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Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations

PEERSMAN, G.; WAGNER, W. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2014

type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … lending and risktaking shocks, in contrast, have only a temporary effect on real GDP and tend to lead to a (moderate) rise in …

Persistent link: https://www.econbiz.de/10011083166

Robust Monetary Policy in a Model with Financial Distress

GERKE, R.; HAMMERMANN, F.; LEWIS, V. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2011

We characterise optimal discretionary monetary policy responses to cost-push shocks and to financial distress in the presence of model uncertainty. Under robust control, the central bank reacts more aggressively to both types of shocks, and less to the lagged policy rate, than if the true model...

Persistent link: https://www.econbiz.de/10011083180

Bank Competition and Outreach: Evidence from Turkey.

AYSAN, A. FARUK; DISLI, M.; SCHOORS, K. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2013

In light of the importance of banking sector outreach and given concerns that competition may adversely affect it, this study explores the empirical linkage between banking structure and outreach in Turkey for the period 1988–2010. Bank-, province-, and bank-province-level estimation results...

Persistent link: https://www.econbiz.de/10011083198

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...

Persistent link: https://www.econbiz.de/10011083240

Macro-Financial Linkages: evidence from country-specific VARs

Guarda, Paolo; Jeanfils, Philippe - C.E.P.R. Discussion Papers - 2012

spread, loans-to-GDP ratio and loans-to-deposits ratio). This VAR is estimated separately for 19 industrialised countries … over 1980Q1-2010Q4 using three alternative measures of economic activity: GDP, private consumption or total investment … fluctuations (33% of GDP variance at the 3-year horizon on average across countries) exceeding the contribution from monetary …

Persistent link: https://www.econbiz.de/10011083242

Finance at Center Stage: Some Lessons of the Euro Crisis

Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2013

Because of recent economic crises, financial fragility has regained prominence in both the theory and practice of macroeconomic policy. Consistent with macroeconomic paradigms prevalent at the time, the original architecture of the euro zone assumed that safeguards against inflation and...

Persistent link: https://www.econbiz.de/10011083272

Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

Kelly, Bryan; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...

Persistent link: https://www.econbiz.de/10011083289

Bank ratings: What determines their quality?

Hau, Harald; Langfield, Sam; Marqués Ibañez, David - C.E.P.R. Discussion Papers - 2012

This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...

Persistent link: https://www.econbiz.de/10011083326

Never Say Never: Commentary on a Policymaker’s Reflections

Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2014

Stanley Fischer is a rarity among economic policymakers. He came to the policy world as an internationally recognized intellectual leader on macroeconomic theory and policy. He confronted numerous emerging market crises, including the globally systemic Asian crisis, as the IMF’s First Deputy...

Persistent link: https://www.econbiz.de/10011083383

Some Lessons from Six Years of Practical Inflation Targeting

Svensson, Lars E O - C.E.P.R. Discussion Papers - 2013

My lessons from six years of practical policy-making include (1) being clear about and not deviating from the mandate of flexible inflation targeting (price stability and the highest sustainable employment), including keeping average inflation over a longer period on target; (2) not adding...

Persistent link: https://www.econbiz.de/10011083489