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Time-varying risk shocks and the zero lower bound
Strobel, Johannes; Lee, Gabriel S.; Salyer, Kevin Duff - 2019
This paper shows that increased volatility of Örm-level productivity can push the nominal interest rate to its lower bound with large amplification effects on macroeconomic aggregates. The framework combines a simple canonical Önancial accelerator model, time varying risk shocks, and a zero...
Persistent link: https://www.econbiz.de/10012231163
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Financial market development in Indonesia
Damayanti, Destry; Affandi, Yoga; Sutarto, Indra G.; … - In: Financial market development, monetary policy and …, (pp. 155-161). 2020
Persistent link: https://www.econbiz.de/10012433005
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Financial markets in EMEs : what has changed in the last two decades
Centralʹnyj bank Rossijskoj Federacii - In: Financial market development, monetary policy and …, (pp. 255-266). 2020
Persistent link: https://www.econbiz.de/10012433069
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Financial markets in EMEs : what has changed in the last two decades?
Mu'assasat an-Naqd al-ʿArabī as-Suʿūdī - In: Financial market development, monetary policy and …, (pp. 267-277). 2020
Persistent link: https://www.econbiz.de/10012433070
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Financial market development and monetary policy
Mehrotra, Aaron N.; Schanz, Jochen - In: Financial market development, monetary policy and …, (pp. 1-18). 2020
Persistent link: https://www.econbiz.de/10012432697
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Systemic instability of the interbank credit market : a contribution to a resilient financial system
Gries, Thomas; Mitschke, Alexandra - 2019
availability of liquidity. Following a shock materialization, a sequential flow adjustment process sets in. While the market …
Persistent link: https://www.econbiz.de/10012296413
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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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Liquidity, surprise volume and return premia in the oil market
Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 77 (2019), pp. 93-104
Persistent link: https://www.econbiz.de/10012306351
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What factors shape the liquidity levels of euro area sovereign bonds?
Jurksas, Linas - In: Open economics 1 (2018) 1, pp. 154-166
The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The … values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …
Persistent link: https://www.econbiz.de/10011989217
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Predictability of term spread for economic activity with liquidity premium theory
Hwang, Sunju; Lee, Hahn-shik - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1528-1541
Persistent link: https://www.econbiz.de/10011594363