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The impact of financial shocks on the forecast distribution of output and inflation

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2023

Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a...

Persistent link: https://www.econbiz.de/10014232607

The effects of the ECB's pandemic-related monetary policy measures

Nelimarkka, Jaakko; Laine, Olli-Matti - 2021

We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using structural vector autoregressions. In the...

Persistent link: https://www.econbiz.de/10012622376

Did monetary policy kill the Phillips curve? : some simple arithmetics

Bergholt, Drago; Furlanetto, Francesco; Vaccaro-Grange, … - 2023 - First draft: November 2019

An apparent disconnect has taken place between inflation and economic activity in the US over the last 25 years, with price inflation remaining remarkably stable in spite of large fluctuations in the output gap and other measures of economic slack. This observation has led some to believe that...

Persistent link: https://www.econbiz.de/10014227888

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

Persistent link: https://www.econbiz.de/10014314068

Identifying money and inflation expectation shocks on real oil prices

Benk, Szilárd; Gillman, Max - 2023

role played by inflation expectations and the money supply shocks during major oil shock episodes. These shocks partially … replace roles previously attributed to the precautionary oil demand shock and the aggregate demand shock during the three … major oil shock periods of the 1970s-1980s, post-2008 and during the 2020-2021 pandemic. The results show that both real oil …

Persistent link: https://www.econbiz.de/10014295388

Risk Amplification Macro Model (RAMM)

Tuzcuoglu, Kerem - 2023 - Last updated: January 26, 2023

Persistent link: https://www.econbiz.de/10013499423

The Investment Channel of Monetary Policy : evidence from Norway

Cao, Jin; Hegna, Torje; Holm, Martin Blomhoff; … - 2023

We investigate the transmission of monetary policy to investment using Norwegian administrative data. We have two main findings. First, financially constrained firms are more responsive to monetary policy, but the effect is modest; suggesting that firm heterogeneity plays a minor role in...

Persistent link: https://www.econbiz.de/10014314082

Assessing targeted longer-term refinancing operations : identification through search intensity

Laine, Olli-Matti; Nelimarkka, Jaakko - 2023

We evaluate the effects of targeted credit injections of the central bank in the euro area. The aggregate policy impacts of credit easing on financial markets, bank lending and key macroeconomic variables are measured with a novel identification approach based on high-frequency web search data....

Persistent link: https://www.econbiz.de/10014364058

Monetary policy transmission below zero

Fungáčová, Zuzana; Kerola, Eeva; Laine, Olli-Matti - 2023

This study considers the pass-through of different ECB monetary policy measures to bank corporate lending rates of different maturities during 2010-2020. We find changes in the pass-through as policy rates first dip below zero in 2014 and again when negative interest rates become more persistent...

Persistent link: https://www.econbiz.de/10014308203

The scarring effects of deep contractions

Aikman, David; Drehmann, Mathias; Juselius, Mikael; … - 2022

We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970 to the present, we show that these effects are nonlinear and asymmetric: there is no such persistence...

Persistent link: https://www.econbiz.de/10013382160

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