We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

This paper develops a two-block Structural Vector Autoregression (SVAR) to estimate the spillover of external shocks to the Maltese economy. The model focuses on five broad macroeconomic shocks hitting the euro area; an aggregate demand shock, two aggregate supply shocks which respectively proxy...

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

This paper has adopted a Bayesian FAVAR approach to examine the monetary transmission mechanism in North Macedonia. The model is based on a broad data set that encompasses 140 monthly time series spanning between January 2010 and January 2019. In particular, the impact of policy on bank...

In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...

We scrutinize the monetary transmission mechanism in New-Keynesian models, focusing on the role of capital, the key ingredient in the transition from the basic framework to DSGE models. The widely held view that monetary policy affects output and inflation in these models through a real interest...

When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...

This study has a twofold objective. The first one is an assessment of the efficiency of monetary and capital-based macroprudential policy, defined as imposing less interest costs to loan borrowers (nonfinancial corporations and households). The second objective of this paper is the assessment of...

This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying...