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This paper proposes a panel VAR model to uncover the effect of monetary policy and macroprudential tightening … probability on general purpose loans, housing loans, vehicle loans, credit cards and their respective volatilities in Turkey. To … conduct our analysis, first, we compare a number of stochastic volatility models using our loan and credit card series in a …
Persistent link: https://www.econbiz.de/10012217568
shock, and suggests that having a macroprudential regulatory tool at work could have successfully avoided the massive drop …
Persistent link: https://www.econbiz.de/10011506778
, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with …’ strategy applied recently by several authors. I also propose another approach, namely, imposing restrictions on implied shock ….1-0.15% lower consumer prices; (4) the impact on prices is slower than on output; it reaches its bottom 4-6 years after the shock …
Persistent link: https://www.econbiz.de/10010322447
We use an original monthly dataset of 131 individual euro area banks to examine the effectiveness and transmission mechanism of the Eurosystem's credit support policies since the start of the crisis. First, we show that these policies have indeed been successful in stimulating the credit flow of...
Persistent link: https://www.econbiz.de/10011786057
premium and thus the effect of the increase in the external finance premium which diminishes output for Turkey over the period … decomposition. The results indicate that contractionary monetary policy shock, which led to increased external finance premium …, negatively affected the manufacturing sector and decreased total output. In other words, the monetary shock negatively affected …
Persistent link: https://www.econbiz.de/10011310246
The importance of credit in the monetary transmission mechanism has recently attained a lot of attention due to a growing understanding that credit market imperfections can have an impact on the monetary policy effectiveness. In this study, using Vector Error Correction Models (VECMs) and...
Persistent link: https://www.econbiz.de/10011689932
global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). We … find that a contractionary US monetary policy shock leads to a persistent fall in international output, a drop in global … negative shock to foreign real GDP growth. …
Persistent link: https://www.econbiz.de/10013370122
We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...
Persistent link: https://www.econbiz.de/10011430077
Im folgenden soll versucht werden, empirische Evidenz zum Transmissionsmechanismus mit Hilfe monetärer Schocks zu generieren. Die quantitativen Auswirkungen der monetären Impulse werden mit Hilfe von Impuls-Antwort-Funktionen beschrieben, wobei die Impuls- Antwort-Funktionen auf einem VAR...
Persistent link: https://www.econbiz.de/10010323720
policy shock in US data. Our VAR includes net business formation, profits and markups. We evaluate two channels through which … dynamics, it generates insufficient volatility of markups and profits. Estimates of standard parameters are largely unaffected …
Persistent link: https://www.econbiz.de/10011506731