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The macroeconomic implications of changes in bank capital and liquidity requirements in Canada : insights from the BoC-GEM-FIN
De Resende, Carlos; Dib, Ali; Perevalov, Nikita - 2010
The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with financial frictions in both the demand and supply sides of the credit market, to investigate the macroeconomic implications of changing bank regulations on the Canadian economy....
Persistent link: https://www.econbiz.de/10008760522
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Debt Deflation Effects of Monetary Policy
Lin, Li - 2015
This paper assesses the role that monetary policy plays in the decision to default using a General Equilibrium model … of which depends on monetary policy. The decision to default is endogenous and depends on the relative value of the … collateral to face value of the loan. Default results in foreclosure, higher borrowing costs, inefficient investment and a …
Persistent link: https://www.econbiz.de/10013033538
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When Capital Adequacy and Interest Rate Policy are Substitutes (and When They are Not)
Cecchetti, Stephen G. - 2014
Prudential instruments are commonly seen as the tools that can be used to deliver the macroprudential policy goals of reducing the frequency and severity of financial crises. And interest rates are traditionally viewed as the means to deliver the macroeconomic stabilization goals of low, stable...
Persistent link: https://www.econbiz.de/10013066144
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The impact of COVID-19 on bank profitability : cross-country evidence
Augeraud-Véron, Emmanuelle; Boungou, Whelsy - In: German economic review : GER 24 (2023) 1, pp. 69-95
Persistent link: https://www.econbiz.de/10014288225
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The Impact of COVID-19 on Bank Profitability : Cross-Country Evidence
Augeraud-Véron, Emmanuelle; Boungou, Whelsy - 2023
Using data from 5474 banks located in 23 OECD countries over the period 2019Q2-2022Q1, we study the influence of COVID-19 on bank profitability (before and during the COVID-19 vaccination period). Our results show a negative impact of the COVID-19 pandemic on bank profitability, especially at...
Persistent link: https://www.econbiz.de/10014258482
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House Price, Mortgage Premium, and Business Fluctuations
Chen, Nan‐Kuang - 2011
This paper investigates the transmission mechanism of mortgage premium to characterize the relationship between the housing market and the business cycle for the U.S. economy. The model matches the main features of the U.S. housing market and business cycles well. The mortgage premium is crucial...
Persistent link: https://www.econbiz.de/10013123207
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The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility
Lubochinsky, Catherine - 2012
This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...
Persistent link: https://www.econbiz.de/10013108222
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The narrow channel of quantitative easing : evidence from YCC down under
Lucca, David O.; Wright, Jonathan H. - 2022
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via...
Persistent link: https://www.econbiz.de/10013193336
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US monetary policy and international bond markets
Gilchrist, Simon; Yue, Vivian Z.; Zakrajšek, Egon - 2018
This paper uses high-frequency data to analyze the effects of US monetary policy--during the conventional and unconventional policy regimes--on foreign government bonds markets in advanced and emerging market economies. The results indicate that an expansionary US monetary policy steepens the...
Persistent link: https://www.econbiz.de/10011927015
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Central Bank Response to the 2007-08 Financial Market Turbulence : Experiences and Lessons Drawn
Gray, Simon - 2009
The paper reviews the policy response of major central banks during the 2007-08 financial market turbulence and suggests that there is scope for convergence among central bank operational frameworks through the adoption of those elements that proved most instrumental in calming markets. These...
Persistent link: https://www.econbiz.de/10012766236