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Interbank market frictions and unconventional policy in a currency union

Swarbrick, Jonathan; Blattner, Tobias - 2017

In this paper we show how interbank market frictions can play an important role in propagating and enhancing the effects of shocks in a currency union, and discuss the efficacy of two unconventional policy measures; multi-period central bank refinance operations and large scale asset purchases....

Persistent link: https://www.econbiz.de/10011653062

Superstar central bankers : conference paper

Neuenkirch, Matthias; Tillmann, Peter - 2014

The personalities of central bankers moved center stage during the recent financial crisis. Some central bankers even gained "superstar" status. In this paper, we evaluate the pivotal role of superstar central bankers by assessing the difference an outstanding governor makes to economic...

Persistent link: https://www.econbiz.de/10010487271

Optimal degrees of transparency in monetary policymaking

Jensen, Henrik - 2001

Den meisten Akademikern und politischen Entscheidungsträgern zufolge ist Transparenz in der Geldpolitik wünschenswert … der Zentralbank zu schließen, wodurch die laufende Inflation stärker auf stabilitätspolitische Maßnahmen reagiert. Dies … führt dazu, dass die Zentralbank sich eher auf die Inflation als auf die Stabilisierung der Produktionslücke konzentriert …

Persistent link: https://www.econbiz.de/10011419293

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10009640346

Fiscal variables and bond spreads

Nickel, Christiane; Rother, Philipp; Rülke, Jan C. - 2009

We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic...

Persistent link: https://www.econbiz.de/10009640486

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10009640487

Systemic risk diagnostics

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...

Persistent link: https://www.econbiz.de/10009640766

Determinants of trust in the European Central Bank

Fischer, Justina A. V. (contributor); … - 2008

In this paper we study the determinants of citizens' trust in the European Central Bank during the start-up phase from 1999-2004. Using a country panel based on the Eurobarometer survey, we find that higher inflation rates reduce trust. Thus people appear to evaluate the performance of the ECB...

Persistent link: https://www.econbiz.de/10003666281

What is behind the weakness in global investment?

Leboeuf, Maxime; Fay, Bob - 2016

The recovery in private business investment globally remains extremely weak more than seven years after the financial crisis. This paper contributes to the ongoing policy debate on the factors behind this weakness by analyzing the role of growth prospects and uncertainty in explaining...

Persistent link: https://www.econbiz.de/10011422052

The determinants of consumers' inflation expectations : evidence from the US and Canada

Bellemare, Charles; Kpekou Tossou, Rolande C. B.; … - 2020 - Last updated: November 30, 2020

We propose and estimate a dynamic and individual model of expectations formation that links individual consumers’ inflation expectations to their own lagged forecasts as well as proxies for the rational expectation forecasts. The model builds on the existing rational inattention literature and...

Persistent link: https://www.econbiz.de/10012322148