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When Banks Punch Back : Macrofinancial Feedback Loops in Stress Tests

Catalan, Mario - 2020

contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The … heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects …

Persistent link: https://www.econbiz.de/10012829700

Optimal Macroprudential Policy and Asset Price Bubbles

Biljanovska, Nina - 2019

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond...

Persistent link: https://www.econbiz.de/10012862442

National accounts revisions and output gap estimates in a model of monetary policy with data uncertainty

Mahadeva, Lavan (contributor); Muscatelli, Alex (contributor) - 2005

This paper looks at some implications of data uncertainty for monetary policy. We combine national accounts data revisions with optimal control and filtering experiments on a calibrated model to discuss policy implications of price-versus-volume data uncertainty in GDP data for the United...

Persistent link: https://www.econbiz.de/10003384150

Demand deficiency and inflation in the G7 countries

Başçı, Erdem; Başçı, Sıdıka - In: International econometric review 13 (2021) 3, pp. 59-70

In this paper, we analyze the relationship between nominal and real GDP growth for G7 countries for the period 1971 - 2018. A visual inspection of the data indicates the presence of a threshold, above which the structure of the relationship between nominal and real GDP growth rates changes from...

Persistent link: https://www.econbiz.de/10012816136

Drivers of Financial Access : The Role of Macroprudential Policies

Deléchat, Corinne - 2020

be associated with greater resort to informal financial services compared with formal, bank-based access. This highlights …

Persistent link: https://www.econbiz.de/10012829697

Liquidity risk and banks' asset composition : implications for monetary policy

Ghossoub, Edgar - In: Southern economic journal 77 (2010) 2, pp. 465-481

Persistent link: https://www.econbiz.de/10008735701

Money Growth Variability and Output : Evidence with Credit Card-Augmented Divisia Monetary Aggregates

Liu, Jinan - 2020

We reexamine the effects of the variability of money growth on output, raised by Mascaro and Meltzer (1983), in the era of the increasing use of alternative payments, such as credit cards. Using a bivariate VARMA, GARCH-in-Mean, asymmetric BEKK model, we find that the volatility of the credit...

Persistent link: https://www.econbiz.de/10012836430

Nonlinear Credit Dynamics, Regime Switches in the Output Gap and Supervisory Shocks

Lucidi, Francesco Simone - 2019

state, when the central bank solves a finite-horizon decision problem where the policy rate is allowed to also be zero or …

Persistent link: https://www.econbiz.de/10012865060

Output Gap in Presence of Financial Frictions and Monetary Policy Trade-Offs

Furlanetto, Francesco - 2014

. Furthermore we illustrate that, in the presence of financial frictions, a benevolent central bank faces a substantial trade …

Persistent link: https://www.econbiz.de/10013049145

How Does Monetary Transmission Mechanism Impact Output, Inflation and Money Market Funds in Argentine?

Ledesma Padilla, Juan - 2010

The paper is aimed at quantifying empirically the monetary transmission mechanism for Argentine, and at analyzing the responses of output, inflation, and money market mutual funds (MMMF) to a positive monetary shock. The idea of incorporating MMMF into the system is to understand how economic...

Persistent link: https://www.econbiz.de/10013147766

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