estimate a non-linear DSGE model with a heterogeneous banking sector and an occasionally binding borrowing constraint. The …

This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction …

shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …

enhancing than asset purchases following a financial shock located in the banking sector. Equity injections remove the frictions … the financial shock matters crucially for the efficacy of measures. …

. Our results show a leading role for both the duration risk and the credit channels, a role for the default risk channel …