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The optimal conduct of central bank asset purchases
Darracq Pariès, Matthieu; Kühl, Michael - 2017
We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the … bonds, and households face transaction costs when trading government bonds. Such frictions in the banking sector induce …
Persistent link: https://www.econbiz.de/10011685100
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Bank capital structure and the credit channel of central bank asset purchases
Darracq Pariès, Matthieu; Hałaj, Grzegorz; Kok, … - 2016
programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross …-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi … (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation …
Persistent link: https://www.econbiz.de/10011605961
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The optimal conduct of central bank asset purchases
Darracq Pariès, Matthieu; Kühl, Michael - 2016
We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the … bonds, and households face transaction costs when trading government bonds. Such frictions in the banking sector induce …
Persistent link: https://www.econbiz.de/10011606018
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Negative interest rates, excess liquidity and retail deposits : banks' reaction to unconventional monetary policy in the euro area
Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2019
Negative monetary policy rates are associated with a particular friction because the remuneration of retail deposits tends to be floored at zero. We investigate whether this friction affects banks’ reactions when the policy rate is lowered to negative levels, compared to a standard rate cut in...
Persistent link: https://www.econbiz.de/10012009191
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Quantitative Easing and the Loan to Collateral Value Ratio
Damjanovic, Tatiana; Girdenas, Sarunas - Centre for Dynamic Macroeconomic Analysis, University … - 2014
We study monetary optimal 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/10011185157
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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
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Bank Capital Structure and the Credit Channel of Central Bank Asset Purchases
Darracq Paries, Matthieu - 2016
programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross …-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi … (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation …
Persistent link: https://www.econbiz.de/10012988604
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Inside money, investment, and unconventional monetary policy
Altermatt, Lukas - 2019 - Revised version
I develop a model that explicitly takes the role of financial institutions in the transmission mechanism of monetary policy into account. Within this model, I find various equilibrium environments, with one of them resembling a standard environment for monetary policy and another one akin to a...
Persistent link: https://www.econbiz.de/10012052588
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Inside money, investment, and unconventional monetary policy
Altermatt, Lukas - 2018 - Revised version
I develop a new monetarist model to analyze why an economy can fall into a liquidity trap, and what the effects of unconventional monetary policy measures such as helicopter money and negative interest rates are under these circumstances. I find that liquidity traps can be caused by a decrease...
Persistent link: https://www.econbiz.de/10011790397
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Banks' search for yield in the low interest rate environment : a tale of regulatory adaptation banks' search for yield in the low interest rate environment : a tale of regulatory a...
Wang, J. Christina - 2017 - This version: June, 2017
and supervisory reforms enacted to make the nation's banking system safer. Those banking institutions deemed to pose a …
Persistent link: https://www.econbiz.de/10011664168