This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are re-...

The recent international economic and financial crisis has led to a sharp tightening of lending activity. For the banking system the shock was so strong that its ability to lend to the real economy played and still plays a major role in exacerbating the current crisis, which in turn undermines...

This paper uses the multivariate unobserved components model with phase shifts to analyse the interaction of interest rates, output, asset prices and credit in the US. We find close linkages amongst cyclical fluctuations in the variables.

A szerző a likviditás szerepét vizsgálja a pénzfunkció-transzformáció megkönnyítésében: a pénz felhalmozási funkciójának transzformálhatóságát a pénz fizetési funkciójára, illetve megfordítva. Ez a transzformáció a bizalom és a pénzügyi innováció függvénye,...

The relationship between capital flows and domestic credit emerges from different channels which are usually not directly identified. In this paper, a principal-agent approach is proposed in order to disentangle the channels through which shocks on capital debt flows can affect credit-related...

This paper considers the relationship between domestic credit and foreign capital flows in the GIIPS countries before and after the outbreak of the global financial crisis. Cointegration analyses on the pre-crisis sample reveal that domestic credit and net foreign liabilities are cointegrated...

We estimate the effects of exogenous innovations to the balance sheet of the ECB since the start of the financial crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial markets, and has a positive impact on economic activity...

In a world with imperfect competition, market externalities or asymmetric information, the impact of money and monetary policy on the real sector depends on the way money is created. Two conflicting views of money supply can be distinguished in the literature: the endogeneity view and the...

This paper estimates the contribution of financial shocks to fluctuations in the real economy by augmenting the standard macroeconomic vector autoregression (VAR) with five financial variables (real stock prices, real house prices, term spread, loans-to-GDP ratio and loans-todeposits ratio)....

The monetary model of exchange rate determination holds that cheap monetary policy of the home country leads to depreciation of the national currency. The study attempts to enquire if the rupee/dollar exchange rate variation as observed in the period of independent float regime in Sri Lanka had...