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537 results, from 61
  • Diskussionspapiere 2012 / 2022

    Real Effects of Financial Market Integration: Evidence from an ECB Collateral Framework Change

    Does central bank collateral policy contribute to financial market integration? We address this question by exploiting that, in 2007, the European Central Bank replaced national collateral frameworks by a single list. Under the single list regime, euro area banks could pledge all euro area bank loans as collateral, not only domestic loans as before the framework change. Banks holding a large share ...

    2022| Pia Hüttl, Matthias Kaldorf
  • Refereed essays Web of Science

    Signalling Creditworthiness with Fiscal Austerity

    Sovereign borrowers may tighten their fiscal stance in order to signal their creditworthiness to lenders. In a model of sovereign debt with incomplete information, I show that a trustworthy country may reduce its debt beyond the optimal level in order to separate itself from less reliable countries. Since austerity is costly, the gains in the price of debt from separating need to be high enough, as ...

    In: European Economic Review 144 (2022), 104090, 27 S. | Anna Gibert
  • Diskussionspapiere 2004 / 2022

    Durable Consumption, Limited VAT Pass-Through and Stabilization Effects of Temporary VAT Changes

    This paper revives the question of whether a temporary VAT change is an adequate instrument for crisis stabilization. In empirical assessments, we find that durable goods consumption fluctuates strongly over the business cycle and that VAT rate changes affect durable goods in particular. Therefore, we build a dynamic stochastic general equilibrium (DSGE) model that is capable of addressing this major ...

    2022| Marius Clemens, Werner Röger
  • DIW Weekly Report 14/15/16 / 2022

    ECB Can Lower Fuel and Heating Costs by Increasing Interest Rates but Would Risk Economic Recovery

    Inflation has been growing considerably since the middle of 2021, with rising energy prices driving the increase in particular. Since the end of February 2022, the trend has also been exacerbated by the ongoing Russian invasion of Ukraine. To keep prices stable, the European Central Bank must rein in its accommodative monetary policy. However, would doing so—by enacting an interest rate increase, for ...

    2022| Gökhan Ider, Alexander Kriwoluzky, Frederik Kurcz
  • Refereed essays Web of Science

    Heteroscedastic Proxy Vector Autoregressions

    In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroscedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption ...

    In: Journal of Business & Economic Statistics 40 (2022), 3, S. 1268-1281 | Helmut Lütkepohl, Thore Schlaak
  • Diskussionspapiere 1995 / 2022

    A Behavioral Heterogeneous Agent New Keynesian Model

    We develop a New Keynesian model with household heterogeneity and bounded rationality in the form of cognitive discounting. The interaction of household heterogeneity and bounded rationality generates amplification of monetary and fiscal policy through indirect general equilibrium effects while simultaneously ruling out the forward guidance puzzle and remaining stable at the effective lower bound. ...

    2022| Oliver Pfäuti, Fabian Seyrich
  • Diskussionspapiere 1993 / 2022

    Sovereign Bonds since Waterloo

    This paper studies external sovereign bonds as an asset class. It compiles a new database of 266,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering up to 91 countries. The main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ...

    2022| Josefin Meyer, Carmen M. Reinhart, Christoph Trebesch
  • Diskussionspapiere 1992 / 2022

    Foreign Debt, Capital Controls, and Secondary Markets: Theory and Evidence from Nazi Germany

    We investigate how internal distribution motives can interfere with the economic objectives of capital controls. In order to do this, we provide a model showing that elite capture can affect optimal debt repatriations and the management of official reserves under capital controls. Relying on these theoretical insights and a wealth of quantitative and qualitative historical evidence, we study one of ...

    2022| Andrea Papadia, Claudio A. Schioppa
  • Diskussionspapiere 1990 / 2022

    The Signalling Channel of Negative Interest Rates

    Negative interest rates remain a controversial policy for central banks. We study a novel signalling channel and ask under what conditions negative rates should exist in an optimal policymaker’s toolkit. We prove two necessary conditions for the optimality of negative rates: a time-consistent policy setting and a preference for policy smoothing. These conditions allow negative rates to signal policy ...

    2022| Oliver de Groot, Alexander Haas
  • Schumpeter BSoE Macro Seminar

    Productivity Shocks, Long-Term Contracts and Earnings Dynamics

    14.12.2021| Neele Balke, University of Chicago
537 results, from 61
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