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The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area

Kim, Chi Hyun; Other, Lars - 2019

We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock … and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock …

Persistent link: https://www.econbiz.de/10011963607

Financial intermediation, resource allocation, and macroeconomic interdependence

Ozhan, G. Kemal - 2016

This paper studies the role of the financial sector in affecting domestic resource allocation and cross-border capital flows. I develop a quantitative, two-country, macroeconomic model in which banks face endogenous and occasionally binding leverage constraints. Banks lend funds to be invested...

Persistent link: https://www.econbiz.de/10011975295

Information from Financial Markets and VAR Measures of Monetary Policy

Favero, Carlo A.; Bagliano, Fabio C. - 1998

Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (U.S.) and open (U.S.-Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical...

Persistent link: https://www.econbiz.de/10014212157

Chapter 21 The financial accelerator in a quantitative business cycle framework

Bernanke, Ben S.; Gertler, Mark; Gilchrist, Simon - In: Handbook of macroeconomics : volume 1, part C, (pp. 1341-1393). 1999

This chapter develops a dynamic general equilibrium model that is intended to help clarify the role of credit market frictions in business fluctuations, from both a qualitative and a quantitative standpoint. The model is a synthesis of the leading approaches in the literature. In particular, the...

Persistent link: https://www.econbiz.de/10014024219

The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy

Skouralis, Alexandros - 2021

model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the …

Persistent link: https://www.econbiz.de/10013310753

Macroeconomic Effectiveness of Non-Standard Monetary Policy and Early Exit. A Model-Based Evaluation

Burlon, Lorenzo - 2016

This paper evaluates the macroeconomic effects of the Eurosystem's expanded Asset Purchase Programme (APP) under alternative strategies as regards (i) the unwinding of asset positions accumulated under the APP and (ii) communication of current and future paths of the policy rate (forward...

Persistent link: https://www.econbiz.de/10012979531

Central Bank Information and the Effects of Monetary Shocks

Hubert, Paul - 2017

Does the effect of monetary policy depend on the macroeconomic information released by the central bank? Because differences between central bank's and private agents' information sets affect private agents' interpretation of policy decisions, this paper aims to investigate whether the...

Persistent link: https://www.econbiz.de/10012948514

New Evidence on Monetary Transmission : Interest Rate versus Inflation Target Shocks

Lukmanova, Elizaveta - 2020

allow for a standard nominal interest rate shock and an inflation target shock. In response to the highly persistent … inflation target shock we largely find evidence of a Neo-Fisher effect: the nominal interest rate co-moves positively with … expectations do not adjust immediately to the target shock …

Persistent link: https://www.econbiz.de/10012848183

Firm heterogeneity and the transmission of central bank credit policy

Kuhmann, Konrad - 2023

I study the role of firm heterogeneity for the transmission of unconventional monetary policy in the form of "credit policy" à la Gertler and Karadi (2011). To this end, I lay out a Two-Agent New-Keynesian model with financially constrained and unconstrained firms and a financial intermediary...

Persistent link: https://www.econbiz.de/10014234463

(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme. …

Persistent link: https://www.econbiz.de/10013494039