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  1. Macroeconomic effects of loan supply shocks: empirical evidence for Peru
    Autor*in: Martínez, Jefferson; Rodriguez, Gabriel
    Erschienen: febrero, 2020
    Verlag:  Departamento de Economía, Pontificia Universidad Católica del Perú, Lima, Perú

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 583
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Documento de trabajo / Departamento de Economía, PUCP ; no 483
    Schlagworte: Banking System; Loan Supply Shock; Bayesian Autoregressive Vector Model; Sign Restrictions; Peruvian Economy
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. Three questions regarding impulse responses and their interpretation found from sign restrictions
    Autor*in: Ouliaris, Sam; Pagan, Adrian R.
    Erschienen: November 21, 2020
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: CAMA working paper ; 2020, 101 (November 2020)
    Schlagworte: SVAR; Sign Restrictions; Identified Set
    Umfang: 1 Online-Ressource (circa 18 Seiten)
  3. The diminishing impact of monetary policy on asset prices around non-FOMC macroeconomic announcements
    Autor*in: Alam, Zohair
    Erschienen: [2021]
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during periods of conventional and unconventional monetary policies, I show that non-FOMC announcements affect asset prices much less in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease on these announcements. These findings are described in an information framework. Taken together, the evidence suggests unconventional monetary policies deter market's ability to anticipate Fed actions, which has implications for its transmission to asset prices

     
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    Sprache: Englisch
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    Format: Online
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    Schriftenreihe: [Rotman School of Management working paper ; no. 3808178]
    Schlagworte: Monetary Policy; Federal Reserve; Equity Prices; UST yields; Corporate Bond Yields,Exchange Rates; Financial Conditions; Principal Component Analysis; Sign Restrictions
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  4. How do fiscal and technology shocks affect real exchange rates? : New evidence for the United States
    Autor*in: Enders, Zeno; Müller, Gernot J.; Scholl, Almut
    Erschienen: 2008
    Verlag:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  5. Capital inflows and asset prices: evidence from emerging Asia
    Autor*in: Tillmann, Peter
    Erschienen: 2012
    Verlag:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    Auflage/Ausgabe: Version 4 September 2012
    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; 58
    Schlagworte: Kapitalimport; Schock <Wirtschaft>; Bodenpreis; Börsenkurs; Emerging Market
    Weitere Schlagworte: (stw)Kapitalimport; (stw)Schock; (stw)Immobilienpreis; (stw)Börsenkurs; (stw)Schwellenländer; (stw)Asien; Capital Inflows; House Prices; Monetary Policy; Sign Restrictions; Panel VAR; Arbeitspapier; Graue Literatur
    Umfang: Online-Ressource
  6. Effects of the US quantitative easing on a small open economy
    Autor*in: Carrera, César; Perez Forero, Fernando; Ramírez-Rondán, Nelson
    Erschienen: 2014
    Verlag:  Banco Central de Reserva del Perú, [Lima]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Serie de documentos de trabajo / Banco Central de Reserva del Perú ; 2014,017
    Schlagworte: Geldpolitik; Amerikanisch; Quantitative Lockerung; Schock; Wirkungsanalyse; VAR-Modell; Peru; Quantitative Easing; Structural Vector Autoregressions; Sign Restrictions; Counterfactual analysis
    Umfang: Online-Ressource (21 S.), graph. Darst.
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  7. (Almost) recursive identification of monetary policy shocks with economic parameter restrictions
    Autor*in: Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis
    Erschienen: [2023]
    Verlag:  Universität Trier, Trier

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 434
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    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization problem under non-linear constraints using an augmented Lagrange solution approach, which adjusts the VAR coefficients to meet the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to the parameter restrictions. Based on a Monte Carlo study and an empirical application, we show that particularly the "almost recursively identified approach with parameter restrictions" leads to a solution that avoids an estimation bias, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/274112
    Auflage/Ausgabe: First Draft: January 9, 2023
    Schriftenreihe: Research papers in economics ; no. 23, 1
    Schlagworte: Monetary Policy Transmission; Non-Linear Optimization; Price Puzzle; Recursive Identification; Rotation; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 30 Seiten)
  8. The macroeconomic effects of global supply chain disruptions
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: 29 December 2022
    Verlag:  BOFIT, the Bank of Finland Institute for Emerging Economies, Helsinki

    Highly interconnected global supply chains make countries vulnerable to sup ply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines busi ness cycle variables... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 686
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    Highly interconnected global supply chains make countries vulnerable to sup ply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines busi ness cycle variables with data from international container trade. Using a novel identification scheme, we augment conventional sign restrictions on the impulse responses by narrative information about three episodes: the Tohoku earthquake ¯ in 2011, the Suez Canal obstruction in 2021, and the Shanghai backlog in 2022. We show that a global supply chain shock causes a drop in euro area real economic activity and a strong increase in consumer prices. Over a horizon of one year, the global supply chain shock explains about 30% of inflation dynamics. We also use regional data on supply chain pressure to isolate shocks originating in China. Our results show that supply chain disruptions originating in China are an important driver for unexpected movements in industrial production, while disruptions originating outside China are an especially important driver for the dynamics of consumer prices.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789523234291
    Weitere Identifier:
    hdl: 10419/267906
    Schriftenreihe: BOFIT discussion papers ; 2022, 14
    Schlagworte: Container Trade; Supply Chain; Inflation; Narrative Identification; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  9. The macroeconomic effects of global supply chain disruptions
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: [2023]
    Verlag:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Highly interconnected global supply chains make countries vulnerable to supply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines business cycle variables... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 464
    Fernleihe:
    keine Fernleihe

     

    Highly interconnected global supply chains make countries vulnerable to supply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines business cycle variables with data from international container trade. Using a novel identification scheme, we augment conventional sign restrictions on the impulse responses by narrative information about three episodes: the Tohoku ¯ earthquake in 2011, the Suez Canal obstruction in 2021, and the Shanghai backlog in 2022. We show that a global supply chain shock causes a drop in euro area real economic activity and a strong increase in consumer prices. Over a horizon of one year, the global supply chain shock explains about 30% of inflation dynamics. We also use regional data on supply chain pressure to isolate shocks originating in China. Our results show that supply chain disruptions originating in China are an important driver for unexpected movements in industrial production, while disruptions originating outside China are an especially important driver for the dynamics of consumer prices.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/268227
    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; no. 178 (2023)
    Schlagworte: Container Trade; Supply Chain; Inflation; Narrative Identification; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  10. Loan supply shocks, prudential regulation, and the business cycle
    Autor*in: Rudel, Paul
    Erschienen: [2024]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    How do the business cycle effects of loan supply shocks depend on the state of prudential regulation in the euro area? To address this question, we first identify regulatory cycles from a cumulative prudential policy index that tracks the evolution... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 102
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    How do the business cycle effects of loan supply shocks depend on the state of prudential regulation in the euro area? To address this question, we first identify regulatory cycles from a cumulative prudential policy index that tracks the evolution of the regulatory stance in the euro area. Using sign restrictions in a local projections framework with state-dependency, we identify loan supply shocks and analyse their business cycle effects in regimes with tight and loose prudential regulation. We find that in tight regimes, expansionary shocks trigger a boom-bust cycle. In the loose regime, results appear inconclusive. We also see quite some tendencies toward asymmetry in the responses across regimes. To some extent, however, the results depend strongly on the cycle identified. While our results for the tight regime are very robust across different specifications, the effect of shocks on the business cycle is sensitive to identified loose regimes. The main reason is the historical development of prudential regulation in the euro area, which is primarily characterized by prudential tightening.

     
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    Weitere Identifier:
    hdl: 10419/301236
    Schriftenreihe: Joint discussion paper series in economics ; no. 2024, 09
    Schlagworte: Prudential Regulation; Business Cycle; Loan Supply; Euro Area; State Dependence; Local Projections; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  11. Is deflation ause for panic?
    evidence from the national banking era
    Autor*in: Pender, Casey
    Erschienen: August 16, 2023
    Verlag:  Carleton University, Department of Economics, Ottawa, Ontario, Canada

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 429
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Carleton economics working papers ; CEWP 23, 04
    Schlagworte: Bank Panics; Deflation; U.S. Monetary History; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen