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Financial factors in economic fluctuations

Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2010

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10003973320

Macroeconomic factors and micro-level bank risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010

address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks’ responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …

Persistent link: https://www.econbiz.de/10008697445

A macroeconomic investigation of funding liquidity and monetary policy shocks in the United States

Chiu, Ching Wai Jeremy - In: Applied economics letters 21 (2014) 7/9, pp. 517-521

Persistent link: https://www.econbiz.de/10010414213

US monetary policy in a globalized world

Crespo Cuaresma, Jesús; Doppelhofer, Gernot; … - 2015

Persistent link: https://www.econbiz.de/10011421835

Great recession, slow recovery and muted fiscal policies in the US

Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016

This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...

Persistent link: https://www.econbiz.de/10011434680

US monetary policy in a globalized world : presented at CESifo Area Conference on Macro, Money & International Finance, February 2016

Crespo Cuaresma, Jesús; Doppelhofer, Gernot; … - 2016

We analyze the interaction between monetary policy in the US and the global economy, using a global vector autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock leads to a persistent fall in international...

Persistent link: https://www.econbiz.de/10011444866

Liquidity and asset prices : how strong are the linkages?

Dreger, Christian; Wolters, Jürgen - 2009

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...

Persistent link: https://www.econbiz.de/10011389101

Less bang for the buck? : assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment

Herwartz, Helmut; Rohloff, Hannes - 2018

We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU...

Persistent link: https://www.econbiz.de/10011931106

Transmission of United States monetary policy shocks to oil exporting countries : a vector error correction approach to Mundellian trilemma

Burakov, Dmitry - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 4, pp. 14-22

Persistent link: https://www.econbiz.de/10011749850

Adjustment is much slower than you think

Caballero, Ricardo J.; Engel, Eduardo - 2003

In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating...

Persistent link: https://www.econbiz.de/10011609531