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Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous … change in financial intermediaries' preference for "high" liquid assets. The identified shock has sizeable and state …

Persistent link: https://www.econbiz.de/10012483779

Money and Bonds : An Equivalence Theorem

Kocherlakota, Narayana - 2008

This paper considers four models in which immortal agents face idiosyncratic shocks and trade only a single risk-free asset over time. The four models specify this single asset to be private bonds, public bonds, public money, or private money respectively. I prove that, given an equilibrium in...

Persistent link: https://www.econbiz.de/10012770986

What Do Treasury Bond Risks Say about Supply and Demand Shocks?

Pflueger, Carolin E. - 2022

This paper analyzes how the risks of nominal and inflation-indexed Treasury bonds vary with the presence of supply and demand shocks through the lens of a small-scale New Keynesian model with habit formation preferences, where investors become more risk averse following adverse economic shocks....

Persistent link: https://www.econbiz.de/10013403693

Uncertainty and effectiveness of monetary policy : a bayesian Markov switching-VAR analysis

Nain, Zulquar; Kamaiah, Bandi - In: Journal of central banking theory and practice 9 (2020), pp. 237-265

There is a growing body of literature examining the effectiveness of the monetary policy on the macroeconomy in different contexts for developed and developing countries. However, lately, especially after the GFC, the focus of research shifted to examine the role of uncertainty in economic...

Persistent link: https://www.econbiz.de/10012306714

Brexit Results : Macroeconomic Risks

Goryunov, Eugene - 2016

The United Kingdom's potential exit from the EU poses a number of macroeconomic risks. Considering the overall growth of uncertainty, the recession in the UK cannot be ruled out. The decline in capital inﬂows to the UK economy can be predicted, which could pose a threat to the stability of the...

Persistent link: https://www.econbiz.de/10012986099

Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

Persistent link: https://www.econbiz.de/10012793438

Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - In: Journal of international financial markets, … 77 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013357095

Risk Aversion in the Eurozone

Benchimol, Jonathan - 2019

We propose a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where a risk aversion shock enters a … risk aversion shock in output, inflation, interest rate, and real money balances in the Eurozone. Our analysis suggests …

Persistent link: https://www.econbiz.de/10012905025

Die Auswirkungen der quantitativen Basel III-Liquiditätskennzahlen auf Banken : eine simulationsbasierte Analyse unter Berücksichtigung von Interaktionen zwischen dem Kredit-, Mark...

Ruwisch, André - 2018

Persistent link: https://www.econbiz.de/10013432916

Models for stress testing Czech Banks' liquidity risk

Komárková, Zlatuše; Geršl, Adam; Komárek, Luboš - 2011

Persistent link: https://www.econbiz.de/10009509865

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