We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

The mandate of the European Central Bank’s monetary policy is to ensure price stability. Interest rate changes by the ECB affect labor costs and the value added of firms. If both dimensions are not equally affected, monetary policy has a distributive effect between workers and shareholders....

This paper provides a reverse mode derivative for DSGE models. Reverse mode differentiation enables the efficient computation of gradients from the model likelihood to the model parameters. These gradients can then be used by derivative based sampling algorithms including the No U-Turn Sampler....

Investors who arbitrage between long term government debt and corporate debt expand the Portfolio Balance Channel in that the effects of QE spill over to the overall cost of corporate borrowing. I find that overall the Federal Reserve's second round of Large-Scale Asset Purchases (LSAPII) boosts...

In this paper, we examine the ability of Fisher effect to describe the subjective behaviour of monetary policy responses for nations constrained by global factors. We developed and estimated a simple DSGE model for appraising the consequence of an integrated financial market predictor on...

We simulate the fiscal stimulus packages set up by the German government to allevi-ate the costs of the COVID-19 pandemic in a dynamic New Keynesian multi-sectorgeneral equilibrium model. We find that, cumulated over 2020-2022, output lossesrelative to steady state can be reduced by more than 4...