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International dynamics of inflation expectations

Netšunajev, Aleksei; Winkelmann, Lars - 2016

To what extent are US and Euro Area (EA) inflation expectations determined by foreign shocks? How do transmissions change during the great recession and European sovereign debt crisis? We address these questions with a flexible structural VAR model of weekly financial markets’ inflation...

Persistent link: https://www.econbiz.de/10011458367

Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations During the Global Financial Crisis

Sussman, Nathan - 2018

Beginning with the global financial crisis (2008) the correlation between crude oil prices and medium-term and forward inflation expectations increased leading to fears of their un-anchoring. Using the first principal component of commodity prices as a measure for global aggregate demand, we...

Persistent link: https://www.econbiz.de/10012916305

Financial stability considerations for monetary policy : theoretical mechanisms

Ajello, Andrea; Boyarchenko, Nina; Gourio, François; … - 2022

. Moreover, financial vulnerabilities amplify the effects of adverse shocks to the economy, so that even a small shock to …

Persistent link: https://www.econbiz.de/10012819348

Uncertainty shocks, banking frictions, and economic activity

Bonciani, Dario; Roye, Björn van - 2013

In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...

Persistent link: https://www.econbiz.de/10009761866

Financial frictions : micro vs. macro volatility

Faccini, Renato; Lee, Seungcheol; Luetticke, Ralph; … - 2024

Consumer credit spreads significantly impact consumption and asset dynamics, affecting indebted households' spending behavior and the income sensitivity of consumption. Analyzing Danish data, we find that elevated credit spreads reduce consumption of indebted households. Our results suggest that...

Persistent link: https://www.econbiz.de/10014480275

More or less aggressive? : robust monetary policy in a New Keynesian model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - 2009

This paper investigates the optimal monetary policy response to a shock to collateral when policymakers act under … constrained consumers. Our results confirm the literature on model uncertainty with respect to a cost-push shock. Insuring against … model misspecification leads to a more aggressive policy response. The same is true for a shock to collateral. A preference …

Persistent link: https://www.econbiz.de/10003870845

Financial Stability Considerations for Monetary Policy : Theoretical Mechanisms

Ajello, Andrea; Boyarchenko, Nina; Gourio, François; … - 2022

. Moreover, financial vulnerabilities amplify the effects of adverse shocks to the economy, so that even a small shock to …

Persistent link: https://www.econbiz.de/10013301035

Bank Liquidity, Interbank Markets, and Monetary Policy

Freixas, Xavier - 2010

A major lesson of the recent financial crisis is that the ability of banks to withstand liquidity shocks and to provide lending to one another is crucial for financial stability. This paper studies the functioning of the interbank lending market and the optimal policy of a central bank in...

Persistent link: https://www.econbiz.de/10013152719

Central Bank Information Shocks, Value Gains, and Value Crashes

Adra, Samer; Menassa, Elie - 2021

Monetary policy shocks that convey new macroeconomic information are significant predictors of both the absolute and risk-adjusted returns from value investing. Positive Fed information shocks lead to higher subsequent value returns. Crashes in the returns of value investing are most likely to...

Persistent link: https://www.econbiz.de/10013231644

Systemic risk in a network model of interbank markets with central bank activity

Georg, Co-Pierre; Poschmann, Jenny - 2010

stability. We model the default of a large bank and analyse the resulting contagion effects. This is compared to a common shock …

Persistent link: https://www.econbiz.de/10003971540