flow of funds jointly with consumption.  The consumption function incorporates … consumption and housing purchase decisions jointly with portfolio decisions, there is much to be gained in modelling a household …
Persistent link: https://www.econbiz.de/10011004428
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Consumption and the Great Recession
De Nardi, Mariacristina - 2012
consumption since WWII and why its recovery path has been so weak …
Persistent link: https://www.econbiz.de/10013109621
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International Capital Flows and the Boom-Bust Cycle in Spain
in 't Veld, Jan - 2015
We study the joint dynamics of foreign capital flows and real activity during the recent boom-bust cycle of the Spanish economy, using a three-country New Keynesian model with credit-constrained households and firms, a construction sector and a government. We estimate the model using...
Persistent link: https://www.econbiz.de/10013033607
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Monetary policy transmission during financial crises : an empirical analysis
Dahlhaus, Tatjana - 2014
, consumption, and investment than it has during "normal" times. Differences in effects among the regimes seem to originate from non …
Persistent link: https://www.econbiz.de/10010360369