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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10013328355
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Information Effects of Euro Area Monetary Policy : new evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are...
Persistent link: https://www.econbiz.de/10012265893
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The macroeconomic effects of the ECB's evolving QE programme : a model-based analysis
Priftis, Romanos; Vogel, Lukas - In: Open economies review 28 (2017) 5, pp. 823-845
Persistent link: https://www.econbiz.de/10011804498
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Avoiding the fall into the loop : isolating the transmission of bank-to-sovereign distress in the Euro area and its drivers
Böhm, Hannes; Eichler, Stefan - 2019 - This Version: January 2019
We isolate the direct bank-to-sovereign distress channel within the Eurozone’s sovereignbank-loop by exploiting the … global, non-Eurozone related variation in stock prices. We instrument banking sector stock returns in the Eurozone with … exposure-weighted stock market returns from non-Eurozone countries and take further precautions to remove any Eurozone crisis …
Persistent link: https://www.econbiz.de/10012265559
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The impact of US quantitative easing on India's money market
Paul, Moumita; Reddy, Kalluru Siva - In: Research in finance 36 (2020), pp. 45-66
Persistent link: https://www.econbiz.de/10012583801
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Nonbanks, banks, and monetary policy : U.S. loan-level evidence since the 1990s
Elliott, David; Meisenzahl, Ralf R.; Peydró, José-Luis; … - 2020
We show that nonbanks (funds, shadow banks, fintech) reduce the effectiveness of tighter monetary policy on credit supply and the resulting real effects, and increase risk-taking. For identification, we exploit exhaustive US loan-level data since 1990s and Gertler-Karadi monetary policy shocks....
Persistent link: https://www.econbiz.de/10012425891
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The interest rate pass-through in the euro area during the sovereign debt crisis
Borstel, Julia von; Eickmeier, Sandra; Krippner, Leo - In: Journal of international money and finance 68 (2016), pp. 386-402
Persistent link: https://www.econbiz.de/10011711866
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US monetary policy and spillovers to select EMEs : an episodic analysis
Sahoo, Satyananda; Shankar, Shiv; Anthony, Jessica M. - In: Research in finance 36 (2020), pp. 67-97
Persistent link: https://www.econbiz.de/10012583839
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Systemic instability of the interbank credit market : a contribution to a resilient financial system
Gries, Thomas; Mitschke, Alexandra - 2019
This theoretical model analyzes the impact of interbank credit market dynamics on the resilience of the financial system. Based on a stochastic model of interbank market credit flows, lending in the interbank market is restricted by the availability of liquidity. Following a shock...
Persistent link: https://www.econbiz.de/10012296413
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Rethinking the monetary transmission mechanism
Jordan, Jerry Lee - In: The Cato journal : an interdisciplinary journal of … 37 (2017) 2, pp. 361-384
Persistent link: https://www.econbiz.de/10011735202