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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by … sample from 1980 to 2000. However, historical decompositions reveal that fluctuations since the introduction of the euro in …

Persistent link: https://www.econbiz.de/10011473872

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

Uncertainty shocks, banking frictions, and economic activity

Bonciani, Dario; Roye, Björn van - 2013

In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...

Persistent link: https://www.econbiz.de/10009761866

How resilient is the German banking system to macroeconomic shocks?

Dovern, Jonas (contributor); … - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic developments. In this paper we use a newly...

Persistent link: https://www.econbiz.de/10003694087

Spillover effects from euro area monetary policy across the EU : a factor-augmented VAR approach

Potjagailo, Galina - 2016

I analyze spillover effects from Euro area monetary policy shocks to thirteen EU countries outside the Euro area, i … variables. An expansionary Euro area monetary policy shock raises production in most non-Euro area countries. Somewhat larger …, where foreign demand effects are particularly strong. In addition, a Euro area monetary expansion leads to declines in …

Persistent link: https://www.econbiz.de/10011440779

Geldpolitik und vorausschauende Taylor-Regeln : Theorie und Empirie am Beispiel der Deutschen Bundesbank

Kamps, Christophe; Pierdzioch, Christian - 2002

and Gertler (1998, 2000) to study monetary policy in Germany in the period 1991 to 1998. The estimation results show that …

Persistent link: https://www.econbiz.de/10011474635

Measuring the effects of monetary policy in the euro area : the role of anticipated policy

Gottschalk, Jan; Höppner, Florian - 2001

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building …

Persistent link: https://www.econbiz.de/10011476356

The impact of monetary conditions on bank lending to households

Gyöngyösi, Győző; Ongena, Steven; Schindele, Ibolya - 2019

We study the impact of monetary conditions on the supply of mortgage credit by banks to households. Using comprehensive credit register data from Hungary, we first establish a "bank-lending-to-households" channel by showing that monetary conditions affect the supply of mortgage credit in volume....

Persistent link: https://www.econbiz.de/10011994662

Estimating monetary policy rules when the zero lower bound on nominal interest rates is approached

Kiesel, Konstantin; Wolters, Maik H. - 2014

policy responses for Japan, the US and the Euro area. The estimation results show that the bias of conventional estimation …Monetary policy rule parameters estimated with conventional estimation techniques can be severely biased if the … estimation sample includes periods of low interest rates. Nominal interest rates cannot be negative, so that censored regression …

Persistent link: https://www.econbiz.de/10010235450