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Topic Monetary Policy

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278 results, from 251
  • Externe referierte Aufsätze

    The Transmission of Oil and Food Prices to Consumer Prices: Evidence for the MENA Countries

    This paper investigates the effects of global oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While global prices are weakly exogenous, consumer prices respond to deviations from the equilibrium relationship. ...

    In: International Economics and Economic Policy 12 (2015), 1, S. 143-161 | Ansgar Belke, Christian Dreger
  • Weitere externe Aufsätze

    Fiscal Risk Sharing and Stabilization in the EMU

    In: George Christodoulakis (Ed.) , Managing Risks in the European Periphery Debt Crisis : Lessons from the Trade-off between Economics, Politics and the Financial Markets
    London: MacMillan
    S. 148-162
    | Kerstin Bernoth, Philipp Engler
  • Diskussionspapiere 1448 / 2015

    Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard ...

    2015| Marcel Fratzscher, Malte Rieth
  • DIW Roundup 55 / 2015

    Bubbles and Monetary Policy: To Burst or Not to Burst?

    The question of whether monetary policy should target asset prices remains a contentious issue. Prior to the 2007/08 financial crisis, central banks opted for a wait-and-see approach, remaining passive during the build-up of asset price bubbles but actively seeking to stabilize prices and output after they burst. The macroeconomic and financial turbulence that followed the subprime housing bubble has ...

    2015| Philipp König, David Pothier
  • Externe Monographien

    Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard ...

    London: CEPR, 2015, 49 S.
    (Discussion Paper Series / Centre for Economic Policy Research ; 10370)
    | Marcel Fratzscher, Malte Rieth
  • Externe Monographien

    Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

    This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...

    Berlin: Freie Univ. Berlin, FB Wirtschaftswiss., 2014, 56 S.
    (Discussion Paper / School of Business & Economics ; 2014,35)
    | Philipp Engler, Christoph Große Steffen
  • Externe Monographien

    On the Relationship between Public and Private Investment in the Euro Area

    This paper explores the long run relationship between public and private investment in the euro area in terms of capital stocks and gross investment flows. Panel techniques accounting for international spillovers are employed. While private and public capital stocks are cointegrated, the evidence is quite fragile for public and private investment flows. They enter a long run relationship only after ...

    Bonn: IZA, 2014, 18 S.
    (Discussion Paper Series / Forschungsinstitut zur Zukunft der Arbeit ; 8002)
    | Christian Dreger, Hans-Eggert Reimers
  • Diskussionspapiere 1436 / 2014

    Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

    This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...

    2014| Philipp Engler, Christoph Große Steffen
  • Diskussionspapiere 1382 / 2014

    Unconventional Monetary Policy and Money Demand

    This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area. Results are based on standard monetary aggregates, i.e. MZM for the US and M3 in case of the euro area. The ...

    2014| Christian Dreger, Jürgen Wolters
  • Diskussionspapiere 1395 / 2014

    Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis

    This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is non-stationary and non-mean-reverting, the null hypotheses of I(0), I(1) and I(2) being rejected in favour of fractional ...

    2014| Guglielmo Maria Caporale, Marinko Skare
278 results, from 251
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