Similar Search Results

Bank capital and the macroeconomy: Policy considerations

Kiley, Michael T.; Sim, Jae W. - In: Journal of Economic Dynamics and Control 43 (2014) C, pp. 175-198

We develop a macroeconomic model in which the balance sheet condition of financial institutions plays an important role in the determination of asset prices and economic activity. The financial intermediaries in our model are required to make investment commitments before a complete resolution...

Persistent link: https://www.econbiz.de/10011051892

The anatomy of standard DSGE models with financial frictions

Brzoza-Brzezina, Michał; Kolasa, Marcin; Makarski, … - In: Journal of Economic Dynamics and Control 37 (2013) 1, pp. 32-51

We compare two standard extensions to the New Keynesian framework that feature financial frictions. The first model, originating from Kiyotaki and Moore (1997), is based on collateral constraints. The second, developed by Carlstrom and Fuerst (1997) and Bernanke et al. (1999), accentuates the...

Persistent link: https://www.econbiz.de/10011051911

Monetary policy, bank leverage, and financial stability

Valencia, Fabián - In: Journal of Economic Dynamics and Control 47 (2014) C, pp. 20-38

This paper shows that with limited liability banks lever up excessively to finance new loans. Lower monetary policy rates can worsen or reduce these incentives depending on the size of the shock when equity financing is ruled out. When this constrained is relaxed but the bank faces costly...

Persistent link: https://www.econbiz.de/10011051918

Verifying the state of financing constraints: Evidence from U.S. business credit contracts

Meisenzahl, Ralf R. - In: Journal of Economic Dynamics and Control 43 (2014) C, pp. 58-77

Many policymakers are concerned that tight financing constraints for small businesses are stalling the recovery from the Great Recession. This paper empirically assesses two agency problems that induce such financing constraints—one resulting in a “firm balance sheet channel” and one...

Persistent link: https://www.econbiz.de/10011051929

Quantitative easing and the loan to collateral value ratio

Damjanovic, Tatiana; Girdėnas, Šarūnas - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 146-164

We study optimal monetary policy in a New Keynesian model at the zero bound interest rate where households use cash alongside house equity borrowing to conduct transactions. The amount of borrowing is limited by a collateral constraint. When either the loan to value ratio declines or house...

Persistent link: https://www.econbiz.de/10011051939

Testing conditional asymmetry: A residual-based approach

Lambert, Philippe; Laurent, Sébastien; Veredas, David - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1229-1247

We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall into the class of skewed distributions of Fernández and Steel (1998). In this class, asymmetry is measured by the ratio between the probabilities of being larger and smaller than the mode....

Persistent link: https://www.econbiz.de/10011051952

E Pluribus Unum: Macroeconomic modelling for multi-agent economies

Assenza, Tiziana; Delli Gatti, Domenico - In: Journal of Economic Dynamics and Control 37 (2013) 8, pp. 1659-1682

From the macroeconomist's viewpoint, agent based modelling has an obvious drawback: it makes impossible to think in aggregate terms. The modeller, in fact, can reconstruct aggregate variables only “from the bottom up” by summing the levels of a myriad of individual variables. We propose a...

Persistent link: https://www.econbiz.de/10011051956

Long-run risk and hidden growth persistence

Pakoš, Michal - In: Journal of Economic Dynamics and Control 37 (2013) 9, pp. 1911-1928

An extensive literature has analyzed the implications of hidden shifts in the dividend growth rate. However, corresponding research on learning about growth persistence is completely lacking. Hidden persistence is a novel way to introduce long-run risk into standard business-cycle models of...

Persistent link: https://www.econbiz.de/10011051962

Inflation, human capital and Tobin's q

Basu, Parantap; Gillman, Max; Pearlman, Joseph - In: Journal of Economic Dynamics and Control 36 (2012) 7, pp. 1057-1074

A strong US postwar low frequency negative correlation exists between inflation and Tobin's q. To explain this, a … capital based endogenous growth. Higher money supply growth causes higher inflation, lower output growth, and a lower q in the … long run. The baseline model simulates well correlations of the US inflation rate and Tobin's q at each frequency of high …

Persistent link: https://www.econbiz.de/10011051980

The yield curve and the macro-economy across time and frequencies

Aguiar-Conraria, Luís; Martins, Manuel M.F.; Soares, … - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1950-1970

measure real activity, inflation and monetary policy. The tools of wavelet analysis, the set of variables and the length of …

Persistent link: https://www.econbiz.de/10011051992