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Drivers of large recessions and monetary policy responses

Melina, Giovanni; Villa, Stefania - 2023

Shocks to capital utilization are introduced in a structural macroeconomic closed-economy model with financial frictions to capture disruptions on the ability of the capital stock to provide capital services used in production. Estimates for the Euro Area and the United States show that these...

Persistent link: https://www.econbiz.de/10014320690

Leaning against the wind and crisis risk

Schularick, Moritz; Ter Steege, Lucas; Ward, Felix - 2020

Can central banks defuse rising stability risks in financial booms by leaning against the wind with higher interest rates? This paper studies the state-dependent effects of monetary policy on financial stability. Based on the near-universe of advanced economy financial cycles since the 19th...

Persistent link: https://www.econbiz.de/10012260596

Macroprudential Policies in Response to External Financial Shocks

de Carvalho Filho, Irineu; Ng, DingXuan - 2023

This paper examines how countries use Macroprudential Policies (MaPs) to respond to external shocks such as US monetary policy surprises or fluctuations in capital flows. Constructing a model of a small open economy with financial frictions and a MaP authority that adjusts loan to value (LTV)...

Persistent link: https://www.econbiz.de/10014257930

Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions

Mandler, Martin - 2010

This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low inflation regime with both regimes being strongly persistent....

Persistent link: https://www.econbiz.de/10003950614

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

Persistent link: https://www.econbiz.de/10011389786

Measuring the effects of monetary policy in the euro area : the role of anticipated policy

Gottschalk, Jan; Höppner, Florian - 2001 - This Version: August 2001

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane yielding the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary...

Persistent link: https://www.econbiz.de/10011538850

Measuring the effects of monetary policy in the euro area : the role of anticipated policy

Gottschalk, Jan; Höppner, Florian - 2001

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...

Persistent link: https://www.econbiz.de/10011476356

News Shocks and the Effects of Monetary Policy

Zhang, Ren - 2019

-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …

Persistent link: https://www.econbiz.de/10012891083

Temporary Price Changes and the Real Effects of Monetary Policy

Kehoe, Patrick J. - 2008

In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...

Persistent link: https://www.econbiz.de/10012769978

Monetary Policy Uncertainty and Economic Fluctuations at the Zero Lower Bound

Doehr, Rachel; Martínez-García, Enrique - 2022

particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest …

Persistent link: https://www.econbiz.de/10013313628