We use a factor-augmented VAR with time-varying parameters to study the transmission of monetary policy shocks and central bank information shocks associated with ECB announcements. We find time-variation in the volatilities of monetary policy shocks and information shocks and in the...

If firms borrow working capital to finance production, then nominal interest rates have a direct influence on inflation dynamics, which appears to be the case empirically. However, interest rates may only partly mirror the cost of working capital. In this paper we explore the role of bank...

We study the relationship between bank lending standards, loan growth and the business cycle in the euro area and the US within a vector error correciton model using Bayesian estimation methods. To deal with the short data series available for the euro area, we exploit information from the...