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Pawel Zabczyk

Personal Details

First Name:Pawel
Middle Name:
Last Name:Zabczyk
Suffix:
RePEc Short-ID:pza175
[This author has chosen not to make the email address public]
http://pawel.zabczyk.com

Affiliation

International Monetary Fund (IMF)

Washington, District of Columbia (United States)
http://www.imf.org/

(202) 623-7000
(202) 623-4661
700 19th Street, N.W., Washington DC 20431
RePEc:edi:imfffus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Adrian, Tobias & Erceg, Christopher J. & Lindé, Jesper & Zabczyk, Pawel & Zhou, Jianping, 2020. "A Quantitative Model for the Integrated Policy Framework," CEPR Discussion Papers 15065, C.E.P.R. Discussion Papers.
  2. Adrian, Tobias & Duarte, Fernando & Liang, Nellie & Zabczyk, Pawel, 2020. "Monetary and Macroprudential Policy with Endogenous Risk," CEPR Discussion Papers 14435, C.E.P.R. Discussion Papers.
  3. Roger Farmer & Pawel Zabczyk, 2019. "The Fiscal Theory of the Price Level in Overlapping Generations Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 498, National Institute of Economic and Social Research.
  4. Roger E.A. Farmer & Pawel Zabczyk, 2019. "A Requiem for the Fiscal Theory of the Price Level," NBER Working Papers 25445, National Bureau of Economic Research, Inc.
  5. Roger Farmer & Pawel Zabczyk, 2018. "The Household Fallacy," NBER Working Papers 24393, National Bureau of Economic Research, Inc.
  6. Roger Farmer & Pawel Zabczyk, 2016. "The Theory of Unconventional Monetary Policy," Discussion Papers 1611, Centre for Macroeconomics (CFM).
  7. Bianca De Paoli & Pawel Zabczyk, 2012. "Policy Design in a Model with Swings in Risk Appetite," CEP Discussion Papers dp1170, Centre for Economic Performance, LSE.
  8. Andreasen, Martin & Ferman, Marcelo & Zabczyk, Pawel, 2012. "The business cycle implications of banks’ maturity transformation," Bank of England working papers 446, Bank of England.
  9. Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.
  10. De Paoli, Bianca & Zabczyk, Pawel, 2011. "Cyclical risk aversion, precautionary saving and monetary policy," Bank of England working papers 418, Bank of England.
  11. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2011. "What lies beneath? A time-varying FAVAR model for the UK transmission mechanism," Working Paper Series 1320, European Central Bank.
  12. Haberis, Alex & Markovic, Bojan & Mayhew, Karen & Zabczyk, Pawel, 2011. "Global rebalancing: the macroeconomic impact on the United Kingdom," Bank of England working papers 421, Bank of England.
  13. De Paoli, Bianca & Zabczyk, Pawel, 2009. "Why do risk premia vary over time? A theoretical investigation under habit formation," Bank of England working papers 361, Bank of England.
  14. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2009. "What lies beneath: what can disaggregated data tell us about the behaviour of prices?," Bank of England working papers 364, Bank of England.
  15. Morten Spange & Pawel Zabczyk, 2006. "Sterling implications of a US current account reversal," Bank of England working papers 296, Bank of England.

Articles

  1. Tobias Adrian & Fernando Duarte & Nellie Liang & Pawel Zabczyk, 2020. "NKV: A New Keynesian Model with Vulnerability," AEA Papers and Proceedings, American Economic Association, vol. 110, pages 470-476, May.
  2. Farmer, Roger E.A. & Zabczyk, Pawel, 2018. "The household fallacy," Economics Letters, Elsevier, vol. 169(C), pages 83-86.
  3. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.
  4. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
  5. Bianca De Paoli & Pawel Zabczyk, 2013. "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 1-36, February.
  6. Bianca De Paoli & Pawel Zabczyk, 2013. "Policy design in a model with swings in risk appetite," Oxford Economic Papers, Oxford University Press, vol. 65(suppl_1), pages 146-169, April.
  7. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2013. "The Business Cycle Implications of Banks' Maturity Transformation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 581-600, October.
  8. De Paoli, Bianca & Zabczyk, Pawel, 2012. "Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S2), pages 252-266, September.
  9. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical precautionary saving and monetary policy," Research Bulletin, European Central Bank, vol. 16, pages 7-9.

Software components

  1. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2012. "Code and data files for "The Business Cycle Implications of Banks' Maturity Transformation"," Computer Codes 11-169, Review of Economic Dynamics.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Roger Farmer & Pawel Zabczyk, 2019. "The Fiscal Theory of the Price Level in Overlapping Generations Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 498, National Institute of Economic and Social Research.

    Mentioned in:

    1. The Fiscal Theory of the Price Level in Overlapping Generations Models
      by Christian Zimmermann in NEP-DGE blog on 2019-02-06 01:13:47
  2. Bianca De Paoli & Pawel Zabczyk, 2013. "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 1-36, February.

    Mentioned in:

    1. Risk Aversion and the Natural Interest Rate
      by Blog Author in Liberty Street Economics on 2014-07-16 16:00:00
    2. 'Risk Aversion and the Natural Interest Rate'
      by Mark Thoma in Economist's View on 2014-07-16 13:21:30
    3. Should Monetary Policy Respond to Financial Conditions?
      by Blog Author in Liberty Street Economics on 2015-11-16 18:00:00
  3. De Paoli, Bianca & Zabczyk, Pawel, 2012. "Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S2), pages 252-266, September.

    Mentioned in:

    1. Should Monetary Policy Respond to Financial Conditions?
      by Blog Author in Liberty Street Economics on 2015-11-16 18:00:00

Working papers

  1. Adrian, Tobias & Duarte, Fernando & Liang, Nellie & Zabczyk, Pawel, 2020. "Monetary and Macroprudential Policy with Endogenous Risk," CEPR Discussion Papers 14435, C.E.P.R. Discussion Papers.

    Cited by:

    1. Figueres, Juan Manuel & Jarociński, Marek, 2020. "Vulnerable growth in the euro area: Measuring the financial conditions," Economics Letters, Elsevier, vol. 191(C).

  2. Roger Farmer & Pawel Zabczyk, 2019. "The Fiscal Theory of the Price Level in Overlapping Generations Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 498, National Institute of Economic and Social Research.

    Cited by:

    1. Roger E.A. Farmer, 2019. "The Indeterminacy School in Macroeconomics," NBER Working Papers 25879, National Bureau of Economic Research, Inc.
    2. Jean Barthélemy & Eric Mengus & Guillaume Plantin, 2020. "Public Liquidity Demand and Central Bank Independence," Working papers 747, Banque de France.
    3. Roger E A Farmer, 2019. "The Indeterminacy Agenda in Macroeconomics," National Institute of Economic and Social Research (NIESR) Discussion Papers 507, National Institute of Economic and Social Research.

  3. Roger E.A. Farmer & Pawel Zabczyk, 2019. "A Requiem for the Fiscal Theory of the Price Level," NBER Working Papers 25445, National Bureau of Economic Research, Inc.

    Cited by:

    1. Roger E.A. Farmer, 2019. "The Indeterminacy School in Macroeconomics," NBER Working Papers 25879, National Bureau of Economic Research, Inc.
    2. Roger E A Farmer, 2019. "The Indeterminacy Agenda in Macroeconomics," National Institute of Economic and Social Research (NIESR) Discussion Papers 507, National Institute of Economic and Social Research.

  4. Roger Farmer & Pawel Zabczyk, 2018. "The Household Fallacy," NBER Working Papers 24393, National Bureau of Economic Research, Inc.

    Cited by:

    1. Alam, Md. Samsul & Miah, Mohammad Dulal & Hammoudeh, Shawkat & Tiwari, Aviral Kumar, 2018. "The nexus between access to electricity and labour productivity in developing countries," Energy Policy, Elsevier, vol. 122(C), pages 715-726.
    2. Leibowicz, Benjamin D. & Lanham, Christopher M. & Brozynski, Max T. & Vázquez-Canteli, José R. & Castejón, Nicolás Castillo & Nagy, Zoltan, 2018. "Optimal decarbonization pathways for urban residential building energy services," Applied Energy, Elsevier, vol. 230(C), pages 1311-1325.
    3. Srinivasan, Suchita & Carattini, Stefano, 2020. "Adding fuel to fire? Social spillovers in the adoption of LPG in India," Ecological Economics, Elsevier, vol. 167(C).

  5. Roger Farmer & Pawel Zabczyk, 2016. "The Theory of Unconventional Monetary Policy," Discussion Papers 1611, Centre for Macroeconomics (CFM).

    Cited by:

    1. Jeffrey R. Campbell, 2014. "Quantitative Easing in Joseph's Egypt with Keynesian Producers," Working Paper Series WP-2014-15, Federal Reserve Bank of Chicago.
    2. Jens H. E. Christensen & Signe Krogstrup, 2016. "A Portfolio Model of Quantitative Easing," Working Paper Series WP16-7, Peterson Institute for International Economics.
    3. Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
    4. Stépahne Lhuissier & Urszula Szczerbowicz, 2018. "Monetary Policy and Corporate Debt Structure," Working papers 697, Banque de France.
    5. Christian Pfister & Jean-Guillaume Sahuc, 2020. "Unconventional Monetary Policies: A Stock-Taking Exercise," Working papers 761, Banque de France.
    6. Andrew Filardo & Paul Hubert & Phurichai Rungcharoenkitkul Author-X-Name_First: Phurichai, 2019. "The reaction function channel of monetary policy and the financial cycle," BIS Working Papers 816, Bank for International Settlements.
    7. Roger E. A. Farmer, 2018. "Pricing Assets in a Perpetual Youth Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 106-124, October.
    8. Sameer Khatiwada, 2017. "Quantitative Easing by the Fed and International Capital Flows," IHEID Working Papers 02-2017, Economics Section, The Graduate Institute of International Studies.
    9. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, July.
    10. Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    11. Harrison, Richard, 2017. "Optimal quantitative easing," Bank of England working papers 678, Bank of England.

  6. Andreasen, Martin & Ferman, Marcelo & Zabczyk, Pawel, 2012. "The business cycle implications of banks’ maturity transformation," Bank of England working papers 446, Bank of England.

    Cited by:

    1. Gete, Pedro, 2018. "Lending standards and macroeconomic dynamics," Working Paper Series 2207, European Central Bank.
    2. Smith, Anthony Jr. & Wang, Cheng, 2006. "Dynamic credit relationships in general equilibrium," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 847-877, May.
    3. Danilo Liberati, 2014. "An estimated DSGE model with search and matching frictions in the credit market," Temi di discussione (Economic working papers) 986, Bank of Italy, Economic Research and International Relations Area.
    4. Kühl, Michael, 2014. "Bank capital, the state contingency of banks' assets and its role for the transmission of shocks," Discussion Papers 25/2014, Deutsche Bundesbank.
    5. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2013. "The Business Cycle Implications of Banks' Maturity Transformation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 581-600, October.
    6. Matteo Iacoviello, 2010. "Financial Business Cycles," 2010 Meeting Papers 1053, Society for Economic Dynamics.
    7. Punnoose Jacob & Anella Munro, 2016. "A macroprudential stable funding requirement and monetary policy in a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2016/04, Reserve Bank of New Zealand.
    8. Jacob, Punnoose & Munro, Anella, 2018. "A prudential stable funding requirement and monetary policy in a small open economy," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 89-106.
    9. Reiter, Michael & Zessner-Spitzenberg, Leopold, 2020. "Long-term bank lending and the transfer of aggregate risk," IHS Working Paper Series 13, Institute for Advanced Studies.
    10. Quint, Dominic & Rabanal, Pau, 2017. "Should Unconventional Monetary Policies Become Conventional?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168218, Verein für Socialpolitik / German Economic Association.
    11. Holmberg, Ulf, 2012. "The Credit Market and the Determinants of Credit Crunches: An Agent Based Modeling Approach," Umeå Economic Studies 836, Umeå University, Department of Economics.
    12. Alessandri, Piergiorgio & Nelson, Benjamin, 2012. "Simple banking: profitability and the yield curve," Bank of England working papers 452, Bank of England.
    13. Kühl, Michael, 2014. "The financial accelerator and market-based debt instruments: A role for maturities?," Discussion Papers 08/2014, Deutsche Bundesbank.
    14. Elton Beqiraj & Giovanni Di Bartolomeo & Marco Di Pietro & Carolina Serpieri, 2017. "Resilience, crisis contagion, and vulnerability in Central Europe and the Baltics," JRC Working Papers JRC109632, Joint Research Centre (Seville site).
    15. Moises S. Andrade & Tiago Berriel, 2016. "Is There an Output Free Lunch for Fiscal Inationary Policies?," Textos para discussão 650, Department of Economics PUC-Rio (Brazil).
    16. Beqiraj, Elton & Di Bartolomeo, Giovanni & Di Pietro, Marco & Serpieri, Carolina, 2018. "Comparing Central Europe and the Baltic macro-economies: A Bayesian approach," EconStor Preprints 175242, ZBW - Leibniz Information Centre for Economics.

  7. Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.

    Cited by:

    1. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    2. Grzegorz Wesoƚowski, 2018. "Do long-term interest rates drive GDP and inflation in small open economies? Evidence from Poland," Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6174-6192, December.
    3. Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.

  8. De Paoli, Bianca & Zabczyk, Pawel, 2011. "Cyclical risk aversion, precautionary saving and monetary policy," Bank of England working papers 418, Bank of England.

    Cited by:

    1. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
    2. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
    3. Martin Seneca, 2017. "Risk Shocks Close to the Zero Lower Bound," 2017 Meeting Papers 107, Society for Economic Dynamics.
    4. James D. Hamilton & Ethan S. Harris & Jan Hatzius & Kenneth D. West, 2016. "The Equilibrium Real Funds Rate: Past, Present, and Future," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 660-707, November.
    5. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
    6. Bianca De Paoli & Jens Søndergaard, 2017. "Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model," Economica, London School of Economics and Political Science, vol. 84(335), pages 516-540, July.
    7. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    8. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
    9. Huidrom,Raju & Kose,Ayhan & Lim,Jamus Jerome & Ohnsorge,Franziska Lieselotte, 2019. "Why Do Fiscal Multipliers Depend on Fiscal Positions?," Policy Research Working Paper Series 8784, The World Bank.
    10. Kranz Tobias, 2017. "Calibrating the Equilibrium Condition of a New Keynesian Model with Uncertainty," Review of Economics, De Gruyter, vol. 68(2), pages 117-151, August.
    11. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    12. John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
    13. Łukasz Rawdanowicz & Romain Bouis & Kei-Ichiro Inaba & Ane Kathrine Christensen, 2014. "Secular Stagnation: Evidence and Implications for Economic Policy," OECD Economics Department Working Papers 1169, OECD Publishing.
    14. Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
    15. Andersson, Magnus & D'Agostino, Antonello & de Bondt, Gabe & Roma, Moreno, 2011. "The predictive content of sectoral stock prices: a US-euro area comparison," Working Paper Series 1343, European Central Bank.

  9. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2011. "What lies beneath? A time-varying FAVAR model for the UK transmission mechanism," Working Paper Series 1320, European Central Bank.

    Cited by:

    1. Leu, Shawn C.-Y. & Robertson, Mari L., 2021. "Mortgage credit volumes and monetary policy after the Great Recession," Economic Modelling, Elsevier, vol. 94(C), pages 483-500.
    2. Lo Duca, Marco & Adam, Tomáš, 2017. "Modeling euro area bond yields using a time-varying factor model," Working Paper Series 2012, European Central Bank.
    3. Aikman, David & Bush, Oliver & Taylor, Alan M., 2016. "Monetary versus macroprudential policies:causal impacts of interest rates andcredit controls in the era of the UKradcliffe report," Economic History Working Papers 67035, London School of Economics and Political Science, Department of Economic History.
    4. Forbes, Kristin & Hjortsoe, Ida & Nenova, Tsvetelina, 2018. "The Shocks Matter: Improving our Estimates of Exchange Rate Pass-Through," CEPR Discussion Papers 13037, C.E.P.R. Discussion Papers.
    5. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    6. Lian An & Mark A. Wynne & Ren Zhang, 2020. "Shock-Dependent Exchange Rate Pass-Through: Evidence Based on a Narrative Sign Approach," Globalization Institute Working Papers 379, Federal Reserve Bank of Dallas.
    7. Holland, Marcio & Marçal, Emerson & de Prince, Diogo, 2020. "Is fiscal policy effective in Brazil? An empirical analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 40-52.
    8. Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," Globalization Institute Working Papers 314, Federal Reserve Bank of Dallas.
    9. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
    10. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2020. "Monetary policy transmission in the United Kingdom: A high frequency identification approach," European Economic Review, Elsevier, vol. 123(C).
    11. Leif Anders Thorsrud, 2016. "Nowcasting using news topics. Big Data versus big bank," Working Paper 2016/20, Norges Bank.
    12. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    13. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy:new data and evidence from the United Kingdom," LSE Research Online Documents on Economics 86235, London School of Economics and Political Science, LSE Library.
    14. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
    15. Borzykh, Olga, 2016. "Bank lending channel in Russia: A TVP-FAVAR approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 43, pages 96-117.
    16. Hilde C. Bjørnland & Leif Anders Thorsrud, 2019. "Commodity prices and fiscal policy design: Procyclical despite a rule," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 161-180, March.
    17. Gerko, Elena & Rey, H�l�ne, 2017. "Monetary Policy in the Capitals of Capital," CEPR Discussion Papers 12217, C.E.P.R. Discussion Papers.
    18. Anastasios Evgenidis & Costas Siriopoulos, 2015. "What are the International Channels Through Which a US Policy Shock is Transmitted to The World Economies? Evidence from a Time Varying FAVAR," Working Papers 190, Bank of Greece.
    19. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2020. "The Effectiveness Of Monetary Policy In South Africa Under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model," Journal of Developing Areas, Tennessee State University, College of Business, vol. 54(4), pages 55-73, October-D.
    20. Kumar, Ankit & Dash, Pradyumna, 2020. "Changing transmission of monetary policy on disaggregate inflation in India," Economic Modelling, Elsevier, vol. 92(C), pages 109-125.
    21. Kapetanios, George & Masolo, Riccardo M. & Petrova, Katerina & Waldron, Matthew, 2019. "A time-varying parameter structural model of the UK economy," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    22. Bijsterbosch, Martin & Falagiarda, Matteo, 2015. "The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 93-115.
    23. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    24. Hürtgen, Patrick & Cloyne, James, 2014. "The macroeconomic effects of monetary policy: A new measure for the United Kingdom," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100304, Verein für Socialpolitik / German Economic Association.
    25. Ellington, Michael, 2018. "Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 225-236.
    26. Aubrey Poon, 2018. "The transmission mechanism of Malaysian monetary policy: a time-varying vector autoregression approach," Empirical Economics, Springer, vol. 55(2), pages 417-444, September.
    27. Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Papers No 4/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    28. Evans, Jocelyn D. & Robertson, Mari L., 2018. "The effects of the Fed’s monetary tightening campaign on nonbank mortgage lending," Economics Letters, Elsevier, vol. 171(C), pages 164-168.
    29. Colin Ellis, 2020. "Have Macron’s Recent Labour Reforms Been as Impactful as Past German Reforms?," Applied Economics and Finance, Redfame publishing, vol. 7(4), pages 89-100, July.
    30. Belke, Ansgar & Osowski, Thomas, 2017. "International effects of euro area versus US policy uncertainty: A FAVAR approach," Ruhr Economic Papers 689, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    31. Jan Prüser & Alexander Schlösser, 2020. "The effects of economic policy uncertainty on European economies: evidence from a TVP-FAVAR," Empirical Economics, Springer, vol. 58(6), pages 2889-2910, June.
    32. Francesco Zanetti & Christoph Görtz & Wei Li & John Tsoukalas, 2020. "Vintage Article: The Effect of Monetary Policy Shocks in the United Kingdom: an External Instruments Approach," Economics Series Working Papers 812, University of Oxford, Department of Economics.
    33. Cross, Jamie, 2019. "On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?," Economic Modelling, Elsevier, vol. 77(C), pages 174-186.
    34. Garreth Rule, 2015. "Understanding the central bank balance sheet," Handbooks, Centre for Central Banking Studies, Bank of England, number 32, December.
    35. Christiane Baumeister & James D. Hamilton, 2020. "Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions," NBER Working Papers 26606, National Bureau of Economic Research, Inc.
    36. Anthoulla Phella, 2020. "Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach," Papers 2010.12263, arXiv.org.
    37. Juan S. Holguín & Jorge M. Uribe, 2020. "The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions," Empirical Economics, Springer, vol. 59(5), pages 2443-2472, November.
    38. Anastasios Evgenidis & Dionisis Philippas & Costas Siriopoulos, 2019. "Heterogeneous effects in the international transmission of the US monetary policy: a factor-augmented VAR perspective," Empirical Economics, Springer, vol. 56(5), pages 1549-1579, May.
    39. Forbes, Kristin & Hjortsoe, Ida & Nenova, Tsvetelina, 2017. "Shocks versus structure: explaining differences in exchange rate pass-through across countries and time," Discussion Papers 50, Monetary Policy Committee Unit, Bank of England.

  10. Haberis, Alex & Markovic, Bojan & Mayhew, Karen & Zabczyk, Pawel, 2011. "Global rebalancing: the macroeconomic impact on the United Kingdom," Bank of England working papers 421, Bank of England.

    Cited by:

    1. Igor Fedotenkov & Lex Meijdam, 2013. "Crisis and Pension System Design in the EU: International Spillover Effects Via Factor Mobility and Trade," De Economist, Springer, vol. 161(2), pages 175-197, June.
    2. Fedotenkov, I., 2012. "Pensions and ageing in a globalizing world. International spillover effects via trade and factor mobility," Other publications TiSEM 8830bc21-4138-4479-8459-a, Tilburg University, School of Economics and Management.

  11. De Paoli, Bianca & Zabczyk, Pawel, 2009. "Why do risk premia vary over time? A theoretical investigation under habit formation," Bank of England working papers 361, Bank of England.

    Cited by:

    1. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
    2. Bianca De Paoli & Jens Søndergaard, 2017. "Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model," Economica, London School of Economics and Political Science, vol. 84(335), pages 516-540, July.
    3. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers dp1132, Centre for Economic Performance, LSE.
    4. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    5. Haitham A. Al-Zoubi, 2017. "Cyclical and Persistent Carry Trade Returns and Forward Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-33, December.
    6. Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
    7. De Paoli, Bianca & Sondergaard, Jens, 2009. "Foreign exchange rate risk in a small open economy," Bank of England working papers 365, Bank of England.

  12. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2009. "What lies beneath: what can disaggregated data tell us about the behaviour of prices?," Bank of England working papers 364, Bank of England.

    Cited by:

    1. Sigal Ribon, 2011. "The Effect of Monetary Policy on Inflation: A Factor Augmented VAR Approach using disaggregated data," Bank of Israel Working Papers 2011.12, Bank of Israel.
    2. Chong, Terence Tai Leung & Zhu, Tingting & Rafiq, M.S., 2013. "Are Prices Sticky in Large Developing Economies? An Empirical Comparison of China and India," MPRA Paper 60985, University Library of Munich, Germany.
    3. Philip Bunn & Colin Ellis, 2012. "How do Individual UK Producer Prices Behave?," Economic Journal, Royal Economic Society, vol. 122(558), pages 16-34, February.
    4. Jeffrey C. Fuhrer, 2009. "Inflation persistence," Working Papers 09-14, Federal Reserve Bank of Boston.
    5. Jalali-Naini , Ahmad. R. & Hemati , Maryam, 2012. "The Effect of Monetary Shocks on Disaggregated Prices in a Data Rich Environment: a Bayesian FAVAR Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 6(4), pages 27-60, July.
    6. Kaufmann, Daniel & Lein, Sarah M., 2013. "Sticky prices or rational inattention – What can we learn from sectoral price data?," European Economic Review, Elsevier, vol. 64(C), pages 384-394.
    7. Dixon, Huw & Franklin, Jeremy & Millard, Stephen, 2014. "Sectoral shocks and monetary policy in the United Kingdom," Bank of England working papers 499, Bank of England.
    8. Adolfson, Malin & Lindé, Jesper, 2011. "Parameter Identification in a Estimated New Keynesian Open Economy Model," Working Paper Series 251, Sveriges Riksbank (Central Bank of Sweden).
    9. Imran Hussain Shaha & Simón Sosvilla-Rivero, 2017. "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," Working Papers del Instituto Complutense de Estudios Internacionales 1707, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    10. Philip Bunn & Colin Ellis, 2012. "Examining The Behaviour Of Individual UK Consumer Prices," Economic Journal, Royal Economic Society, vol. 122(558), pages 35-55, February.
    11. Ellis, Colin, 2009. "Do supermarket prices change from week to week?," Bank of England working papers 378, Bank of England.

  13. Morten Spange & Pawel Zabczyk, 2006. "Sterling implications of a US current account reversal," Bank of England working papers 296, Bank of England.

    Cited by:

    1. Blake, Andrew P & Markovic, Bojan, 2008. "The conduct of global monetary policy and domestic stability," Bank of England working papers 353, Bank of England.
    2. Bojan Markovic & Laura Povoledo, 2011. "Does Asias choice of exchange rate regime affect Europes exposure to US shocks?," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 1-38, September.
    3. Karen Dury & Özlem Oomen, 2007. "The real exchange rate and quality improvements," Bank of England working papers 320, Bank of England.

Articles

  1. Farmer, Roger E.A. & Zabczyk, Pawel, 2018. "The household fallacy," Economics Letters, Elsevier, vol. 169(C), pages 83-86.
    See citations under working paper version above.
  2. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.

    Cited by:

    1. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    2. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
    3. Martin M. Andreasen & Anders Kronborg, 2017. "The Extended Perturbation Method: New Insights on the New Keynesian Model," CREATES Research Papers 2017-14, Department of Economics and Business Economics, Aarhus University.

  3. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    See citations under working paper version above.
  4. Bianca De Paoli & Pawel Zabczyk, 2013. "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 1-36, February.
    See citations under working paper version above.
  5. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2013. "The Business Cycle Implications of Banks' Maturity Transformation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 581-600, October.
    See citations under working paper version above.
  6. De Paoli, Bianca & Zabczyk, Pawel, 2012. "Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S2), pages 252-266, September.
    See citations under working paper version above.
  7. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical precautionary saving and monetary policy," Research Bulletin, European Central Bank, vol. 16, pages 7-9.

    Cited by:

    1. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.

Software components

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 26 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DGE: Dynamic General Equilibrium (22) 2009-02-28 2011-03-26 2011-04-23 2011-04-30 2012-04-03 2013-01-07 2016-04-09 2016-04-09 2016-04-09 2016-04-23 2016-09-18 2018-01-29 2018-03-12 2018-04-02 2018-04-09 2019-01-28 2019-02-04 2019-02-25 2019-10-07 2020-07-20 2021-01-25 2021-02-08. Author is listed
  2. NEP-MAC: Macroeconomics (19) 2009-03-28 2011-04-16 2011-04-23 2012-03-14 2012-04-03 2012-11-03 2013-01-07 2016-04-09 2016-04-09 2016-04-09 2016-04-23 2016-09-18 2018-03-12 2018-04-02 2018-04-09 2019-01-28 2019-02-25 2020-07-20 2021-01-25. Author is listed
  3. NEP-MON: Monetary Economics (16) 2009-03-28 2011-04-16 2011-04-23 2012-03-14 2012-04-03 2016-04-09 2016-04-23 2016-09-18 2018-01-29 2019-01-28 2019-02-04 2019-02-25 2019-10-07 2020-07-20 2021-01-25 2021-02-08. Author is listed
  4. NEP-CBA: Central Banking (10) 2006-06-24 2009-03-28 2011-03-26 2011-04-16 2011-04-23 2011-04-30 2012-04-03 2016-04-09 2016-04-23 2016-09-18. Author is listed
  5. NEP-UPT: Utility Models & Prospect Theory (3) 2009-02-28 2012-03-14 2012-11-03
  6. NEP-BAN: Banking (2) 2012-04-03 2013-01-07
  7. NEP-EEC: European Economics (2) 2011-04-16 2011-04-30
  8. NEP-FMK: Financial Markets (2) 2006-06-24 2009-02-28
  9. NEP-BEC: Business Economics (1) 2009-02-28
  10. NEP-CMP: Computational Economics (1) 2011-03-26
  11. NEP-IFN: International Finance (1) 2006-06-24
  12. NEP-OPM: Open Economy Macroeconomics (1) 2011-04-30
  13. NEP-SOG: Sociology of Economics (1) 2016-09-18

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