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Shocks to bank lending, risk-taking, securitization, and their role for US business cycle fluctuations
Peersman, Gert; Wagner, Wolf - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...
Persistent link: https://www.econbiz.de/10010257361
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...
Persistent link: https://www.econbiz.de/10013055428
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...
Persistent link: https://www.econbiz.de/10013058143
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...
Persistent link: https://www.econbiz.de/10013058207
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Bayesian inference for the mixed-frequency VAR model
Viefers, Paul - 2011
In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to...
Persistent link: https://www.econbiz.de/10009579612
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Money, credit, monetary policy, and the business cycle in the euro area : what has changed since the crisis?
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2019
establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis … the financial and sovereign debt crisis. …
Persistent link: https://www.econbiz.de/10012000041
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Money, credit, monetary policy and the business cycle in the euro area : what has changed since the crisis?
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2019
establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis … the financial and sovereign debt crisis. …
Persistent link: https://www.econbiz.de/10011959310
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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 …, the network effects have strengthened over time, amplifying the resulting spillovers and spillbacks. This implies that it … is not the bilateral integration with the US that determines the recently increased magnitude of the spillovers, but …
Persistent link: https://www.econbiz.de/10014256990
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Factor Analysis of Permanent and Transitory Dynamics of the US Economy and the Stock Market
Senyuz, Zeynep - 2010
We analyze dynamics of the permanent and transitory components of the U.S. economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture asymmetries over the phases of economic and stock market trends and cycles using independent Markov-switching processes....
Persistent link: https://www.econbiz.de/10013135851
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Evolving Credit and the U.S. Macroeconomy : 1920-2011
Amir-Ahmadi, Pooyan - 2015
This paper studies evolving macroeconomic consequences of adverse credit spread shocks for the US economy over the past century. The key objective is to characterize and quantify how the credit transmission mechanism has changed in shaping the macroeconomy during major macroeconomic episodes. I...
Persistent link: https://www.econbiz.de/10013022619