We analyze the properties of the natural rate of interest in an economy where nominal debt contracts generate a spread between loan rates and the policy interest rate. In our model, monetary policy has real effects in the flexible-price equilibrium, because it affects the credit spread. Relying...

This paper investigates the impact of international shocks - interest rate, commodity price and industrial production shocks - on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In contrast to...

Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...

Im Zuge der Gründung der Europäischen Währungsunion übernahm die Europäische Zentralbank im Januar 1999 die Verantwortung für eine einheitliche Geldpolitik im Euroraum. Während damit Nominalzinsunterschiede innerhalb der EWU praktisch der Vergangenheit angehören, existieren weiterhin...

In letzter Zeit sind die Inflationsraten weltweit kräftig gestiegen. Als Reaktion erhöhte die Europäische Zentralbank (EZB) Anfang Juli ihren Leitzins. Jörg Krämer, Commerzbank, sieht diese Zinserhöhung als notwendig an, da die entscheidenden, langfristigen Inflationserwartungen im Laufe...

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from...

This paper investigates the effects of monetary policy on firms' investment behaviour. The analysis relies on a comprehensive database of Belgian firms covering all sectors of economic activity and firms of all sizes. We proceed in two steps. First, we estimate a reduced-form investment equation...

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from...