In this paper I study the effects of monetary policy on economic activity and asset prices in Sweden, separately identifying the effects of a conventional policy change from effects of new information about economic fundamentals. Recent research has shown that high-frequency changes in policy...

This paper examines China's influence on price shock transmission in the world oil markets. In this paper, its impact is studied by testing for cointegration, mapping causality using a technique called directed acyclic graphs (DAG), and integrating the results of DAG into an error correction...

This paper investigates how financial conditions and macroeconomic uncertainty jointly affect macroeconomic tail risks. We first document that tight financial conditions decrease all conditional quantiles of future output growth in the near term, while high macroeconomic uncertainty stretches...

This paper identifies supply and demand shocks that are specific to the oil-market, and separates them from economy-wide shocks that affect the demand for many asset classes, including oil. The shocks are identified by the sign and magnitude of the correlation between daily oil price percent...

This paper investigates the impact of output and credit market shocks on R&D spending in advanced economies and builds on the commonly accepted view that credit constraints lead to procyclical R&D spending. A theoretical model is developed where output and credit shocks are treated separately,...

Motivated by the events of the Great Recession, we estimate a time-varying structural VAR model with labor market variables to analyze the effects of a financial shock, focusing on the US. Our results point out that a tightening of financial conditions is highly detrimental for the labor market....

In this paper we present an overview of theoretical and empirical contributions exploring the inter-linkages between financial factors and real economic activity. We first revisit the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models, and...

The paper investigates the extent to which Italian corporate default correlation is due to the common dependence on macroeconomic (systematic) risk factors or, else, to other possibly unobservable factors arising from business inter-connections. Data on corporate default frequencies are taken...

Mainstream macroeconomic theory predicts a rapid response of asset prices to monetary policy shocks, which conventional empirical models are unable to reproduce. We argue that this is due to a deficient information set: Forward-looking economic agents observe vastly more information than the...