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Monetary policy, sectoral comovement and the credit channel

Di Pace, Federico; Görtz, Christoph - 2021

Persistent link: https://www.econbiz.de/10012546900

Monetary policy, asset prices and macroeconomic conditions : a panel-VAR study

Assenmacher-Wesche, Katrin; Gerlach, Stefan - 2008 - Preliminary Draft

significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit …

Persistent link: https://www.econbiz.de/10011599183

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

Towards technology-news-driven business cycles

Di Casola, Paola; Sichlimiris, Spyridon - 2018

We identify an inflationary technology news shock as the leading source of business cycle variations for the postwar U ….S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption … technological innovations reduce inflation. The technology news shock became the predominant source of the business cycle from the …

Persistent link: https://www.econbiz.de/10011930326

The propagation of monetary policy shocks in a heterogeneous production economy

Pasten, Ernesto; Schoenle, Raphael; Weber, Michael - 2018 - This version: November 2018

We study the transmission of monetary policy shocks in a model in which realistic heterogeneity in price rigidity interacts with heterogeneity in sectoral size and input-output linkages, and derive conditions under which these heterogeneities generate large real effects. Empirically,...

Persistent link: https://www.econbiz.de/10011936316

Risk sharing and monetary policy transmission

Hauptmeier, Sebastian; Holm-Hadulla, Fédéric; … - 2022

Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in output. With strong risk sharing, the response is...

Persistent link: https://www.econbiz.de/10013448692

The profitability of monetary policy transmission

Hsu, Alex; Mitra, Indrajit; Zeng, Linghang - 2023

expectations of firm profitability. We use an existing decomposition of a monetary policy shock into a central bank information …

Persistent link: https://www.econbiz.de/10014296452

The transmission of supply shocks in different inflation regimes

Arndt, Sarah; Enders, Zeno - 2023

effective in State 2. Exogenously differentiating regimes by the level of inflation or the shock size does not reveal state …

Persistent link: https://www.econbiz.de/10014444690

Commodity price shocks and global cycles : monetary policy matters

Castelnuovo, Efrem; Mori, Lorenzo; Peersman, Gert - 2024

We employ a structural VAR model with global and US variables to study the relevance and transmission of oil, food commodities, and industrial input price shocks. We show that commodities are not all alike. Industrial input price changes are almost entirely endogenous responses to other shocks....

Persistent link: https://www.econbiz.de/10014550949

The Price Puzzle Revisited : Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?

Henzel, Steffen - 2013

This paper explores whether the cost channel solves the price puzzle. We set-up a New Keynesian DSGE model and estimate it for the euro area by adopting a minimum distance approach. Our findings suggest that - under certain parameter restrictions which are not rejected by the data - the cost...

Persistent link: https://www.econbiz.de/10012753889