Showing 1 - 10 of 48
Factor models of disaggregate inflation indices suggest that sectoral shocks generate the bulk of sectoral inflation variance, but no persistence. Aggregate shocks, by contrast, are the root of sectoral inflation persistence, but have negligible relative variance. We show that simple factor...
Persistent link: https://www.econbiz.de/10009278155
This paper analyzes the pass-through of money market rates to retail interest rates in the Belgian banking market using disaggregate data and allowing for heterogeneous price setting behavior. We find that 1) corporate loans are priced more competitively than consumer loans, 2) pass-through is...
Persistent link: https://www.econbiz.de/10012773744
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal substitution. Aggregate productivity and...
Persistent link: https://www.econbiz.de/10012720136
This paper analyzes the pass-through of money market rates to retail interest rates in the Belgian banking market using disaggregate data and allowing for heterogeneous price setting behavior. We find that 1) corporate loans are priced more competitively than consumer loans, 2) pass-through is...
Persistent link: https://www.econbiz.de/10012727666
The central variable of theories of financial frictions - the external finance premium - is unobservable. This paper distils the external finance premium from a DSGE model estimated on US macroeconomic data. Within the DSGE framework, movements in the premium can be given an interpretation in...
Persistent link: https://www.econbiz.de/10012707999
Central banks focus on two objectives today: monetary and financial stability. Empirical evidence on this twin objective is scarce. We aim to contribute on the issue with an integrated micro-macro approach with two core virtues. First, we measure financial stability at the bank level for...
Persistent link: https://www.econbiz.de/10012726685
Fiscal theorists warn about the risk of future inflation as a consequence of current fiscal imbalances in the US. Because actual inflation remains historically low and data on inflation expectations do not corroborate such risks, warnings for fiscal inflation are often ignored in policy and...
Persistent link: https://www.econbiz.de/10010818848
By expanding the macro part of macro-finance models, historical fluctuations in US bond yields turn out to be largely consistent with the rational expectations hypothesis. We estimate a medium-scale macro-finance DSGE model of the term structure to establish this. Our finding contrasts with...
Persistent link: https://www.econbiz.de/10005006140
We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose...
Persistent link: https://www.econbiz.de/10008520892
The central variable of theories of financial frictions--the external finance premium--is unobservable. This paper distils the external finance premium from a Dynamic Stochastic General Equilibrium (DSGE) model estimated on US macroeconomic data covering the period 1954 to 2004. Within the DSGE...
Persistent link: https://www.econbiz.de/10005161102