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Diskussionspapiere 1906 / 2020

Exchange Rates and the Information Channel of Monetary Policy

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of ...

2020| Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak
Monographien

Public or Private? The Future of Money: In-Depth Analysis

Stablecoins issued by large tech companies pose a significant challenge for traditional fiat money. In this study, we highlight the importance of a public-private-cooperation in dealing with this topic, where central banks closely work with stablecoin issuers in issuing synthetic central bank digital currency (sCBDC). This framework minimizes the risks of private money and utilises the technological ...

Bruxelles: European Parliament, 2019, 23 S.
(Monetary Dialogue Papers)
| Chi Hyun Kim, Alexander Kriwoluzky
Monographien

Essays in Macroeconomics

This dissertation consists of three essays that investigate the effects and transmission mechanisms of monetary policy to the macroeconomy, and the role of financial frictions in modeling the business cycle. The first essay focuses on the question of how to include financial sector dynamics into macroeconomic models in order to improve their efficacy for macroeconomic policy analysis. We augment a ...

Berlin: Freie Univ. Berlin, FB Wirtschaftswiss., 2020, XXVIII, 167, XL S. | Martin Ignacio Harding Affeld
Diskussionspapiere 1854 / 2020

The Dynamic Impact of FX Interventions on Financial Markets

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact ...

2020| Lukas Menkhoff, Malte Rieth, Tobias Stöhr
Externe referierte Aufsätze

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 (2021), im Ersch. [online first: 2021-06-01] | Helmut Lütkepohl, Thore Schlaak
Schumpeter BSE Macro Seminar

The Effect of Macroeconomic Uncertainty on Household Spending

25.05.2021| Yuriy Gorodnichenko, University of California-Berkeley
Schumpeter BSE Macro Seminar

On the Accuracy of Linear DSGE Solution Methods and the Consequences for Log-Normal Asset Pricing

18.05.2021| Alexander Meyer-Gohde, Goethe-Uni Frankfurt
Schumpeter BSE Macro Seminar

Returns to Scale, Productivity Measurement, and Trends in U.S. Manufacturing Misallocation

11.05.2021| Dimitrije Ruzic, INSEAD
Schumpeter BSE Macro Seminar

Belief Distortions and Macroeconomic Fluctuations

04.05.2021| Francesco Bianchi, Duke University
Schumpeter BSE Macro Seminar

Social proximity to capital: Implications for investors and firms

01.06.2021| Johannes Stroebel, NYU
439 results, from 1
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