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Foreign exchange intervention : a new database

Fratzscher, Marcel; Heidland, Tobias; Menkhoff, Lukas; … - 2020

We construct a novel database of monthly foreign exchange interventions for 49 countries over up to 22 years. We build on a text classification approach that extracts information about interventions from news articles and calibrate our procedure to data about actual interventions. Our new...

Persistent link: https://www.econbiz.de/10012313789

The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area

Kim, Chi Hyun; Other, Lars - 2019

We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock … and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock …

Persistent link: https://www.econbiz.de/10011963607

The importance of global shocks for national policymakers : rising challenges for central banks

Belke, Ansgar; Rees, Andreas - 2009

We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...

Persistent link: https://www.econbiz.de/10003879570

Big banks and macroeconomic outcomes : theory and cross-country evidence of granularity

Bremus, Franziska; Buch, Claudia M.; Russ, Katheryn Niles; … - 2013

Does the mere presence of big banks affect macroeconomic outcomes? In this paper, we develop a theory of granularity (Gabaix, 2011) for the banking sector, introducing Bertrand competition and heterogeneous banks charging variable markups. Using this framework, we show conditions under which...

Persistent link: https://www.econbiz.de/10010225567

Capitals controls and macroprudential measures : what are they good for?

Forbes, Kristin; Fratzschner, Marcel; Straub, Roland - 2013

Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding...

Persistent link: https://www.econbiz.de/10010221772

The Chinese impact on GDP growth and inflation in the industrial countries

Dreger, Christian; Zhang, Yanqun - 2011

OEF. Evidence is based on the responses to a Chinese demand shock arising from the recent fiscal stimulus program. The …. -- GVAR ; Chinese economy ; shock transmission …

Persistent link: https://www.econbiz.de/10009515006

Proxy VAR models in a data-rich environment

Bruns, Martin - 2019

Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor-Augmented VAR (BP-FAVAR) to combine a large...

Persistent link: https://www.econbiz.de/10012125244

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …

Persistent link: https://www.econbiz.de/10012301353

Drivers of structural change in cross-border banking since the global financial crisis

Bremus, Franziska; Fratzscher, Marcel - 2014

The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro...

Persistent link: https://www.econbiz.de/10010417675

Welfare effects of TTIP in a DSGE model

Engler, Philipp; Tervala, Juha - 2016

Several studies have analyzed the trade and output effects of the Transatlantic Trade and Investment Partnership (TTIP) between the United States and the European Union, but our paper is the first attempt to study its welfare effects. We measure the welfare effect of TTIP as the percentage of...

Persistent link: https://www.econbiz.de/10011568062