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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

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

Non-Standard Monetary Policy, Asset Prices and Macroprudential Policy in a Monetary Union

Burlon, Lorenzo - 2017

This paper evaluates the macroeconomic and financial effects of the Eurosystem's Asset Purchase Programme (APP) and its interaction with a member country's macroprudential policy. We assume that some households in a euro-area (EA) country are subject to a borrowing constraint, and that their...

Persistent link: https://www.econbiz.de/10012963374

More or less aggressive? : robust monetary policy in a New Keynesian model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - 2009

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/10003870845

Financial Market Illiquidity Shocks and Macroeconomic Dynamics : Evidence from the UK

Ellington, Michael - 2018

We examine the link between financial market illiquidity and macroeconomic dynamics by fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from 1988Q1 to 2016Q4. We capture liquidity conditions in the stock market using a battery of illiquidity proxies. This paper...

Persistent link: https://www.econbiz.de/10012926466

US Monetary Policy Spillovers and Spillbacks

Thomas, Lina - 2023

I study spillovers of US monetary policy to the rest of the world, as well as spillbacks to the US economy in an empirical multi-country model over time. Within the multilateral framework, I distinguish the bilateral effect from the network effects that arise from interactions among recipient...

Persistent link: https://www.econbiz.de/10014256990

The Federal Reserve's Portfolio and its Effects on Mortgage Markets

Hancock, Diana - 2012

We provide an empirical analysis of the effects of the Federal Reserve's asset holdings on MBS yields and mortgage … rates. We argue that understanding the particulars of the U.S. mortgage markets, particularly the linkages between the … secondary and primary mortgage markets, is important. We find evidence that the Federal Reserve's portfolio holdings influence …

Persistent link: https://www.econbiz.de/10013106785

Monetary policy spillover to small open economies : is the transmission different under low interest rates?

Cao, Jin; Dinger, Valeriya; Gómez, Tomás; Grice, Zuzana; … - 2021

We explore the impact of low and negative monetary policy rates in core world economies on bank lending in four small open economies - Canada, Chile, the Czech Republic and Norway - using confidential bank-level data. Our results show that the impact on lending in these small open economies...

Persistent link: https://www.econbiz.de/10012664782

Monetary policy spillover to small open economies: is the transmission different under low interest rates?

Cao, Jin; Dinger, Valeriya; Gómez, Tomás; Gric, Zuzana; … - 2021 - Last updated: November 30, 2021

We explore the impact of low and negative monetary policy rates in core world economies on bank lending in four small open economies-Canada, Chile, the Czech Republic and Norway- using confidential bank-level data. Our results show that the impact on lending in these small open economies depends...

Persistent link: https://www.econbiz.de/10012694547

Monetary policy transmission mechanism in a small open economy under fixed exchange rate : an SVAR approach for Morocco

Ouchchikh, Rachid - In: International journal of business and economic sciences … 11 (2018) 1, pp. 42-51

Purpose: The main purpose of this study is to investigate the transmission mechanism of monetary policy in Morocco, taking external constraints on monetary policy into consideration. Design/methodology/approach: This study uses a structural vector autoregression model (SVAR) to examine the...

Persistent link: https://www.econbiz.de/10011824341

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