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Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10011145419

Risk, Uncertainty and Monetary Policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - C.E.P.R. Discussion Papers - 2010

We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary...

Persistent link: https://www.econbiz.de/10008784723

Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy

Landier, Augustin; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2014

behavior following monetary policy shocks. In a first step, we show that the sensitivity of bank profits to interest rates … income gap also predicts the sensitivity of bank lending to interest rates, both for commercial & industrial loans and for … mortgages. Quantitatively, a 100 basis point increase in the Fed funds rate leads a bank at the 75th percentile of the income …

Persistent link: https://www.econbiz.de/10011145414

The Multi-Regime Bank Lending Channel and the Effectiveness of the Polish Monetary Policy Transmission During Transition

Kierzenkowski, Rafal - C.E.P.R. Discussion Papers - 2002

This Paper examines the consequences of interactions between the bank lending channel and the traditional interest rate … system with sterilized intervention and a pure floating rate system, we establish that the bank lending channel can generate … spread between the loan rate and the central bank's intervention rate are found to be a good indicator of amplification and …

Persistent link: https://www.econbiz.de/10005666443

Bank and Sovereign Risk Interdependence in the Euro Area

Kollintzas, Tryphon; Tsoukalas, Konstantinos - C.E.P.R. Discussion Papers - 2015

We develop a dynamic stochastic general equilibrium model to study bank risk and sovereign risk interdependence in the …

Persistent link: https://www.econbiz.de/10011201352

Credit, Financial Stability, and the Macroeconomy

Taylor, Alan M. - C.E.P.R. Discussion Papers - 2015

Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...

Persistent link: https://www.econbiz.de/10011213304

Two Monetary Tools: Interest Rates and Haircuts

Ashcraft, Adam; Garleanu, Nicolae Bogdan; Pedersen, … - C.E.P.R. Discussion Papers - 2010

We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the...

Persistent link: https://www.econbiz.de/10008642875

The ECB as Lender of Last Resort for Sovereigns in the Euro Area

Buiter, Willem H.; Rahbari, Ebrahim - C.E.P.R. Discussion Papers - 2012

also contributed, through the deeply subsidised bank funding it provided through the 3-year LTROs, half of a mechanism to …

Persistent link: https://www.econbiz.de/10011083551

Financial Crises, Monetary Policy and Financial Fragility; A Second-Generation Model of Currency Crises

Eijffinger, Sylvester C W; Goderis, Benedikt - C.E.P.R. Discussion Papers - 2002

In this Paper we present a model that combines the second-generation trade-off between costs of maintenance and abandonment with possible balance-sheet problems in the corporate sector. We show how debt levels can move a small economy from a fixed exchange rate to a floating exchange rate...

Persistent link: https://www.econbiz.de/10005504385

Financial Asset Prices and Monetary Policy: Theory and Evidence

Smets, Frank - C.E.P.R. Discussion Papers - 1997

central bank’s objective of price stability, it is shown that the optimal monetary response to unexpected changes in asset … prices depends on how these changes affect the central bank’s inflation forecast, which in turn depends on two factors: the …

Persistent link: https://www.econbiz.de/10005504548