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Towards technology-news-driven business cycles

Di Casola, Paola; Sichlimiris, Spyridon - 2018

We identify an inflationary technology news shock as the leading source of business cycle variations for the postwar U ….S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption … technological innovations reduce inflation. The technology news shock became the predominant source of the business cycle from the …

Persistent link: https://www.econbiz.de/10011930326

Not All International Monetary Shocks are Alike for the Japanese Economy

Ratti, Ronald A. - 2014

It is found that over 1999:1-2012:12 China's monetary expansion influences Japan through the effect of China's growth on world commodity prices, increased demand for imports, and exchange rate policy. China's monetary expansion is associated with significant increases in Japan's industrial...

Persistent link: https://www.econbiz.de/10013059432

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806

Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks : Evidence Using Daily Surveys from Brazil

Burjack, Rafael - 2019

We use a unique Brazilian dataset on daily survey expectations to obtain direct measures of shocks to central bank target rates and changes in economic uncertainty. Using these measures, we gauge the effect of monetary policy shocks on economic uncertainty, term premia, inflation expectations,...

Persistent link: https://www.econbiz.de/10012860102

International transmission of quantitative easing policies : evidence from Canada

Kabaca, Serdar; Tuzcuoglu, Kerem - 2022 - Last updated: June 29, 2022

What are the cross-border spillovers from major economies' quantitative easing (QE) policies to their trading partners? We provide evidence by concentrating on spillovers from the US to Canada during the zero lower bound period when QE policies were actively used. We identify QE shocks in the US...

Persistent link: https://www.econbiz.de/10013264909

Spatial Propagation of Macroeconomic Shocks in Europe

Dewachter, Hans - 2010

This paper develops a Spatial Vector Auto-Regressive (SpVAR) model that takes into account both the time and the spatial dimensions of economic shocks. We apply this framework to analyze the propagation through space and time of macroeconomic (inflation, output gap and interest rate) shocks in...

Persistent link: https://www.econbiz.de/10013143231

Credit shocks and macroeconomic fluctuations in emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10009754529

Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010

Abildgren, Kim - 2012

a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …

Persistent link: https://www.econbiz.de/10013102102

Shocks to bank lending, risk-taking, securitization, and their role for US business cycle fluctuations

Peersman, Gert; Wagner, Wolf - 2014

type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank …

Persistent link: https://www.econbiz.de/10010257361

Banks' Financial Conditions and the Transmission of Monetary Policy : A Favar Approach

Jimborean, Ramona - 2010

We propose a novel approach to assess whether banks' financial conditions, as reflected by bank-level information, matter for the transmission of monetary policy, while reconciling the micro and macro levels of analysis. We include factors summarizing large sets of individual bank balance sheet...

Persistent link: https://www.econbiz.de/10013137211