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Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...

Persistent link: https://www.econbiz.de/10013040410

Policy Analysis and Forecasting in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission...

Persistent link: https://www.econbiz.de/10013060545

Financial systems and the role of banks in monetary policy transmission in the euro area

Ehrmann, Michael; Gambacorta, Leonardo; Martínez … - 2001

available database, BankScope, obscures the heterogeneity across banks. Indeed, for several types of questions BankScope data …Dieses Papier bietet einen umfassenden Vergleich zwischen den Strukturen der Banksysteme und Finanzmärkte im Eurogebiet … ergibt, dass die Geldpolitik das Bankkreditangebot beeinflußt, wobei die Stärke dieses Effekts über Banken in Abhängigkeit …

Persistent link: https://www.econbiz.de/10011419463

State of Broker-Dealer Leverage and the Transmission of Monetary Policy

Ahmed, M. Iqbal; Cassou, Steven P.; Pandey Kishan, Ruby - 2023

This paper investigates how responses of US macroeconomic activities to monetary policy shocks depend on the state of broker-dealer leverage. The analysis makes use of leverage data to create an indicator series that distinguishes above and below trend leverage states for the economy which is...

Persistent link: https://www.econbiz.de/10014258552

US Monetary Policy Spillovers

Bhattarai, Saroj - 2017

We study international spillover effects of US monetary policy. We use monthly panel data from fifteen major emerging market economies (EMEs), in a period where the countries have a flexible exchange rate regime and are integrated into global financial markets. We show that US monetary policy...

Persistent link: https://www.econbiz.de/10012950741

Monetary policy transmission : the case of Lithuania

Stakenas, Julius; Stasiukynaite, Rasa - In: Baltic journal of economics 17 (2017) 1, pp. 1-24

We study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. We employ a structural vector autoregressive model incorporating variables from both the euro area and Lithuania. The model exhibits a block exogenous structure to account for the fact that...

Persistent link: https://www.econbiz.de/10011890930

Financial Frictions in Data : Evidence and Impact

Taheri Sanjani, Marzie - 2015

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Auto regression and New Keynesian models demonstrating how financial shocks can...

Persistent link: https://www.econbiz.de/10013028667

Bank Lending and Monetary Transmission in the Euro Area

De Santis, Roberto A. - 2013

savings banks with smaller size in Italy. Third, heterogeneity across groups of banks belonging to the same category in any …

Persistent link: https://www.econbiz.de/10013078975

Credit shocks and macroeconomic fluctuations in emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10009754529

A model for international spillovers to emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2019

This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the specificities of both economies (e.g. primary commodity,...

Persistent link: https://www.econbiz.de/10012029113