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Stock Markets, Banks and Long Run Economics Growth: A Panel Cointegration-Based Analysis

Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz - CESifo - 2013

and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence … the direction of potential causality between financial and economic development. Our results conclude to the existence of … a single cointegrating vector between financial development and growth and of causality going from financial development …

Persistent link: https://www.econbiz.de/10010723543

The Monetary Policy of the ECB : A Robin Hood Approach?

Drometer, Marcus - 2013

We derive counterfactual national interest rate paths for the 17 Euro Area countries for the period 1999 to 2012 to approximate the interest rates countries would have implemented had they still been able to conduct independent monetary policy. We find that prior to the financial crisis the...

Persistent link: https://www.econbiz.de/10013083869

Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset.

Altavilla, Carlo; Ciccarelli, Matteo - CESifo - 2011

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...

Persistent link: https://www.econbiz.de/10008861862

Monetary Policy Analysis in Real-Time : Vintage Combination from a Real-Time Dataset

Altavilla, Carlo - 2011

Persistent link: https://www.econbiz.de/10013128542

Escaping from a Combination of Liquidity Trap and Credit Crunch

Heinemann, Frank - CESifo - 2008

This brief exposition suggests that the Federal Reserve System temporarily guarantee a lower bound on stock prices in order to escape the current combination of liquidity trap and credit crunch. It shortly discusses reasons for this measure, consequences, and some alternatives. It is meant as a...

Persistent link: https://www.econbiz.de/10005765775

Monetary Policy and the Stock Market : Time-Series Evidence

Neuhierl, Andreas - 2017

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10012965931

Monetary Momentum

Neuhierl, Andreas - 2017

We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...

Persistent link: https://www.econbiz.de/10012946927

House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand

Funke, Michael - 2017

We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to New Zealand. We find that the main historical drivers of house prices are shocks specific to the housing sector. While our...

Persistent link: https://www.econbiz.de/10012953951

Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area

Wischnewsky, Arina - 2018

In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...

Persistent link: https://www.econbiz.de/10012912666

The Risk-Taking Channel of Monetary Policy Transmission in the Euro-Area

Neuenkirch, Matthias - 2018

In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through the relaxation of lending standards for borrowers. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth,...

Persistent link: https://www.econbiz.de/10012917006