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Financial shocks and the real economy in a nonlinear world : from theory to estimation

Silvestrini, Andrea; Zaghini, Andrea - 2015

We examine the inter-linkages between financial factors and real economic activity. We review the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models. We outline, from a policy perspective, the most recent empirical papers focusing on the...

Persistent link: https://www.econbiz.de/10011279726

Crisis, Contagion and International Policy Spillovers Under Foreign Ownership of Banks

Brzoza-Brzezina, Michal - 2016

This paper checks how international spillovers of shocks and policies are modified when banks are foreign owned. To this end we build a two country macroeconomic model with banking sectors that are owned by residents of one (big and foreign) country. Consistently with empirical findings, we find...

Persistent link: https://www.econbiz.de/10012987484

Financial stability considerations for monetary policy : theoretical mechanisms

Ajello, Andrea; Boyarchenko, Nina; Gourio, François; … - 2022

This paper reviews the theoretical literature at the intersection of macroeconomics and finance to draw lessons on the connection between vulnerabilities in the financial system and the macroeconomy, and on how monetary policy affects that connection. This literature finds that financial...

Persistent link: https://www.econbiz.de/10012819348

The banking crisis as dynamic stochastic general equilibrium ; what's wrong with modern macroeconomics?

Minford, Patrick - In: CESifo economic studies : CESifo, a joint initiative of … 56 (2010) 4, pp. 554-574

Crises are triggered by the inherent uncertainty of the capitalist system. We represent this uncertainty in an open economy real business cycle model of the UK by including non-stationary productivity shocks. A random sequence of good or bad shocks will accumulate, producing euphorias and...

Persistent link: https://www.econbiz.de/10008809501

More or less aggressive? : robust monetary policy in a New Keynesian model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - 2009

This paper investigates the optimal monetary policy response to a shock to collateral when policymakers act under discretion and face model uncertainty. The analysis is based on a New Keynesian model where banks supply loans to transaction constrained consumers. Our results confirm the...

Persistent link: https://www.econbiz.de/10003870845

Financial Stability Considerations for Monetary Policy : Theoretical Mechanisms

Ajello, Andrea; Boyarchenko, Nina; Gourio, François; … - 2022

Persistent link: https://www.econbiz.de/10013301035

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Central bank policies and financial markets : lessons from the Euro crisis

Mody, Ashoka; Nedeljkovic, Milan - 2018 - This version: November 20, 2018

The European Central Bank (ECB) took many measures to combat the eurozone's rolling financial crisis. For providing desperately scarce dollars to eurozone banks, the ECB relied on the U.S. Federal Reserve. Using a novel econometric framework, we identify financial markets' response to the...

Persistent link: https://www.econbiz.de/10011942687

The effect of a financial block on the identification of confidence shocks in a structural VAR model

Myohl, Christian - 2018

This paper studies the propagation and properties of a confidence shock in a structural vector autoregression (VAR … and the contribution to the forecast error variance by the confidence shock. Nevertheless, for specific historical … smaller role to confidence shocks for the fall in GDP. This suggests that the confidence shock may not be properly identified …

Persistent link: https://www.econbiz.de/10011961326

Confidence and the financial accelerator

Myohl, Christian; Stucki, Yannic - 2018

use the heterogeneous-prior framework of Angeletos, Collard, and Dellas (2018) to accommodate confidence-driven business … cycle fluctuations. We show that financial frictions strongly amplify the response to confidence shocks - more strongly than …

Persistent link: https://www.econbiz.de/10011961330