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This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction …
Persistent link: https://www.econbiz.de/10010338974
We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area … countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find …
Persistent link: https://www.econbiz.de/10012241107
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth, inflation, and the main refinancing rate, indicators of bank lending...
Persistent link: https://www.econbiz.de/10011621898
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through the relaxation of lending standards for borrowers. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth,...
Persistent link: https://www.econbiz.de/10011822614
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...
Persistent link: https://www.econbiz.de/10011866891
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...
Persistent link: https://www.econbiz.de/10011864635
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