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Asymmetric macro-financial spillovers
Bluwstein, Kristina - 2017
The 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less...
Persistent link: https://www.econbiz.de/10011617592
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Business cycle implications of mortgage spreads
Walentin, Karl - 2014 - September 2013 (Updated March 2014)
mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real …
Persistent link: https://www.econbiz.de/10010202977
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Monetary policy in a small open economy model : a DSGE-VAR approach for Switzerland
Bäurle, Gregor; Menz, Tobias - 2008
We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...
Persistent link: https://www.econbiz.de/10003882303
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More or Less Aggressive? Robust Monetary Policy in a New Keynesian Model with Financial Distress
Gerke, Rafael - 2016
This paper investigates the optimal monetary policy response to a shock to collateral when policymakers act under discretion and face model uncertainty. The analysis is based on a New Keynesian model where banks supply loans to transaction constrained consumers. Our results confirm the...
Persistent link: https://www.econbiz.de/10012991026
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The role of refinancing in the interest rate pass-through to fixed-rate mortgage contracts
Hensch, Jonas Ladegaard - 2021
In this paper, I study how mortgage refinancing influences the interest rate pass-through to household budgets via … fixed-rate mortgage contracts in Denmark. I develop a model based on a state-dependent process of household actions that … response via a cointegrated VAR model in the period 2008-2020, and complement the results with detailed mortgage data at …
Persistent link: https://www.econbiz.de/10012510137
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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR
Arratibel, Olga; Michaelis, Henrike - 2013
effect. (2) Consumer prices appear more responsive to an interest rate shock during the first half of our sample, when Poland …
Persistent link: https://www.econbiz.de/10010439334
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Monetary and Macroprudential Policies in an Estimated Model with Financial Intermediation
Gelain, Paolo - 2014
We estimate the Smets and Wouters (2007) model augmented with the Gertler and Karadi (2011) financial intermediation sector on US data by using real and financial observables. Given the framework of the estimated model, we address the question whether and how standard monetary policy should...
Persistent link: https://www.econbiz.de/10013054256
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Monetary and macroprudential policies in an estimated model with financial intermediation
Gelain, Paolo; Ilbas, Pelin - 2014
We estimate the Smets and Wouters (2007) model augmented with the Gertler and Karadi (2011) financial intermediation sector on US data by using real and financial observables. Given the framework of the estimated model, we address the question whether and how standard monetary policy should...
Persistent link: https://www.econbiz.de/10011589082
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Pushing on a string : state-owned enterprises and monetary policy transmission in China
Chen, Hongyi; Li, Ran; Tillmann, Peter - 2018 - This version: February 06, 2018
This paper studies whether monetary transmission in China is asymmetric. While researchers found an asymmetric transmission in the U.S. and other economies, China offers a specific rationale for asymmetries: the presence of state-owned enterprises (SOEs) enjoying preferential access to...
Persistent link: https://www.econbiz.de/10011803747
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Financial shocks and inflation dynamics
Abbate, Angela; Eickmeier, Sandra; Prieto, Esteban - 2016
We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a vector autoregressive model to US data and identify financial shocks through sign restrictions. Our main finding is that...
Persistent link: https://www.econbiz.de/10011546785