We analyze the distributional effects of monetary policy on income, wealth and consumption. We use administrative household-level data covering the entire population in Denmark over the period 1987-2014 and exploit a long-standing currency peg as a source of exogenous variation in monetary...

This paper studies the role of narratives for macroeconomic fluctuations. We micro-found narratives as directed acyclic graphs and show how exposure to different narratives can affect expectations in an otherwise standard macroeconomic model. We capture such competing narratives in news media's...

Funding liquidity, i.e., the ease with which firms, investors and consumers can obtain funding, is a key property of today's monetary transmission mechanism. We investigate empirically the role played by various measures of credit availability in shaping the dynamics of asset prices and the...

We analyze the distributional effects of monetary policy on income, wealth and consumption. We use administrative household-level data covering the entire population in Denmark over the period 1987-2014 and exploit a long-standing currency peg as a source of exogenous variation in monetary...

The paper evaluates the ability of market participants to anticipate monetary policy decisions in the euro area and in 13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we show that the days of policy meetings are special days for...

This paper considers whether relationships exist between the daily weighted average 7-day interbank rate, the change in the daily 7-day interbank rate, the daily level of commercial banks excess reserves and the change in the daily level of excess reserves, which may guide domestic money market...

We develop a new framework to study the implementation of monetary policy through the banking system. Banks finance illiquid loans by issuing deposits. Deposit transfers across banks must be settled using central bank reserves. Transfers are random and therefore create liquidity risk, which in...

The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general model [Goodhart, Sunirand and Tsomocos (2003)]. The model incorporates heterogeneous agents, banks and endogenous default, thus allowing various...

The paper considers three methods for eliminating the zero lower bound on nominal interest rates and thus for restoring symmetry to domain over which the central bank can vary its policy rate. They are: (1) abolishing currency (which would also be a useful crime-fighting measure); (2) paying...

On the basis of SVAR models of monetary policy in Egypt for the period December 1976–May 2006, our paper explores a new empirical assessment for the interest rate channel in correcting trouble in the Egyptian economy by imposing contemporaneous and long run restrictions. It appears that after...