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Monetary policy, inflation expectations and the price puzzle
Castelnuovo, Efrem; Surico, Paolo - Suomen Pankki - 2009
This paper re-examines the VAR evidence on the price puzzle and proposes a new theoretical interpretation. Using actual data and two identification strategies based on zero restrictions and model-consistent sign restrictions, we find that the positive response of prices to a monetary policy...
Persistent link: https://www.econbiz.de/10008509439
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The Price Puzzle: Fact or Artefact?
Castelnuovo, Efrem; Surico, Paolo - EconWPA - 2005
the high persistence of expected inflation under indeterminacy is found to account for the price puzzle observed in actual …
Persistent link: https://www.econbiz.de/10005561209
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Monetary Policy Switch, the Taylor Curve, and the Great Moderation
Castelnuovo, Efrem - Society for Computational Economics - SCE - 2006
curve". The computation is performed both under equilibrium uniqueness and under indeterminacy. While under uniqueness the … indeterminacy a new result arises. We find that the tighter is the monetary policy, the higher is the inflation/output gap … volatility. This is due to impact of systematic monetary policy on inflation and output persistence. In fact, under indeterminacy …
Persistent link: https://www.econbiz.de/10005706215
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Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. 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/10010352427
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Macroeconomic effects of unconventional monetary policy in the euro area
Peersman, Gert - 2011
I find that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet or the monetary base. The transmission mechanism turns out to be different compared to traditional interest rate innovations: (i) whilst the effects on economic activity and...
Persistent link: https://www.econbiz.de/10011605443
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Macroeconomic effects of unconventional monetary policy in the Euro area
Peersman, Gert - 2011
I find that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet or the monetary base, that is so-called quantitative easing. The transmission mechanism turns out to be different compared to traditional interest rate innovations: (i) whilst...
Persistent link: https://www.econbiz.de/10010286041
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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; Wagner, Wolf - C.E.P.R. Discussion Papers - 2015
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/10011262887
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Bank Lending Shocks and the Euro Area Business Cycle
PEERSMAN, G. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2011
I estimate the impact of different types of bank lending shocks on the euro area economy. I first show that the dynamic effects depend on the type of shock. Whereas surges in lending caused by shocks at the supply side of the banking market have a significant positive impact on economic activity...
Persistent link: https://www.econbiz.de/10009653082
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Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area
Peersman, Gert - CESifo - 2011
I find that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet or the monetary base, that is so-called quantitative easing. The transmission mechanism turns out to be different compared to traditional interest rate innovations: (i) whilst...
Persistent link: https://www.econbiz.de/10009320781