Showing 1 - 10 of 118
We explore the role of ‘dollar shortage' shocks and central bank swap lines in a two-country New Keynesian model with financial frictions. Domestic banks issue both domestic and foreign currency debt and lend in domestic currency. Foreign currency-specific funding shocks, which are amplified...
Persistent link: https://www.econbiz.de/10012828063
In this paper, we analyse the effects of a shock to global financial uncertainty and risk aversion on real economic activity. To this end, we extract a common factor from the realised volatilities of about 1,000 risky asset returns from around the world. We then study how shocks to the factor...
Persistent link: https://www.econbiz.de/10012832991
This paper evaluates whether recent advances in modelling the extensive margin of exports contribute to our understanding of export fluctuations over the business cycle. Using US and euro-area data, we estimate a general equilibrium model in which the extensive margin of exports varies over the...
Persistent link: https://www.econbiz.de/10012835380
Standard New Keynesian models deliver puzzling results at the effective lower bound of short-term interest rates: greater price flexibility amplifies the fall in output in response to adverse demand shocks; labour tax cuts are contractionary; the multipliers of wasteful government spending are...
Persistent link: https://www.econbiz.de/10013245168
We document that UK government bond yields systematically rise in a two-day window before Monetary Policy Committee (MPC) meetings, which we refer to as pre-MPC windows. The effect concentrates on pre-MPC windows that coincide with new issuance of government bonds. Decomposing the effect into an...
Persistent link: https://www.econbiz.de/10014258216
In this paper we use a stylised three-country model to analyse how the transmission of US shocks to Europe might be affected by Asia's choice of exchange rate regime. We find that if Asia decides to peg her exchange rate to the dollar, the impact of US shocks on European output and inflation is...
Persistent link: https://www.econbiz.de/10014052545
The purpose of this paper is to examine how important an improvement in global monetary policy might be for the macroeconomic performance of a small open economy such as the United Kingdom. Our paper contributes to the literature by proposing a new methodology to treat indeterminate solutions...
Persistent link: https://www.econbiz.de/10014214070
This paper examines the welfare implications of international monetary co-operation using a stylised two-country New Keynesian general equilibrium model of imperfect information. We show that setting a self-oriented monetary policy rule generally leads to welfare gains relative to passive...
Persistent link: https://www.econbiz.de/10014219256
This paper studies how the real exchange rate might respond to product innovation (improvements in the quality of goods) as opposed to process innovation (increased efficiency in the production of goods). We develop a two-country dynamic stochastic general equilibrium model, where quality...
Persistent link: https://www.econbiz.de/10014224770
We study the implications of trade aggregation in an infinite-horizon economy with multiple countries. Specifically, we ask whether there is a role for alternatives to the Armington aggregator in the workhorse open-economy macroeconomics model. We show analytically that the first-order dynamics...
Persistent link: https://www.econbiz.de/10014082582