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Egon Zakrajšek
(Egon Zakrajsek)

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. Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2020. "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," NBER Working Papers 27809, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Understanding How Central Banks Use Their Balance Sheets: A Critical Categorization
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-06-07 11:57:45

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Jon Faust & Simon Gilchrist & Jonathan H. Wright & Egon Zakrajsek, 2011. "Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach," NBER Working Papers 16725, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. > Econometrics > Forecasting > Forecasting Economic Activity Using Financial Variables
  2. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.

    Mentioned in:

    1. > Econometrics > Forecasting > Forecasting Economic Activity Using Financial Variables
  3. Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009. "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 471-493, May.

    Mentioned in:

    1. > Econometrics > Forecasting > Forecasting Economic Activity Using Financial Variables

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.

    Mentioned in:

    1. Credit Spreads and Business Cycle Fluctuations (AER 2012) in ReplicationWiki ()
  2. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.

    Mentioned in:

    1. Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (AEJ:MA 2015) in ReplicationWiki ()

Working papers

  1. Simon Gilchrist & Raphael Schoenle & Jae Sim & Egon Zakrajsek, 2023. "Financial heterogeneity and monetary union," BIS Working Papers 1107, Bank for International Settlements.

    Cited by:

    1. Antoun de Almeida, Luiza, 2015. "Firms’ balance sheets and sectoral inflation in the euro area during the financial crisis," Economics Letters, Elsevier, vol. 135(C), pages 31-33.
    2. Kobielarz, Michal, 2018. "The economics of monetary unions," Other publications TiSEM b0293536-68ec-4905-bffd-6, Tilburg University, School of Economics and Management.
    3. José Manuel Montero, 2017. "Pricing decisions under financial frictions: evidence from the wdn survey," Working Papers 1724, Banco de España.
    4. Ohad Raveh, 2016. "Monetary Policy, Fisal Federalism, and Capital Intensity," OxCarre Working Papers 181, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    5. Müller, Gernot & Wolf, Martin & Kuvshinov, Dmitry, 2015. "Deleveraging, deflation and depreciation in the euro area," CEPR Discussion Papers 11015, C.E.P.R. Discussion Papers.
    6. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," CAMA Working Papers 2016-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Lea Steininger & Alexander A. Popov, 2023. "Monetary Policy and Local Industry Structure," Department of Economics Working Papers wuwp333, Vienna University of Economics and Business, Department of Economics.
    8. Martin Wolf, 2018. "Optimal Prudential Policy in Economies with Downward Wage Rigidity," Vienna Economics Papers vie1804, University of Vienna, Department of Economics.
    9. Claudio Borio & Marco Jacopo Lombardi & James Yetman & Egon Zakrajsek, 2023. "The two-regime view of inflation," BIS Papers, Bank for International Settlements, number 133.
    10. Kriwoluzky, Alexander & Müller, Gernot J. & Wolf, Martin, 2019. "Exit expectations and debt crises in currency unions," Journal of International Economics, Elsevier, vol. 121(C).
    11. Leena Rudanko, 2017. "Pricing in a Frictional Product Market," 2017 Meeting Papers 1281, Society for Economic Dynamics.

  2. Emanuel Kohlscheen & Marco Jacopo Lombardi & Egon Zakrajšek, 2021. "Income inequality and the depth of economic downturns," BIS Working Papers 943, Bank for International Settlements.

    Cited by:

    1. Oscar Claveria & Petar Soric, 2023. "“Income inequality and redistribution in Scandinavian countries”," AQR Working Papers 202306, University of Barcelona, Regional Quantitative Analysis Group, revised Oct 2023.
    2. Sebastian Doerr & Thomas Drechsel & Donggyu Lee, 2021. "Income inequality, financial intermediation, and small firms," BIS Working Papers 944, Bank for International Settlements.
    3. Matusche, Alexander & Wacks, Johannes, 2023. "Does wealth inequality affect the transmission of monetary policy?," Journal of Macroeconomics, Elsevier, vol. 75(C).

  3. Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2021. "Sovereign Risk and Financial Risk," CEPR Discussion Papers 16750, C.E.P.R. Discussion Papers.

    Cited by:

    1. Florent Kanga GBONGUE & Lambert N’Galadjo BAMBA, 2023. "Le modèle hybride de la structure par terme des primes souveraines de crédit et de liquidité dans la zone UEMOA," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 57, pages 101-145.
    2. Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
    3. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    4. J. Scott Davis & Eric van Wincoop, 2022. "A Theory of Gross and Net Capital Flows over the Global Financial Cycle," NBER Working Papers 30738, National Bureau of Economic Research, Inc.
    5. Epstein, Brendan & Finkelstein Shapiro, Alan & González Gómez, Andrés, 2019. "Global financial risk, aggregate fluctuations, and unemployment dynamics," Journal of International Economics, Elsevier, vol. 118(C), pages 351-418.
    6. Yusuf Soner Başkaya & Bryan Hardy & Sebnem Kalemli-Ozcan & Vivian Yue, 2023. "Sovereign risk and bank lending: evidence from 1999 Turkish earthquake," BIS Working Papers 1093, Bank for International Settlements.
    7. István Ábel & Ádám Kóbor, 2022. "Macroeconomic Components of the Risks to Fiscal Sustainability in Hungary," Risks, MDPI, vol. 10(11), pages 1-13, October.
    8. Akıncı, Özge, 2013. "Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries," Journal of International Economics, Elsevier, vol. 91(2), pages 358-371.
    9. Capraru, Bogdan & Georgescu, George & Sprincean, Nicu, 2023. "Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk," Working Papers of Romania Fiscal Council 230201, Romania Fiscal Council.
    10. Yildirim, Zekeriya, 2022. "Global financial risk, the risk-taking channel, and monetary policy in emerging markets," Economic Modelling, Elsevier, vol. 116(C).
    11. Yusuf Soner Başkaya & Bryan Hardy & Ṣebnem Kalemli-Özcan & Vivian Z. Yue, 2023. "Sovereign Risk and Bank Lending: Theory and Evidence from a Natural Disaster," FRB Atlanta Working Paper 2023-01, Federal Reserve Bank of Atlanta.

  4. Simon Gilchrist & Bin Wei & Vivian Z Yue & Egon Zakrajšek, 2021. "The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF," BIS Working Papers 963, Bank for International Settlements.

    Cited by:

    1. Zaghini, Andrea, 2023. "Unconventional green," CFS Working Paper Series 710, Center for Financial Studies (CFS).
    2. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    3. W. Blake Marsh & Padma Sharma, 2021. "Government Loan Guarantees during a Crisis: The Effect of the PPP on Bank Lending and Profitability," Research Working Paper RWP 21-03, Federal Reserve Bank of Kansas City.
    4. Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021. "Corporate Bond Liquidity during the COVID-19 Crisis [The day coronavirus nearly broke the financial markets]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5352-5401.
    5. Kamate, Vidya, 2023. "Unconventional monetary policy measures and money markets: Estimating the impact of targeted repo operations on asset prices," Finance Research Letters, Elsevier, vol. 55(PB).
    6. Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Temi di discussione (Economic working papers) 36, Bank of Italy, Economic Research and International Relations Area.
    7. Annette Vissing-Jørgensen, 2021. "The Treasury market in spring 2020 and the response of the Federal Reserve," BIS Working Papers 966, Bank for International Settlements.
    8. Marsh, W. Blake, 2023. "Supervisory stringency, payout restrictions, and bank equity prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
    9. Eisert, Tim & Acharya, Viral & Banerjee, Ryan & Crosignani, Matteo & Spigt, Renée, 2022. "Exorbitant Privilege? Quantitative Easing and the Bond Market Subsidy of Prospective Fallen Angels," CEPR Discussion Papers 17032, C.E.P.R. Discussion Papers.
    10. Bo Becker & Efraim Benmelech, 2021. "The Resilience of the U.S. Corporate Bond Market During Financial Crises," NBER Working Papers 28868, National Bureau of Economic Research, Inc.
    11. Antonio Falato & Itay Goldstein & Ali Hortaçsu, 2020. "Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets," NBER Working Papers 27559, National Bureau of Economic Research, Inc.
    12. Huixin Bi & W. Blake Marsh, 2020. "Flight to Liquidity or Safety? Recent Evidence from the Municipal Bond Market," Research Working Paper RWP 20-19, Federal Reserve Bank of Kansas City.
    13. Rebucci, Alessandro & Hartley, Jonathan, 2020. "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," CEPR Discussion Papers 14841, C.E.P.R. Discussion Papers.
    14. Cesa-Bianchi, Ambrogio & Czech, Robert & Eguren Martin, Fernando, 2021. "Dash for Dollars," CEPR Discussion Papers 16415, C.E.P.R. Discussion Papers.
    15. Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," CESifo Working Paper Series 8679, CESifo.
    16. Xu, Hui & Pennacchi, George G., 2023. "Benchmarking the effects of the Fed's Secondary Market Corporate Credit Facility using Yankee bonds," Journal of Financial Markets, Elsevier, vol. 64(C).
    17. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," Working Paper Series 2805, European Central Bank.
    18. Patricia C. Mosser, 2020. "Central bank responses to COVID-19," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 55(4), pages 191-201, October.
    19. Mahdi Ebsim & Miguel Faria-e-Castro & Julian Kozlowski, 2020. "Credit and Liquidity Policies during Large Crises," Working Papers 2020-035, Federal Reserve Bank of St. Louis, revised 22 Feb 2024.
    20. John J Shim & Karamfil Todorov, 2021. "ETFs, illiquid assets, and fire sales," BIS Working Papers 975, Bank for International Settlements.
    21. Zaghini, Andrea, 2021. "The Covid pandemic in the market: infected, immune and cured bonds," Working Paper Series 2563, European Central Bank.
    22. Bin Wei, 2022. "How Many Rate Hikes Does Quantitative Tightening Equal?," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2022(11), July.
    23. Craig L. Johnson & Tima T. Moldogaziev & Martin J. Luby & Ruth Winecoff, 2021. "The Federal Reserve Municipal Liquidity Facility (MLF): Where the municipal securities market and fed finally meet," Public Budgeting & Finance, Wiley Blackwell, vol. 41(3), pages 42-73, September.
    24. Heidorn, Thomas & Schlamann, Sara, 2022. "The dynamics of rating based credit benchmark curves," Frankfurt School - Working Paper Series 231, Frankfurt School of Finance and Management.
    25. Michael D. Bordo & Mickey D. Levy, 2020. "Do Enlarged Fiscal Deficits Cause Inflation: The Historical Record," NBER Working Papers 28195, National Bureau of Economic Research, Inc.
    26. Grahame Johnson, 2023. "A Review of the Bank of Canada’s Market Operations related to COVID-19," Discussion Papers 2023-6, Bank of Canada.
    27. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    28. Imdade Chitou & Gilles Dufrénot & Julien Esposito, 2021. "Linking Covid-19 epidemic and emerging market OAS: Evidence using dynamic copulas and Pareto distributions," AMSE Working Papers 2138, Aix-Marseille School of Economics, France.
    29. David Cimon & Adrian Walton, 2022. "Central Bank Liquidity Facilities and Market Making," Staff Working Papers 22-9, Bank of Canada.
    30. Dmitry Khametshin, 2021. "High-yield bond markets during the COVID-19 crisis: the role of monetary policy," Occasional Papers 2110, Banco de España.
    31. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
    32. Bordo, Michael D. & Duca, John V., 2022. "How new Fed corporate bond programs cushioned the Covid-19 recession," Journal of Banking & Finance, Elsevier, vol. 136(C).
    33. Ulf Lewrick & Stijn Claessens, 2021. "Open-ended bond funds: systemic risks and policy implications," BIS Quarterly Review, Bank for International Settlements, December.
    34. Haque, Sharjil & Varghese, Richard, 2023. "Firms’ rollover risk, capital structure and unequal exposure to aggregate shocks," Journal of Corporate Finance, Elsevier, vol. 80(C).
    35. Abudy, Menachem (Meni) & Shust, Efrat, 2023. "Does market design contribute to market stability? Indications from a corporate bond exchange during the COVID-19 crisis," Journal of Economics and Business, Elsevier, vol. 123(C).
    36. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
    37. Bin Wei, 2022. "Quantifying "Quantitative Tightening" (QT): How Many Rate Hikes Is QT Equivalent To?," FRB Atlanta Working Paper 2022-8, Federal Reserve Bank of Atlanta.
    38. Wang, Haiyang, 2023. "Liquidity of corporate bonds and credit spread," Finance Research Letters, Elsevier, vol. 55(PB).
    39. Dubravko Mihaljek, 2021. "Interactions between fiscal and monetary policies: a brief history of a long relationship," Public Sector Economics, Institute of Public Finance, vol. 45(4), pages 419-432.
    40. Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2022. "Determinants of cryptocurrency returns: A LASSO quantile regression approach," Finance Research Letters, Elsevier, vol. 49(C).
    41. Patrick Aldridge & David Cimon & Rishi Vala, 2023. "Central Bank Crisis Interventions: A Review of the Recent Literature on Potential Costs," Discussion Papers 2023-30, Bank of Canada.
    42. Camelia Minoiu & Rebecca Zarutskie & Andrei Zlate, 2021. "Motivating Banks to Lend? Credit Spillover Effects of the Main Street Lending Program," Finance and Economics Discussion Series 2021-078, Board of Governors of the Federal Reserve System (U.S.).
    43. Bank for International Settlements, 2022. "Private sector debt and financial stability," CGFS Papers, Bank for International Settlements, number 67, december.

  5. Ryan Niladri Banerjee & Giulio Cornelli & Egon Zakrajšek, 2020. "The outlook for business bankruptcies," BIS Bulletins 30, Bank for International Settlements.

    Cited by:

    1. Fergal McCann & Niall McGeever & Fang Yao, 2023. "SME viability in the COVID-19 recovery," Small Business Economics, Springer, vol. 61(3), pages 1053-1074, October.
    2. Benoit Mojon & Daniel Rees & Christian Schmieder, 2021. "How much stress could Covid put on corporate credit? Evidence using sectoral data," BIS Quarterly Review, Bank for International Settlements, March.
    3. Bacchiocchi, Andrea & Bischi, Gian Italo & Giombini, Germana, 2022. "Non-performing loans, expectations and banking stability: A dynamic model," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
    4. Mikael Juselius & Nikola Tarashev, 2020. "Forecasting expected and unexpected losses," BIS Working Papers 913, Bank for International Settlements.
    5. Ryan Niladri Banerjee & Enisse Kharroubi, 2020. "The financial vulnerabilities driving firms to the exit," BIS Quarterly Review, Bank for International Settlements, December.
    6. Ryan Niladri Banerjee & Enisse Kharroubi & Ulf Lewrick, 2020. "Bankruptcies, unemployment and reallocation from Covid-19," BIS Bulletins 31, Bank for International Settlements.
    7. Li, Shanshan, 2022. "COVID-19 and A-share banks' stock price volatility: From the perspective of the epidemic evolution in China and the US," Global Finance Journal, Elsevier, vol. 54(C).

  6. Simon Gilchrist & Egon Zakrajsek, 2019. "Trade Exposure and the Evolution of Inflation Dynamics," Working Papers Central Bank of Chile 849, Central Bank of Chile.

    Cited by:

    1. Kabundi, Alain & Poon, Aubrey & Wu, Ping, 2023. "A time-varying Phillips curve with global factors: Are global factors important?," Economic Modelling, Elsevier, vol. 126(C).
    2. Eser, Fabian & Karadi, Peter & Lane, Philip R. & Moretti, Laura & Osbat, Chiara, 2020. "The Phillips Curve at the ECB," Working Paper Series 2400, European Central Bank.
    3. Bobeica, Elena & Ciccarelli, Matteo & Vansteenkiste, Isabel, 2021. "The changing link between labor cost and price inflation in the United States," Working Paper Series 2583, European Central Bank.
    4. Takuji Fueki & Kohei Maehashi, 2019. "Inflation Dynamics in the Age of Robots: Evidence and Some Theory," Bank of Japan Working Paper Series 19-E-9, Bank of Japan.
    5. Andres Blanco & Mina Kim & Edward S. Knotek & Matthias Paustian & Robert W. Rich & Jane Ryngaert & Raphael Schoenle & Joris Tielens & Michael Weber & Mirko Wiederholt & Tony Zhang, 2019. "Inflation: Drivers and Dynamics 2019 Conference Summary," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2019(22), pages 1-6, December.
    6. Emilie Jasova & Bozena Kaderabkova, 2022. "The effectiveness of government measures in the first wave of Covid-19 pandemic," International Journal of Economic Sciences, European Research Center, vol. 11(1), pages 19-36, April.

  7. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2018. "US Monetary Policy and International Bond Markets," Finance and Economics Discussion Series 2018-014, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2022. "Sovereign risk and financial risk," Journal of International Economics, Elsevier, vol. 136(C).
    2. Julián Caballero & Christian Upper, 2023. "What happens to EMEs when US yields go up?," BIS Working Papers 1081, Bank for International Settlements.
    3. Bianchi, Francesco & Gómez-Cram, Roberto & Kind, Thilo & Kung, Howard, 2023. "Threats to central bank independence: High-frequency identification with twitter," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 37-54.
    4. Eric T. Swanson, 2017. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," NBER Working Papers 23311, National Bureau of Economic Research, Inc.
    5. Hoek, Jasper & Kamin, Steve & Yoldas, Emre, 2022. "Are higher U.S. interest rates always bad news for emerging markets?," Journal of International Economics, Elsevier, vol. 137(C).
    6. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    7. Francesco Bianchi & Thilo Kind & Howard Kung, 2019. "Threats to Central Bank Independence: High-Frequency Identification with Twitter," NBER Working Papers 26308, National Bureau of Economic Research, Inc.
    8. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    9. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
    10. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    11. Weale, Martin & Wieladek, Tomasz, 2022. "Financial effects of QE and conventional monetary policy compared," Journal of International Money and Finance, Elsevier, vol. 127(C).
    12. Ma, Chaoqun & Tian, Yonggang & Hsiao, Shisong & Deng, Liurui, 2022. "Monetary policy shocks and Bitcoin prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    13. Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023. "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, vol. 126(C).
    14. Eterovic, Dalibor & Sweet, Cassandra & Eterovic, Nicolas, 2022. "Asymmetric spillovers in emerging market monetary policy," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 650-662.
    15. Ceballos, Luis & Romero, Damian, 2022. "International portfolio bond spillovers," Economics Letters, Elsevier, vol. 220(C).
    16. Dimitris Malliaropulos & Petros Migiakis, 2022. "A global monetary policy factor in sovereign bond yields," Working Papers 301, Bank of Greece.
    17. ter Ellen, Saskia & Jansen, Edvard & Midthjell, Nina Larsson, 2020. "ECB Spillovers and domestic monetary policy effectiveness in small open economies," European Economic Review, Elsevier, vol. 121(C).
    18. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
    19. Elías Albagli & Mauricio Calani & Metodij Hadzi-Vaskov & Mario Marcel & Mr. Luca A Ricci, 2020. "Comfort in Floating: Taking Stock of Twenty Years of Freely-Floating Exchange Rate in Chile," IMF Working Papers 2020/100, International Monetary Fund.
    20. Hideaki Matsuoka, 2020. "Debt intolerance: Threshold level and composition," Working Papers e147, Tokyo Center for Economic Research.
    21. Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018. "International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234, Board of Governors of the Federal Reserve System (U.S.).
    22. Marcin Pietrzak, 2023. "What can monetary policy tell us about Bitcoin?," Annals of Finance, Springer, vol. 19(4), pages 545-559, December.
    23. Ahmed, Rashad, 2023. "Flights-to-safety and macroeconomic adjustment in emerging markets: The role of U.S. monetary policy," Journal of International Money and Finance, Elsevier, vol. 133(C).
    24. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
    25. Jasper Hoek & Steven B. Kamin & Emre Yoldas, 2020. "When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets," International Finance Discussion Papers 1269, Board of Governors of the Federal Reserve System (U.S.).
    26. Cuadra, Gabriel & Menna, Lorenzo, 2019. "Capital flows and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    27. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
    28. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
    29. Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).

  8. Dario Caldara & Cristina Fuentes-Albero & Simon Gilchrist & Egon Zakrajšek, 2016. "The Macroeconomic Impact of Financial and Uncertainty Shocks," International Finance Discussion Papers 1166, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael, 2020. "Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 150-155.
    2. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    3. Dr. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    4. Stéphane Lhuissier & Fabien Tripier, 2019. "Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation," Working papers 714, Banque de France.
    5. Soojin Jo & Rodrigo Sekkel, 2019. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 436-446, July.
    6. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    7. Jose E. Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2020. "Global effects of US uncertainty: real and financial shocks on real and financial markets," IREA Working Papers 202015, University of Barcelona, Research Institute of Applied Economics, revised Oct 2020.
    8. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    9. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2018. "The transmission of uncertainty shocks on income inequality: State-level evidence from the United States," Working Papers in Regional Science 2018/06, WU Vienna University of Economics and Business.
    10. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    11. Paul Labonne & Leif Anders Thorsrud, 2023. "Risky news and credit market sentiment," Working Papers No 14/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    12. William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
    13. Salzmann, Leonard, 2020. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224588, Verein für Socialpolitik / German Economic Association.
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    1. Olli Palm'en, 2022. "Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach," Papers 2202.10834, arXiv.org.
    2. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    3. Valerio Ercolani & Filippo Natoli, 2020. "Forecasting US recessions: the role of economic uncertainty," Temi di discussione (Economic working papers) 1299, Bank of Italy, Economic Research and International Relations Area.
    4. Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2023. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(3), pages 355-387, July.
    5. James S. Fackler & W. Douglas McMillin, 2018. "Nominal GDP versus Price Level Targeting: An Empirical Evaluation," Departmental Working Papers 2018-05, Department of Economics, Louisiana State University.
    6. Francesca Loria & Christian Matthes & Donghai Zhang, 2019. "Assessing Macroeconomic Tail Risk," Finance and Economics Discussion Series 2019-026, Board of Governors of the Federal Reserve System (U.S.).
    7. Massimo Ferrari Minesso & Laura Lebastard & Helena Mezo, 2023. "Text-Based Recession Probabilities," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 415-438, June.
    8. Carabarín Aguirre Mauricio & Peláez Gómez Carlos D., 2021. "Financial Frictions in Mexico: Evidence from the Credit Spread and its Components," Working Papers 2021-20, Banco de México.
    9. Benjamin Gardner & Chiara Scotti & Clara Vega, 2021. "Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements," Finance and Economics Discussion Series 2021-074, Board of Governors of the Federal Reserve System (U.S.).
    10. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    11. Daisuke Ikeda & Mayumi Ojima & Koji Takahashi, 2019. "Financial Interconnectedness, Amplification, and Cross-Border Activity," Bank of Japan Working Paper Series 19-E-11, Bank of Japan.
    12. Nadav Ben Zeev, 2019. "Identification of Sign-Dependency of Impulse Responses," Working Papers 1907, Ben-Gurion University of the Negev, Department of Economics.
    13. Boysen-Hogrefe, Jens & Fiedler, Salomon & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan, 2021. "Vermögenspreise, Zinseffekte und die Robustheit der öffentlichen Finanzen in Deutschland - eine Szenario-Analyse," Kieler Beiträge zur Wirtschaftspolitik 36, Kiel Institute for the World Economy (IfW Kiel).
    14. Georgiadis, Georgios & Jarociński, Marek, 2023. "Global spillovers from multi-dimensional US monetary policy," Working Paper Series 2881, European Central Bank.
    15. Georgios Georgiadis & Gernot J. Müller & Ben Schumann, 2023. "Global Risk and the Dollar," Discussion Papers of DIW Berlin 2057, DIW Berlin, German Institute for Economic Research.
    16. Danilo Cascaldi-Garcia, 2022. "Pandemic Priors," International Finance Discussion Papers 1352, Board of Governors of the Federal Reserve System (U.S.).
    17. Hiroyuki Kubota & Ichiro Muto & Mototsugu Shintani, 2022. "Monetary Policy, Labor Force Participation, and Wage Rigidity," IMES Discussion Paper Series 22-E-17, Institute for Monetary and Economic Studies, Bank of Japan.
    18. Kuester, Keith & Corsetti, Giancarlo & Müller, Gernot & Schmidt, Sebastian, 2021. "The Exchange Rate Insulation Puzzle," CEPR Discussion Papers 15689, C.E.P.R. Discussion Papers.
    19. Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.
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    23. Breitenlechner, Max & Scharler, Johann, 2021. "Monetary policy announcements and bank lending: Do banks’ refinancing markets matter?," Economic Modelling, Elsevier, vol. 102(C).
    24. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
    25. Ben Zeev, Nadav, 2019. "Global credit supply shocks and exchange rate regimes," Journal of International Economics, Elsevier, vol. 116(C), pages 1-32.
    26. Breitenlechner, Max & Geiger, Martin & Scharler, Johann, 2022. "Bank liquidity and the propagation of uncertainty in the U.S," Finance Research Letters, Elsevier, vol. 46(PB).
    27. Andrea Ajello & Diego Silva & Travis Adams & Francisco Vazquez-Grande, 2023. "More than Words: Twitter Chatter and Financial Market Sentiment," Finance and Economics Discussion Series 2023-034, Board of Governors of the Federal Reserve System (U.S.).
    28. Breitenlechner, Max & Gründler, Daniel & Scharler, Johann, 2021. "Unconventional monetary policy announcements and information shocks in the U.S," Journal of Macroeconomics, Elsevier, vol. 67(C).
    29. Horn, Carl-Wolfram & Fischer, Johannes J., 2021. "Does Monetary Policy Affect Mergers and Acquisitions?," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242445, Verein für Socialpolitik / German Economic Association.
    30. Boeck, Maximilian & Feldkircher, Martin, 2021. "The Impact of Monetary Policy on Yield Curve Expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 887-901.
    31. Georgios Georgiadis & Gernot J. Müller & Ben Schumann, 2023. "Dollar Trinity and the Global Financial Cycle," Discussion Papers of DIW Berlin 2058, DIW Berlin, German Institute for Economic Research.
    32. Beqiraj, Elton & Cao, Qingqing & Minetti, Raoul & Tarquini, Giulio, 2023. "Persistent Slumps: Innovation and the Credit Channel of Monetary Policy," Working Papers 2023-3, Michigan State University, Department of Economics.
    33. Loipersberger, Florian & Matschke, Johannes, 2022. "Financial cycles and domestic policy choices," European Economic Review, Elsevier, vol. 143(C).
    34. Michal Franta & Jan Libich, 2021. "Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks," Working Papers 2021/3, Czech National Bank.
    35. Lhuissier Stéphane & Nguyen Benoît, 2021. "The Dynamic Effects of the ECB’s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.

  10. Giovanni Favara & Simon Gilchrist & Kurt F. Lewis & Egon Zakrajšek, 2016. "Recession Risk and the Excess Bond Premium," FEDS Notes 2016-04-08, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Nadav Ben Zeev, 2019. "Asymmetric Business Cycles In Emerging Market Economies," Working Papers 1909, Ben-Gurion University of the Negev, Department of Economics.
    2. Valerio Ercolani & Filippo Natoli, 2020. "Forecasting US recessions: the role of economic uncertainty," Temi di discussione (Economic working papers) 1299, Bank of Italy, Economic Research and International Relations Area.
    3. James S. Fackler & W. Douglas McMillin, 2018. "Nominal GDP versus Price Level Targeting: An Empirical Evaluation," Departmental Working Papers 2018-05, Department of Economics, Louisiana State University.
    4. Carabarín Aguirre Mauricio & Peláez Gómez Carlos D., 2021. "Financial Frictions in Mexico: Evidence from the Credit Spread and its Components," Working Papers 2021-20, Banco de México.
    5. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    6. Ki Young Park, 2018. "New Evidence on Procyclical Bank Capital Regulation: The Role of Bank Loan Commitments," Working papers 2018rwp-130, Yonsei University, Yonsei Economics Research Institute.
    7. Pavel S. Kapinos, 2021. "Monetary policy news and systemic risk at the zero lower bound," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 4932-4945, October.
    8. Marek Jarocinski & Peter Karadi, 2017. "Central Bank Information Shocks," 2017 Meeting Papers 1193, Society for Economic Dynamics.
    9. Boysen-Hogrefe, Jens & Fiedler, Salomon & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan, 2021. "Vermögenspreise, Zinseffekte und die Robustheit der öffentlichen Finanzen in Deutschland - eine Szenario-Analyse," Kieler Beiträge zur Wirtschaftspolitik 36, Kiel Institute for the World Economy (IfW Kiel).
    10. Pablo A. Cuba-Borda & Alexander Mechanick & Andrea Raffo, 2018. "Monitoring the World Economy: A Global Conditions Index," IFDP Notes 2018-06-15, Board of Governors of the Federal Reserve System (U.S.).
    11. Hiroyuki Kubota & Ichiro Muto & Mototsugu Shintani, 2022. "Monetary Policy, Labor Force Participation, and Wage Rigidity," IMES Discussion Paper Series 22-E-17, Institute for Monetary and Economic Studies, Bank of Japan.
    12. Nadav Ben Zeev, 2017. "Exchange Rate Regimes And Sudden Stops," Working Papers 1712, Ben-Gurion University of the Negev, Department of Economics.
    13. Marek Jarociński & Peter Karadi, 2020. "Deconstructing Monetary Policy Surprises—The Role of Information Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 1-43, April.
    14. David A. Mascio & Frank J. Fabozzi & J. Kenton Zumwalt, 2021. "Market timing using combined forecasts and machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 1-16, January.
    15. Nadav Ben Zeev, 2019. "Adjustable-Rate Mortgages, Systematic Monetary Policy, And The Root Cause Of The Financial Crisis," Working Papers 1908, Ben-Gurion University of the Negev, Department of Economics.
    16. Natalya Zelenyuk & Robert Faff & Shams Pathan, 2020. "Size‐conditioned mandatory capital adequacy disclosure and bank intermediation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 4387-4417, December.
    17. Ben Zeev, Nadav, 2019. "Global credit supply shocks and exchange rate regimes," Journal of International Economics, Elsevier, vol. 116(C), pages 1-32.
    18. Matthieu Bussière & Stéphane Lhuissier, 2024. "What does an inversion of the yield curve tell us? [Que signifie l’inversion d’une courbe des taux ?]," Bulletin de la Banque de France, Banque de France, issue 250.
    19. Nadav Ben Zeev, 2018. "The Tfp Channel Of Credit Supply Shocks," Working Papers 1802, Ben-Gurion University of the Negev, Department of Economics.
    20. Horn, Carl-Wolfram & Fischer, Johannes J., 2021. "Does Monetary Policy Affect Mergers and Acquisitions?," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242445, Verein für Socialpolitik / German Economic Association.
    21. Lhuissier Stéphane & Nguyen Benoît, 2021. "The Dynamic Effects of the ECB’s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.

  11. J. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2015. "Credit-Market Sentiment and the Business Cycle," Finance and Economics Discussion Series 2015-28, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Zuzana Rakovska & Dominika Ehrenbergerova & Martin Hodula, 2020. "The Power of Sentiment: Irrational Beliefs of Households and Consumer Loan Dynamics," Working Papers 2020/10, Czech National Bank.
    2. Dario Caldara & Cristina Fuentes-Albero & Simon Gilchrist & Egon Zakrajšek, 2016. "The Macroeconomic Impact of Financial and Uncertainty Shocks," International Finance Discussion Papers 1166, Board of Governors of the Federal Reserve System (U.S.).
    3. Isakin, Maksim & Pu, Xiaoling, 2023. "Dispersion in news sentiment and corporate bond returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    4. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    5. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
    6. João F Gomes & Marco Grotteria & Jessica A Wachter, 2019. "Cyclical Dispersion in Expected Defaults," The Review of Financial Studies, Society for Financial Studies, vol. 32(4), pages 1275-1308.
    7. Arabinda Basistha, 2023. "Estimation of short‐run predictive factor for US growth using state employment data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 34-50, January.
    8. Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.
    9. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    10. Matthew Baron & Wei Xiong, 2016. "Credit Expansion and Neglected Crash Risk," NBER Working Papers 22695, National Bureau of Economic Research, Inc.
    11. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," NBER Working Papers 28693, National Bureau of Economic Research, Inc.
    12. Atif Mian & Ludwig Straub & Amir Sufi, 2020. "Indebted Demand," CESifo Working Paper Series 8210, CESifo.
    13. Atif Mian & Amir Sufi & Emil Verner, 2020. "How Does Credit Supply Expansion Affect the Real Economy? The Productive Capacity and Household Demand Channels," Journal of Finance, American Finance Association, vol. 75(2), pages 949-994, April.
    14. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
    15. Böhl, Gregor & Hommes, Cars H., 2021. "Rational vs. irrational beliefs in a complex world," IMFS Working Paper Series 156, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    16. Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
    17. Hua, Guiru & Zhou, Shuli & Zhang, Shiyun & Wang, Junqiu, 2020. "Industry policy, investor sentiment, and cross-industry capital flow: Evidence from Chinese listed companies’ cross-industry M&As," Research in International Business and Finance, Elsevier, vol. 53(C).
    18. Martynova, Natalya & Ratnovski, Lev & Vlahu, Razvan E., 2019. "Bank profitability, leverage constraints, and risk-taking," Discussion Papers 21/2019, Deutsche Bundesbank.
    19. De Santis, Roberto A., 2016. "Credit spreads, economic activity and fragmentation," Working Paper Series 1930, European Central Bank.
    20. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, "undated". "Diagnostic Expectations and Credit Cycles," Working Paper 350646, Harvard University OpenScholar.
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    22. David Martinez-Miera & Rafael Repullo, 2015. "Search for Yield," Working Papers wp2015_1507, CEMFI.
    23. Laurent Ferrara & Matteo Mogliani & Jean-Guillaume Sahuc, 2020. "High-frequency monitoring of growth-at-risk," CAMA Working Papers 2020-97, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    24. Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2018. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," NBER Working Papers 24757, National Bureau of Economic Research, Inc.
    25. Brandão-Marques, Luis & Chen, Qianying & Raddatz, Claudio & Vandenbussche, Jérôme & Xie, Peichu, 2022. "The riskiness of credit allocation and financial stability," Journal of Financial Intermediation, Elsevier, vol. 51(C).
    26. Mueller, Holger & Giroud, Xavier, 2018. "Firm Leverage and Regional Business Cycles," CEPR Discussion Papers 13355, C.E.P.R. Discussion Papers.
    27. Filardo, Andrew J. & Siklos, Pierre L., 2020. "The cross-border credit channel and lending standards surveys," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
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    78. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
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    405. Ralf Fendel & Nicola Mai & Oliver Mohr, 2019. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," WHU Working Paper Series - Economics Group 19-01, WHU - Otto Beisheim School of Management.
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    411. Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).
    412. Dang, Man & Puwanenthiren, Premkanth & Thai, Hong An & Mazur, Mieszko & Jones, Edward & Vo, Xuan Vinh, 2021. "Policy uncertainty and seasoned equity offerings methods," International Review of Financial Analysis, Elsevier, vol. 77(C).
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  13. English, William B. & Van den Heuvel, Skander J. & Zakrajsek, Egon, 2014. "Interest Rate Risk and Bank Equity Valuations," Working Papers 14-05, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Ippolito, Filippo & Ozdagli, Ali K. & Perez-Orive, Ander, 2018. "The transmission of monetary policy through bank lending: The floating rate channel," Journal of Monetary Economics, Elsevier, vol. 95(C), pages 49-71.
    2. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio & Rodriguez d'Acri, Costanza, 2022. "Interest rate risk and monetary policy normalisation in the euro area," Journal of International Money and Finance, Elsevier, vol. 124(C).
    3. Nimrod Segev & Sigal Ribon & Michael Kahn & Jakob De Haan, 2021. "Low Interest Rates and Banks' Interest Margins: Does Deposit Market Concentration Matter?," Bank of Israel Working Papers 2021.16, Bank of Israel.
    4. Javier Eliecer Pirateque-Niño & Daniela Rodríguez-Novoa & José Hernán Piñeros-Gordo, 2022. "Does monetary policy affect the net interest margin of credit institutions? Evidence from Colombia," Borradores de Economia 1197, Banco de la Republica de Colombia.
    5. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2021. "Banking on Deposits: Maturity Transformation without Interest Rate Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1091-1143, June.
    6. Johannes Bubeck & Angela Maddaloni & José-Luis Peydró, 2019. "Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register," Working Papers 1128, Barcelona School of Economics.
    7. Carlo Altavilla & Miguel Boucinha & José-Luis Peydró, 2017. "Monetary policy and bank profitability in a low interest rate environment," Economics Working Papers 1655, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2018.
    8. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
    9. Dong, Mei & Huangfu, Stella & Sun, Hongfei & Zhou, Chenggang, 2021. "A macroeconomic theory of banking oligopoly," European Economic Review, Elsevier, vol. 138(C).
    10. Paul, Pascal, 2023. "Banks, maturity transformation, and monetary policy," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    11. Hayo, Bernd & Henseler, Kai & Rapp, Marc Steffen, 2019. "Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound," Finance Research Letters, Elsevier, vol. 31(C).
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    14. Döttling, Robin, 2020. "Bank capital regulation in a zero interest environment," Working Paper Series 2422, European Central Bank.
    15. Entrop, O. & von la Hausse, L. & Wilkens, M., 2017. "Looking beyond banks’ average interest rate risk: Determinants of high exposures," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 204-218.
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    17. Simas Kucinskas, 2015. "Aggregate Risk and Efficiency of Mutual Funds," Tinbergen Institute Discussion Papers 15-113/VI, Tinbergen Institute.
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    23. Tran, Dung Viet & Kabir Hassan, M. & Houston, Reza, 2019. "How does listing status affect bank risk? The effects of crisis, market discipline and regulatory pressure on listed and unlisted BHCs," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 85-103.
    24. Bats, Joost V. & Giuliodori, Massimo & Houben, Aerdt C.F.J., 2023. "Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
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    28. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
    29. Koont, Naz & Santos, Tano & Zingales, Luigi, 2023. "Destabilizing digital "bank walks"," Working Papers 328, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    30. Mr. Divya Kirti, 2017. "Why Do Bank-Dependent Firms Bear Interest-Rate Risk?," IMF Working Papers 2017/003, International Monetary Fund.
    31. Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
    32. Foos, Daniel & Lütkebohmert, Eva & Markovych, Mariia & Pliszka, Kamil, 2017. "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve," Discussion Papers 24/2017, Deutsche Bundesbank.
    33. Martin Brown, 2020. "Negative Interest Rates and Bank Lending," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(01), pages 18-23, April.
    34. Christian Bittner & Alexander Rodnyansky & Farzad Saidi & Yannick Timmer, 2021. "Mixing QE and Interest Rate Policies at the Effective Lower Bound: Micro Evidence from the Euro Area," CESifo Working Paper Series 9363, CESifo.
    35. Paul, Pascal, 2020. "A macroeconomic model with occasional financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    36. Markus K. Brunnermeier & Yann Koby, 2018. "The Reversal Interest Rate," NBER Working Papers 25406, National Bureau of Economic Research, Inc.
    37. Laséen, Stefan, 2020. "Monetary Policy Surprises, Central Bank Information Shocks, and Economic Activity in a Small Open Economy," Working Paper Series 396, Sveriges Riksbank (Central Bank of Sweden).
    38. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2023-14, Federal Reserve Bank of Atlanta.
    39. Viet-Dung Tran & M. Kabir Hassan & Reza Houston, 2018. "Ownership Structure and Bank Risk: The Effects of Crisis, Market Discipline and Regulatory Pressure," NFI Working Papers 2018-WP-03, Indiana State University, Scott College of Business, Networks Financial Institute.
    40. Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David, 2016. "Banks' exposure to interest rate risk and the transmission of monetary policy," ESRB Working Paper Series 13, European Systemic Risk Board.
    41. Reiter, Michael & Zessner-Spitzenberg, Leopold, 2023. "Long-term bank lending and the transfer of aggregate risk," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    42. Qing L. Burke & Terry D. Warfield, 2021. "Bank interest rate risk management and valuation of earnings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4287-4337, September.
    43. Guillaume Vuillemey, 2019. "Bank Interest Rate Risk Management," Management Science, INFORMS, vol. 65(12), pages 5933-5956, December.
    44. Stijn Claessens & Nicholas S. Coleman & Michael S. Donnelly, 2017. "\"Low-For-Long\" Interest Rates and Banks' Interest Margins and Profitability : Cross-Country Evidence," International Finance Discussion Papers 1197, Board of Governors of the Federal Reserve System (U.S.).
    45. Florian Heider & Farzad Saidi & Glenn Schepens, 2021. "Banks and Negative Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 201-218, November.
    46. Juliane Begenau, 2018. "Comment on "Government Guarantees and the Valuation of American Banks"," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 146-156, National Bureau of Economic Research, Inc.
    47. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
    48. Van den Heuvel, Skander J., 2021. "Comment on “Low Interest Rates and Risk Incentives for Banks with Market Power,” by Whited, Wu, and Xiao," Journal of Monetary Economics, Elsevier, vol. 121(C), pages 175-179.
    49. Inessa BENCHORA & Aurélien LEROY & Louis RAFFESTIN, 2023. "Is Monetary Policy Transmission Green?," Bordeaux Economics Working Papers 2023-08, Bordeaux School of Economics (BSE).
    50. Adriano A. Rampini & S. Viswanathan & Guillaume Vuillemey, 2019. "Risk Management in Financial Institutions," NBER Working Papers 25698, National Bureau of Economic Research, Inc.
    51. Salvatore Perdichizzi & Matteo Cotugno & Giuseppe Torluccio, 2022. "Is the ECB’s conventional monetary policy state‐dependent? An event study approach," Manchester School, University of Manchester, vol. 90(2), pages 213-236, March.
    52. Bruno de Menna, 2021. "Monetary Policy, Credit Risk, and Profitability: The Influence of Relationship Lending on Cooperative Banks' Performance," Working Papers hal-03138738, HAL.
    53. Yifei Wang & Toni M. Whited & Yufeng Wu & Kairong Xiao, 2020. "Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation," NBER Working Papers 27258, National Bureau of Economic Research, Inc.
    54. Mun, Kyung-Chun, 2016. "Hedging bank market risk with futures and forwards," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 112-125.
    55. Nguyen, Thai Vu Hong & Pham, Tra Thi Thu & Nguyen, Canh Phuc & Nguyen, Thanh Cong & Nguyen, Binh Thanh, 2020. "Excess liquidity and net interest margins: Evidence from Vietnamese banks," Journal of Economics and Business, Elsevier, vol. 110(C).
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    57. Michael T. Kiley, 2013. "Monetary policy statements, Treasury yields, and private yields: before and after the zero lower bound," Finance and Economics Discussion Series 2013-16, Board of Governors of the Federal Reserve System (U.S.).
    58. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    59. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol, 2022. "Does the choice of monetary policy tool matter for systemic risk? The curious case of negative interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
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    62. Heider, Florian & Leonello, Agnese, 2021. "Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking," Working Paper Series 2593, European Central Bank.
    63. Gerlach, Jeffrey R. & Mora, Nada & Uysal, Pinar, 2018. "Bank funding costs in a rising interest rate environment," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 164-186.
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    69. W. Blake Marsh, 2022. "Supervisory Stringency, Payout Restrictions, and Bank Equity Prices," Research Working Paper RWP 22-01, Federal Reserve Bank of Kansas City.
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    Cited by:

    1. Dario Caldara & Cristina Fuentes-Albero & Simon Gilchrist & Egon Zakrajšek, 2016. "The Macroeconomic Impact of Financial and Uncertainty Shocks," International Finance Discussion Papers 1166, Board of Governors of the Federal Reserve System (U.S.).
    2. Schrimpf, Paul & Kearns, Jonathan & Ferrari, Massimo, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
    3. Stéphane Lhuissier & Urszula Szczerbowicz, 2022. "Monetary Policy and Corporate Debt Structure," Post-Print hal-04459541, HAL.
    4. Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
    5. Thomas B. King, 2016. "Expectation and Duration at the Effective Lower Bound," Working Paper Series WP-2016-21, Federal Reserve Bank of Chicago.
    6. Lloyd, S. P., 2017. "Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing," Cambridge Working Papers in Economics 1735, Faculty of Economics, University of Cambridge.
    7. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
    8. Atsushi Inoue & Barbara Rossi, 2019. "A New Approach to Measuring Economic Policy Shocks, with an Application to Conventional and Unconventional Monetary Policy," Working Papers 1082, Barcelona School of Economics.
    9. Sui-Jade Ho & Özer Karagedikli, 2021. "Effects of Monetary Policy Communication in Emerging Market Economies: Evidence from Malaysia," Working Papers wp44, South East Asian Central Banks (SEACEN) Research and Training Centre.
    10. Massimo Guidolin & Manuela Pedio, 2019. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," BAFFI CAREFIN Working Papers 19118, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Gang Wang & Yi Shen, 2023. "Did quantitative easing reduce the borrowing costs of firms? The risk‐taking channel," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 507-536, March.
    12. Armstrong, Christopher S. & Glaeser, Stephen & Kepler, John D., 2019. "Accounting quality and the transmission of monetary policy," Journal of Accounting and Economics, Elsevier, vol. 68(2).
    13. Ricco, Giovanni & Miranda-Agrippino, Silvia, 2018. "The Transmission of Monetary Policy Shocks," CEPR Discussion Papers 13396, C.E.P.R. Discussion Papers.
    14. Walentin, Karl, 2014. "Business cycle implications of mortgage spreads," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
    15. Brandao-Marques, Luis & Harjes, Thomas & Sahay, Ratna & Xue, Yi & Gelos, Gaston, 2021. "Monetary Policy Transmission in Emerging Markets and Developing Economies," CEPR Discussion Papers 15931, C.E.P.R. Discussion Papers.
    16. Giacomo Rella, 2021. "The Fed, housing and household debt over time," Department of Economics University of Siena 850, Department of Economics, University of Siena.
    17. Hoek, Jasper & Kamin, Steve & Yoldas, Emre, 2022. "Are higher U.S. interest rates always bad news for emerging markets?," Journal of International Economics, Elsevier, vol. 137(C).
    18. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2022. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," CAMA Working Papers 2022-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    19. David Aikman & Andreas Lehnert & Nellie Liang & Michele Modungno, 2020. "Credit, Financial Conditions, and Monetary Policy Transmission," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 141-179, June.
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    21. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    22. Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
    23. De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 112(C).
    24. De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Reprint: Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 114(C).
    25. Michael T. Kiley, 2020. "Pandemic Recession Dynamics: The Role of Monetary Policy in Shifting a U-Shaped Recession to a V-Shaped Rebound," Finance and Economics Discussion Series 2020-083, Board of Governors of the Federal Reserve System (U.S.).
    26. Saroj Bhattarai & Christopher J. Neely, 2016. "An Analysis of the Literature on International Unconventional Monetary Policy," Working Papers 2016-021, Federal Reserve Bank of St. Louis, revised 04 May 2020.
    27. Michael T. Belongia & Peter N. Ireland, 2016. "Targeting Constant Money Growth at the Zero Lower Bound," Boston College Working Papers in Economics 913, Boston College Department of Economics.
    28. John Geanakoplos & David Rappoport, 2019. "Credit Surfaces, Economic Activity, and Monetary Policy," 2019 Meeting Papers 1516, Society for Economic Dynamics.
    29. Jeremy C. Stein, 2014. "Incorporating Financial Stability Considerations into a Monetary Policy Framework : a speech at the International Research Forum on Monetary Policy, Washington, D.C., March 21, 2014," Speech 796, Board of Governors of the Federal Reserve System (U.S.).
    30. Seung Kwak, 2022. "How Does Monetary Policy Affect Prices of Corporate Loans?," Finance and Economics Discussion Series 2022-008, Board of Governors of the Federal Reserve System (U.S.).
    31. D’Amico, Stefania & Kaminska, Iryna, 2019. "Credit easing versus quantitative easing: evidence from corporate and government bond purchase programs," Bank of England working papers 825, Bank of England.
    32. Andreas Fuster & Stephanie Lo & Paul S. Willen, 2017. "The time-varying price of financial intermediation in the mortgage market," Staff Reports 805, Federal Reserve Bank of New York.
    33. Dario Caldara & Edward Herbst, 2019. "Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(1), pages 157-192, January.
    34. Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2023. "Interest Rate Surprises: A Tale of Two Shocks," Discussion Papers 2320, Centre for Macroeconomics (CFM).
    35. Nina Boyarchenko & Matthew Plosser & Valentin Haddad, 2018. "Federal Reserve and Market Confidence," 2018 Meeting Papers 781, Society for Economic Dynamics.
    36. Bora Durdu & Alex Martin & Ilknur Zer, 2019. "The Role of U.S. Monetary Policy in Global Banking Crises," Finance and Economics Discussion Series 2019-039, Board of Governors of the Federal Reserve System (U.S.).
    37. Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
    38. Stephan Luck & Tom Zimmermann, 2018. "Employment Effects of Unconventional Monetary Policy : Evidence from QE," Finance and Economics Discussion Series 2018-071, Board of Governors of the Federal Reserve System (U.S.).
    39. Ricardo J. Caballero & Alp Simsek, 2019. "Prudential Monetary Policy," NBER Working Papers 25977, National Bureau of Economic Research, Inc.
    40. Harimaya, Kozo & Jinushi, Toshiki, 2023. "The effects of quantitative easing policy on bank lending: Evidence from Japanese regional banks," Japan and the World Economy, Elsevier, vol. 67(C).
    41. Grimm, Niklas & Laeven, Luc & Popov, Alexander, 2021. "Quantitative easing and corporate innovation," Working Paper Series 2615, European Central Bank.
    42. Cecchetti, Stephen G. & Narita, Machiko & Rawat, Umang & Sahay, Ratna, 2023. "Addressing Spillovers from Prolonged U.S. Monetary Policy Easing," Journal of Financial Stability, Elsevier, vol. 64(C).
    43. Galindo Gil, Hamilton, 2021. "What kind of firm is more responsive to the unconventional monetary policy?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 188-200.
    44. Meinusch, Annette & Tillmann, Peter, 2016. "The macroeconomic impact of unconventional monetary policy shocks," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 58-67.
    45. Annalisa Ferrando & Alexander Popov & Gregory F. Udell, 2019. "Do SMEs Benefit from Unconventional Monetary Policy and How? Microevidence from the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 895-928, June.
    46. Uluc Aysun & Kiyoung Jeon & Zeynep Yom, 2016. "The credit channel is alive at the zero lower bound but how does it operate? Firm level evidence on the asymmetric effects of U.S. monetary policy," Villanova School of Business Department of Economics and Statistics Working Paper Series 27, Villanova School of Business Department of Economics and Statistics.
    47. Robert J. Kurtzman & Stephan Luck & Tom Zimmermann, 2017. "Did QE Lead Banks to Relax Their Lending Standards? Evidence from the Federal Reserve's LSAPs," Finance and Economics Discussion Series 2017-093, Board of Governors of the Federal Reserve System (U.S.).
    48. 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.
    49. Masashi Saito & Yoshihiko Hogen, 2014. "Portfolio Rebalancing Following the Bank of Japan's Government Bond Purchases: Empirical Analysis Using Data on Bank Loans and Investment Flows," Bank of Japan Research Papers 14-06-19, Bank of Japan.
    50. Francois Gourio & Jonas Fisher, 2015. "Risk Management for Monetary Policy at the Zero Lower Bound," 2015 Meeting Papers 665, Society for Economic Dynamics.
    51. Jeremy C. Stein, 2014. "Comments on \"Market Tantrums and Monetary Policy\": a speech at the 2014 U.S. Monetary Policy Forum, New York, New York, February 28, 2014," Speech 794, Board of Governors of the Federal Reserve System (U.S.).
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    143. Wan-Li Zhang & Chun-Ping Chang & Yang Xuan, 2022. "The impacts of climate change on bank performance: What’s the mediating role of natural disasters?," Economic Change and Restructuring, Springer, vol. 55(3), pages 1913-1952, August.
    144. Dunne, Peter & Everett, Mary & Stuart, Rebecca, 2015. "The Expanded Asset Purchase Programme – What, Why and How of Euro Area QE," Quarterly Bulletin Articles, Central Bank of Ireland, pages 61-71, July.
    145. Winston Wei Dou & Yan Ji, 2021. "External Financing and Customer Capital: A Financial Theory of Markups," Management Science, INFORMS, vol. 67(9), pages 5569-5585, September.
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    148. Andrew Lee Smith, 2015. "When does the cost channel pose a challenge to inflation targeting central banks?," Research Working Paper RWP 15-6, Federal Reserve Bank of Kansas City.
    149. Giovanni L. Violante, 2017. "Comment on "Dynamics of Housing Debt in the Recent Boom and Bust"," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 318-328, National Bureau of Economic Research, Inc.
    150. Paweł Węgrzyn, 2022. "Determinanty finansowania obligacjami banków w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 53(4), pages 399-420.
    151. James H. Stock & Mark W. Watson, 2019. "Slack and Cyclically Sensitive Inflation," NBER Working Papers 25987, National Bureau of Economic Research, Inc.
    152. Juan Carlos Berganza & Pedro del Río & Fructuoso Borrallo, 2016. "Determinants and implications of low global inflation rates," Occasional Papers 1608, Banco de España.
    153. Carlos Figueira & Ricardo Pinheiro-Alves, 2023. "Evolution of price-cost margins during the troika intervention," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(3), pages 315-351, September.
    154. Montero, José Manuel & Urtasun, Alberto, 2021. "Markup dynamics and financial frictions: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 316-341.
    155. Francesco Corsello & Valerio Nispi Landi, 2020. "Labor Market and Financial Shocks: A Time‐Varying Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 777-801, June.
    156. Janet Gao & Shan Ge & Lawrence D. W. Schmidt & Cristina Tello-Trillo, 2023. "How Do Health Insurance Costs Affect Firm Labor Composition and Technology Investment?," Working Papers 23-47, Center for Economic Studies, U.S. Census Bureau.
    157. Pau Roldan & Sophia Gilbukh, 2017. "Firm Dynamics and Pricing under Customer Capital Accumulation," 2017 Meeting Papers 1235, Society for Economic Dynamics.
    158. Mark Gertler, 2014. "Comment on "Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination"," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29, pages 354-365, National Bureau of Economic Research, Inc.
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    160. Pietro Dallari & Antonio Ribba, 2015. "Economic Shocks and their Effects on Unemployment in the Euro Area Periphery under the EMU," Department of Economics (DEMB) 0057, University of Modena and Reggio Emilia, Department of Economics "Marco Biagi".
    161. Friedrich, Benjamin U. & Zator, Michał, 2023. "Flexibility costs of debt: Danish exporters during the cartoon crisis," Journal of Financial Economics, Elsevier, vol. 148(2), pages 91-117.
    162. Friedrich, Christian, 2016. "Global inflation dynamics in the post-crisis period: What explains the puzzles?," Economics Letters, Elsevier, vol. 142(C), pages 31-34.
    163. Eileen van Straelen, 2021. "Desperate House Sellers: Distress Among Developers," Finance and Economics Discussion Series 2021-065, Board of Governors of the Federal Reserve System (U.S.).
    164. Robert G. Murphy, 2016. "Why Has Inflation Been So Unresponsive to Economic Activity in Recent Years?," Boston College Working Papers in Economics 920, Boston College Department of Economics.
    165. Sophocles N. Brissimis & Michalis-Panayiotis Papafilis, 2022. "The credit channel of monetary transmission in the US: Is it a bank lending channel, a balance sheet channel, or both, or neither?," Working Papers 300, Bank of Greece.
    166. Ademmer, Martin & Boysen-Hogrefe, Jens & Groll, Dominik & Jannsen, Nils & Kooths, Stefan & Meuchelböck, Saskia & Stolzenburg, Ulrich, 2021. "Deutsche Wirtschaft im Herbst 2021 - Delle im Aufholprozess [German Economy Autumn 2021 - Protracted catching-up process]," Kieler Konjunkturberichte 83, Kiel Institute for the World Economy (IfW Kiel).
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    170. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    171. Neri, Stefano & Nobili, Andrea & Conti, Antonio M., 2017. "Low inflation and monetary policy in the euro area," Working Paper Series 2005, European Central Bank.
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    173. Sangmin Oh & Ishita Sen & Ana-Maria Tenekedjieva, 2022. "Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies," Finance and Economics Discussion Series 2022-064, Board of Governors of the Federal Reserve System (U.S.).
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    175. López-Salido, J David & Loria, Francesca, 2019. "Inflation at Risk," CEPR Discussion Papers 14074, C.E.P.R. Discussion Papers.
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  16. Francisco Covas & Ben Rump & Egon Zakrajšek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Demetrescu, Matei & Hosseinkouchack, Mehdi & Rodrigues, Paulo M. M., 2023. "Tests of no cross-sectional error dependence in panel quantile regressions," Ruhr Economic Papers 1041, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    2. Baik, Hyeoncheol & Han, Sumin & Joo, Sunghoon & Lee, Kangbok, 2022. "A bank's optimal capital ratio: A time-varying parameter model to the partial adjustment framework," Journal of Banking & Finance, Elsevier, vol. 142(C).
    3. Laura Liu & Hyungsik Moon & Frank Schorfheide, 2016. "Forecasting with Dynamic Panel Data Models," PIER Working Paper Archive 16-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 21 Dec 2016.
    4. Marina Yu. Malkina & Anton O. Ovcharov, 2019. "Financial Stress Index as a Generalized Indicator of Financial Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 38-54, June.
    5. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    6. Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem, 2016. "Macroeconomic tail events with non-linear Bayesian VARs," Bank of England working papers 611, Bank of England.
    7. Wu, Deming & Fang, Ming & Wang, Qing, 2018. "An empirical study of bank stress testing for auto loans," Journal of Financial Stability, Elsevier, vol. 39(C), pages 79-89.
    8. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2019. "Predicting European bank stress tests: Survival of the fittest," Global Finance Journal, Elsevier, vol. 39(C), pages 44-57.
    9. Theophilos Papadimitriou & Periklis Gogas & Anna Agrapetidou, 2022. "The resilience of the U.S. banking system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2819-2835, July.
    10. Brummelhuis, Raymond & Luo, Zhongmin, 2019. "Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques," MPRA Paper 94779, University Library of Munich, Germany.
    11. Paul Glasserman & Mike Li, 2022. "Should Bank Stress Tests Be Fair?," Papers 2207.13319, arXiv.org, revised May 2023.
    12. Petrella, Lea & Raponi, Valentina, 2019. "Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 70-84.
    13. Miora Rakotonirainy & Jean Razafindravonona & Christian Rasolomanana, 2020. "Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 199-218.
    14. Luu, Hiep Ngoc & Vo, Xuan Vinh, 2021. "The Impact of Supervisory Stress Tests on Bank Ex-Ante Risk-Taking Behaviour: Empirical Evidence from a Quasi-Natural Experiment," International Review of Financial Analysis, Elsevier, vol. 75(C).
    15. Fang, Cao & Yeager, Timothy J., 2020. "A historical loss approach to community bank stress testing," Journal of Banking & Finance, Elsevier, vol. 118(C).
    16. Jose Fique, 2017. "The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0," Technical Reports 111, Bank of Canada.
    17. Meru Bhanot & Beverly Hirtle & Anna Kovner & James Vickery, 2014. "Assessing financial stability: the Capital and Loss Assessment under Stress Scenarios (CLASS) model," Staff Reports 663, Federal Reserve Bank of New York.
    18. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.
    19. Acharya, Viral V. & Berger, Allen N. & Roman, Raluca A., 2018. "Lending implications of U.S. bank stress tests: Costs or benefits?," Journal of Financial Intermediation, Elsevier, vol. 34(C), pages 58-90.
    20. Tirupam Goel & Isha Agarwal, 2021. "Limits of stress-test based bank regulation," BIS Working Papers 953, Bank for International Settlements.
    21. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).
    22. Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2020. "Interest Rate Uncertainty and the Predictability of Bank Revenues," Working Papers 202040, University of Pretoria, Department of Economics.
    23. Siemsen, Thomas & Vilsmeier, Johannes, 2018. "On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests," Discussion Papers 31/2018, Deutsche Bundesbank.
    24. Reber, Beat, 2017. "Does mispricing, liquidity or third-party certification contribute to IPO downside risk?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 25-53.
    25. Paul Glasserman & Gowtham Tangirala, 2015. "Are the Federal Reserve's Stress Test Results Predictable?," Working Papers 15-02, Office of Financial Research, US Department of the Treasury.
    26. Nguyen, Thach Vu Hong & Ahmed, Shamim & Chevapatrakul, Thanaset & Onali, Enrico, 2020. "Do stress tests affect bank liquidity creation?," Journal of Corporate Finance, Elsevier, vol. 64(C).
    27. Kok, Christoffer & Pancaro, Cosimo & Mirza, Harun, 2017. "Macro stress testing euro area banks' fees and commissions," Working Paper Series 2029, European Central Bank.
    28. Matthias Fischer & Daniel Kraus & Marius Pfeuffer & Claudia Czado, 2017. "Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression," Risks, MDPI, vol. 5(3), pages 1-13, July.
    29. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    30. Gerhard Hambusch & Sherrill Shaffer, 2016. "Forecasting bank leverage: an alternative to regulatory early warning models," Journal of Regulatory Economics, Springer, vol. 50(1), pages 38-69, August.
    31. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2018. "Many a little makes a mickle: Stress testing small and medium-sized German banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 237-253.
    32. Pavel Kapinos & Oscar A. Mitnik, 2016. "A Top-down Approach to Stress-testing Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 229-264, June.
    33. Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
    34. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).

  17. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers 965, Society for Economic Dynamics.

    Cited by:

    1. Salzmann, Leonard, 2020. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224588, Verein für Socialpolitik / German Economic Association.
    2. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial regimes and uncertainty shocks," BCAM Working Papers 1404, Birkbeck Centre for Applied Macroeconomics.
    3. G. Peersman & W. Wagner, 2014. "Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/874, Ghent University, Faculty of Economics and Business Administration.
    4. Robert Ulbricht & Ludwig Straub, 2015. "Endogenous Uncertainty and Credit Crunches," 2015 Meeting Papers 199, Society for Economic Dynamics.
    5. Chris Redl, 2015. "Macroeconomic Uncertainty in South Africa," Working Papers 509, Economic Research Southern Africa.
    6. Scotti, Chiara, 2016. "Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 1-19.
    7. Thomet, Jacqueline & Wegmueller, Philipp, 2021. "Technology Shocks And Hours Worked: A Cross-Country Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 1020-1052, June.
    8. Beck, Thorsten & Colciago, Andrea & Pfajfar, Damjan, 2014. "The role of financial intermediaries in monetary policy transmission," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 1-11.
    9. Andreas Bachmann & Stefan Leist, 2017. "Sudden stops and output: an empirical Markov switching analysis," Empirical Economics, Springer, vol. 53(2), pages 525-567, September.
    10. Jürgen Antony & D. Broer, 2015. "Euro area financial shocks and economic activity in The Netherlands," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 571-595, August.
    11. Salzmann, Leonard, 2019. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," EconStor Preprints 206691, ZBW - Leibniz Information Centre for Economics.

  18. Simon Gilchrist & Egon Zakrajšek, 2013. "The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk," Finance and Economics Discussion Series 2013-56, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, December.
    2. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    3. Darracq Pariès, Matthieu & Kühl, Michael, 2016. "The optimal conduct of central bank asset purchases," Working Paper Series 1973, European Central Bank.
    4. Massimo Guidolin & Manuela Pedio, 2019. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," BAFFI CAREFIN Working Papers 19118, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2014. "Unconventional monetary policies and the corporate bond market," Finance Research Letters, Elsevier, vol. 11(3), pages 203-212.
    6. Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
    7. Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    8. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    9. John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
    10. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).
    11. Philippas, Dionisis & Papadamou, Stephanos & Tomuleasa, Iuliana, 2019. "The role of leverage in quantitative easing decisions: Evidence from the UK," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 308-324.
    12. Xu Zhang, 2018. "Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases," 2018 Meeting Papers 894, Society for Economic Dynamics.
    13. Hip lit Torr, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
    14. Andrea Zaghini, 2017. "The CSPP at work: yield heterogeneity and the portfolio rebalancing channel," Temi di discussione (Economic working papers) 1157, Bank of Italy, Economic Research and International Relations Area.
    15. Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2021. "Monetary Policy and Economic Performance Since the Financial Crisis," Review, Federal Reserve Bank of St. Louis, vol. 103(4), pages 425-460, October.
    16. Hristov, Nikolay & Hülsewig, Oliver, 2017. "Unexpected loan losses and bank capital in an estimated DSGE model of the euro area," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 161-186.
    17. Xu Zhang, 2021. "Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases," Staff Working Papers 21-54, Bank of Canada.
    18. Yuriy Kitsul & Oleg Sokolinskiy & Jonathan H. Wright, 2022. "Market Effects of Central Bank Credit Markets Support Programs in Europe," International Finance Discussion Papers 1357, Board of Governors of the Federal Reserve System (U.S.).
    19. Annalisa Ferrando & Alexander Popov & Gregory F. Udell, 2019. "Do SMEs Benefit from Unconventional Monetary Policy and How? Microevidence from the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 895-928, June.
    20. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2018. "US Monetary Policy and International Bond Markets," Finance and Economics Discussion Series 2018-014, Board of Governors of the Federal Reserve System (U.S.).
    21. Elien Meuleman & Rudi Vander Vennet, 2022. "Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    22. Michael Kühl, 2018. "The Effects of Government Bond Purchases on Leverage Constraints of Banks and Non-Financial Firms," International Journal of Central Banking, International Journal of Central Banking, vol. 14(4), pages 93-161, September.
    23. Lo Duca, Marco & Nicoletti, Giulio & Vidal Martinez, Ariadna, 2014. "Global corporate bond issuance: what role for US quantitative easing?," Working Paper Series 1649, European Central Bank.
    24. Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "“An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis”," IREA Working Papers 201407, University of Barcelona, Research Institute of Applied Economics, revised Mar 2014.
    25. Bofinger, Peter & Geißendörfer, Lisa & Haas, Thomas & Mayer, Fabian, 2021. "Discovering the True Schumpeter - New Insights into the Finance and Growth Nexus," CEPR Discussion Papers 16851, C.E.P.R. Discussion Papers.
    26. Matthys, Thomas & Meuleman, Elien & Vander Vennet, Rudi, 2020. "Unconventional monetary policy and bank risk taking," Journal of International Money and Finance, Elsevier, vol. 109(C).
    27. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
    28. John Kandrac & Bernd Schlusche, 2015. "An agency problem in the MBS market and the solicited refinancing channel of large-scale asset purchases," Finance and Economics Discussion Series 2015-27, Board of Governors of the Federal Reserve System (U.S.).
    29. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2016. "The trade-off between monetary policy and bank stability," Working Paper Research 308, National Bank of Belgium.
    30. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2021. "Unconventional monetary policy, funding expectations, and firm decisions," Working Paper Series 2598, European Central Bank.
    31. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2023. "Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?," Empirical Economics, Springer, vol. 64(2), pages 539-565, February.
    32. Pedro Raffy Vartanian & Raphael Abs Musa de Lemos & Alvaro Alves de Moura Júnior, 2024. "Monetary Policy and Volatility of Value and Growth Stocks (2009-2021)," International Journal of Business and Management, Canadian Center of Science and Education, vol. 19(1), pages 1-46, February.
    33. Palazzo, Berardino & Yamarthy, Ram, 2022. "Credit risk and the transmission of interest rate shocks," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 120-136.
    34. Kok, Christoffer & Darracq Pariès, Matthieu & Hałaj, Grzegorz, 2016. "Bank capital structure and the credit channel of central bank asset purchases," Working Paper Series 1916, European Central Bank.
    35. Lea Steininger & Alexander A. Popov, 2023. "Monetary Policy and Local Industry Structure," Department of Economics Working Papers wuwp333, Vienna University of Economics and Business, Department of Economics.
    36. Feng, Xiaoguang, 2017. "Three essays on agricultural insurance and farm real estate investment," ISU General Staff Papers 201701010800007133, Iowa State University, Department of Economics.
    37. Holtemöller, Oliver, 2016. "Sovereign Stress, Banking Stress, and Corporate Financing Costs in the Euro Area," VfS Annual Conference 2016 (Augsburg): Demographic Change 145820, Verein für Socialpolitik / German Economic Association.
    38. Holtemöller, Oliver & Scherer, Jan-Christopher, 2022. "Sovereign stress, banking stress, and the monetary transmission mechanism in the Euro area," IWH Discussion Papers 3/2018, Halle Institute for Economic Research (IWH), revised 2022.
    39. Juan A. Montecino & Gerald Epstein, 2015. "Have Large Scale Asset Purchases Increased Bank Profits?," Working Papers Series 5, Institute for New Economic Thinking.
    40. Abidi, Nordine & Miquel-Flores, Ixart, 2018. "Who benefits from the corporate QE? A regression discontinuity design approach," Working Paper Series 2145, European Central Bank.
    41. Stefania D'Amico & Tim Seida, 2020. "Unexpected Supply Effects of Quantitative Easing and Tightening," Working Paper Series WP-2020-17, Federal Reserve Bank of Chicago.
    42. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    43. Altavilla, Carlo & Darracq Pariès, Matthieu & Nicoletti, Giulio, 2015. "Loan supply, credit markets and the euro area financial crisis," Working Paper Series 1861, European Central Bank.
    44. Hsu, Feng-Jui & Chen, Sheng-Hung, 2021. "US quantitative easing and firm’s default risk: The role of Corporate Social Responsibility (CSR)," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 650-664.
    45. Marcello Pericoli & Giovanni Veronese, 2017. "Monetary policy surprises over time," Temi di discussione (Economic working papers) 1102, Bank of Italy, Economic Research and International Relations Area.
    46. Apergis, Nicholas & Chatziantoniou, Ioannis & Cooray, Arusha, 2020. "Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty," International Review of Financial Analysis, Elsevier, vol. 71(C).
    47. John Kandrac & Bernd Schlusche, 2017. "Quantitative Easing and Bank Risk Taking: Evidence from Lending," Finance and Economics Discussion Series 2017-125, Board of Governors of the Federal Reserve System (U.S.).
    48. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
    49. Pegoraro, Stefano & Montagna, Mattia, 2021. "Issuance and valuation of corporate bonds with quantitative easing," Working Paper Series 2520, European Central Bank.
    50. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    51. Betz, Frank & De Santis, Roberto A., 2019. "ECB corporate QE and the loan supply to bank-dependent firms," Working Paper Series 2314, European Central Bank.
    52. Arestis, Philip & Phelps, Peter, 2017. "Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 88-102.
    53. Ki Young Park & Ji Yong Um, 2016. "Spillover Effects of United States’ Unconventional Monetary Policy on Korean Bond Markets: Evidence from High-Frequency Data," The Developing Economies, Institute of Developing Economies, vol. 54(1), pages 27-58, March.
    54. John Kandrac & Bernd Schlusche, 2021. "Quantitative Easing and Bank Risk Taking: Evidence from Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(4), pages 635-676, June.
    55. Siamak Javadi & Ali Nejadmalayeri & Timothy L Krehbiel, 2018. "Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads [Communication and monetary policy]," Review of Finance, European Finance Association, vol. 22(5), pages 1877-1909.
    56. Shaikh, Imlak & Vallabh, Priyanka, 2022. "Monetary policy uncertainty and gold price in India: Evidence from Reserve Bank of India's Monetary Policy Committee (MPC) review," Resources Policy, Elsevier, vol. 76(C).
    57. Mamatzakis, Emmanuel & Bermpei, Theodora, 2016. "What is the effect of unconventional monetary policy on bank performance?," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 239-263.

  19. Simon Gilchrist & Jae W. Sim & Egon Zakrajšek, 2012. "Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs," Finance and Economics Discussion Series 2012-08, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ricardo A. López & Huong D. Nguyen, 2015. "Real Exchange Rate Volatility and Imports of Intermediate Inputs: A Microeconometric Analysis of Manufacturing Plants," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 972-995, November.
    2. Archawa Paweenawat & Thitima Chucherd & Nakarin Amarase, 2017. "Uncovering Productivity Puzzles in Thailand: Lessons from Microdata," PIER Discussion Papers 73, Puey Ungphakorn Institute for Economic Research.
    3. Giorgio Calcagnini & Laura Gardini & Germana Giombini & Edgar S. Carrera, 2022. "Does too much liquidity generate instability?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 191-208, January.
    4. Stephane Verani, 2016. "Aggregate Consequences of Dynamic Credit Relationships," 2016 Meeting Papers 4, Society for Economic Dynamics.
    5. Çağatay Bircan & Orkun Saka, 2021. "Lending Cycles and Real Outcomes: Costs of Political Misalignment," The Economic Journal, Royal Economic Society, vol. 131(639), pages 2763-2796.
    6. Andrea Caggese & Ander Pérez-Orive, 2018. "Capital misallocation and secular stagnation," Economics Working Papers 1637, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2019.
    7. Ikeda, Daisuke, 2020. "Adverse selection, lemons shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 94-112.
    8. Jianjun Miao & Pengfei Wang & Tao Zha, 2014. "Liquidity Premia, Price-Rent Dynamics, and Business Cycles," FRB Atlanta Working Paper 2014-15, Federal Reserve Bank of Atlanta.
    9. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
    10. Daniel A. Dias & Carlos Robalo Marques & Christine Richmond, 2018. "A Tale of Two Sectors : Why is Misallocation Higher in Services than in Manufacturing?," International Finance Discussion Papers 1229, Board of Governors of the Federal Reserve System (U.S.).
    11. Anna Kovner & Peter Van Tassel, 2022. "Evaluating Regulatory Reform: Banks' Cost of Capital and Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1313-1367, August.
    12. Jianjun Miao & Pengfei Wang & Tao Zha, 2020. "Discount Shock, Price-Rent Dynamics, and the Business Cycle," FRB Atlanta Working Paper 2020-7, Federal Reserve Bank of Atlanta.
    13. Tuochen Li & Dongri Han & Shaosong Feng & Lei Liang, 2019. "Can Industrial Co-Agglomeration between Producer Services and Manufacturing Reduce Carbon Intensity in China?," Sustainability, MDPI, vol. 11(15), pages 1-15, July.
    14. Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
    15. Tiago Cavalcanti & Bruno Martins & Cezar Santos & Joseph Kaboski, 2019. "Dispersion in Financing Costs and Development," 2019 Meeting Papers 1576, Society for Economic Dynamics.
    16. Dai, Xiaoyong & Cheng, Liwei, 2016. "Market distortions and aggregate productivity: Evidence from Chinese energy enterprises," Energy Policy, Elsevier, vol. 95(C), pages 304-313.
    17. Huiyu Li, 2016. "Leverage and Productivity," 2016 Meeting Papers 795, Society for Economic Dynamics.
    18. Gita Gopinath & Şebnem Kalemli-Özcan & Loukas Karabarbounis & Carolina Villegas-Sanchez, 2017. "Capital Allocation and Productivity in South Europe," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1915-1967.
    19. Chang-Tai Hsieh & Zheng (Michael) Song, 2015. "Grasp the Large, Let Go of the Small: The Transformation of the State Sector in China," NBER Working Papers 21006, National Bureau of Economic Research, Inc.
    20. Upper, Christian & Marconi, Daniela, 2017. "Capital Misallocation And Financial Development: A Sector-Level Analysis," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168205, Verein für Socialpolitik / German Economic Association.
    21. Bircan, Çağatay & Saka, Orkun, 2021. "Lending cycles and real outcomes: costs of political misalignment," LSE Research Online Documents on Economics 115214, London School of Economics and Political Science, LSE Library.
    22. Andrea L. Eisfeldt & Yu Shi, 2018. "Capital Reallocation," NBER Working Papers 25085, National Bureau of Economic Research, Inc.
    23. Felipe Meza & Sangeeta Pratap & Carlos Urrutia, 2019. "Credit, Misallocation and Productivity: A Disaggregated Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 61-86, October.
    24. Robert J. Kurtzman & David Zeke, 2017. "Misallocation Costs of Digging Deeper into the Central Bank Toolkit," Finance and Economics Discussion Series 2017-076, Board of Governors of the Federal Reserve System (U.S.).
    25. Ling-Yun He & Sha Liu, 2023. "Impact of China Railway Express on Regional Resource Mismatch—Empirical Evidence from China," Sustainability, MDPI, vol. 15(11), pages 1-17, May.
    26. F. Knobloch & J. -F. Mercure, 2016. "The behavioural aspect of green technology investments: a general positive model in the context of heterogeneous agents," Papers 1603.06888, arXiv.org.
    27. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
    28. Christian Moser & Farzad Saidi & Benjamin Wirth & Stefanie Wolter, 2021. "Credit Supply, Firms, and Earnings Inequality," ECONtribute Discussion Papers Series 086, University of Bonn and University of Cologne, Germany.
    29. Shuangjie Li & Huifang E & Liming Wang & Huidan Xue, 2023. "Factor Misallocation and Optimization in China’s Manufacturing Industry," Sustainability, MDPI, vol. 15(5), pages 1-21, February.
    30. T. Libert, 2017. "Misallocation Before, During and After the Great Recession," Working papers 658, Banque de France.
    31. Timothy J. Besley & Isabelle A. Roland & John Van Reenen, 2020. "The Aggregate Consequences of Default Risk: Evidence from Firm-level Data," NBER Working Papers 26686, National Bureau of Economic Research, Inc.
    32. Peitz, Martin & Shin, Dongsoo, 2015. "Capital-labor distortions in project finance," Working Papers 15-01, University of Mannheim, Department of Economics.
    33. Wolski, Marcin & Barbiero, Francesca & Popov, Alexander, 2018. "Debt Overhang and Investment Efficiency," CEPR Discussion Papers 12784, C.E.P.R. Discussion Papers.
    34. Javad Sadeghzadeh, 2014. "Innovation Subsidies: Misallocation and Technology Upgrade," 2014 Papers psa1207, Job Market Papers.
    35. Lenzu, Simone & Manaresi, Francesco, 2018. "Do Marginal Products Differ from User Costs? Micro-Level Evidence from Italian Firms," Working Papers 276, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    36. Barbiero, Francesca & Popov, Alexander & Wolski, Marcin, 2020. "Debt overhang, global growth opportunities, and investment," Journal of Banking & Finance, Elsevier, vol. 120(C).
    37. Stefano Fasani & Haroon Mumtaz & Lorenza Rossi, 2023. "Monetary Policy and Firm Dynamics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 278-296, January.
    38. David Zeke, 2017. "Financial Frictions, Volatility, and Skewness," 2017 Meeting Papers 1421, Society for Economic Dynamics.
    39. Marios Karabarbounis & Patrick Macnamara, 2020. "Online Appendix to "Misallocation and Financial Frictions: the Role of Long-Term Financing"," Online Appendices 19-18, Review of Economic Dynamics.
    40. Li Lin & Dimitrios P. Tsomocos & Alexandros Vardoulakis, 2014. "Debt Deflation Effects of Monetary Policy," Finance and Economics Discussion Series 2014-37, Board of Governors of the Federal Reserve System (U.S.).
    41. Schmid, Lukas & David, Joel & Zeke, David, 2018. "Risk-Adjusted Capital Allocation and Misallocation," CEPR Discussion Papers 13205, C.E.P.R. Discussion Papers.
    42. Maurice Bun & Theoplasti Kolaiti & Tolga Özden, 2023. "Misallocation and Productivity Growth: a Meta-analysis," Working Papers 774, DNB.
    43. Julian Neira, 2015. "Bankruptcy and Cross-Country Differences in Productivity," Discussion Papers 1511, University of Exeter, Department of Economics.
    44. Cavalcanti, Tiago & Kaboski, Joseph P. & Martins, Bruno & Santos, Cezar, 2023. "Financing Costs and Development," IDB Publications (Working Papers) 13186, Inter-American Development Bank.
    45. Stephane Verani, 2017. "Online Appendix to "Aggregate Consequences of Dynamic Credit Relationships"," Online Appendices 15-244, Review of Economic Dynamics.
    46. Dardati, Evangelina & Saygili, Meryem, 2020. "Aggregate impacts of cap-and-trade programs with heterogeneous firms," Energy Economics, Elsevier, vol. 92(C).
    47. Ricardo Lopez, 2015. "Long Real Exchange Rate Volatility and Imports of Intermediate Inputs: A Microeconometric Analysis of Manufacturing Plants," Working Papers 86, Brandeis University, Department of Economics and International Business School.
    48. Zheng Liu & Pengfei Wang & Zhiwei Xu, 2021. "Interest Rate Liberalization and Capital Misallocations," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 373-419, April.
    49. Alexander Murray, 2017. "What Explains the Post-2004 U.S.Productivity Slowdown?," CSLS Research Reports 2017-05, Centre for the Study of Living Standards.
    50. Ek, Chanbora & Wu, Guiying Laura, 2018. "Investment-cash flow sensitivities and capital misallocation," Journal of Development Economics, Elsevier, vol. 133(C), pages 220-230.
    51. Huang Yi & Yang Xiugang, 2018. "Investors’ Sentiment and Enterprise's Non-Efficient investment: The Intermediary Effect of Stock Price Volatility," International Journal of Business and Social Research, LAR Center Press, vol. 8(7), pages 1-14, July.
    52. Hu, Yiming & Xu, Mingxia, 2021. "Xi's anti-corruption campaign and the speed of capital structure adjustment," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    53. Miguel Faria-e-Castro & Pascal Paul & Juan M. Sanchez, 2022. "Evergreening," Working Paper Series 2022-14, Federal Reserve Bank of San Francisco.
    54. Sangeeta Pratap & Carlos Urrutia & Felipe Meza, 2017. "Credit, Misallocation and Productivity Growth: A Disaggregated Analysis," 2017 Meeting Papers 538, Society for Economic Dynamics.
    55. Shen, Junyan, 2023. "Capital misallocation and financial market frictions: Empirical evidence from equity cost of capital," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 486-504.
    56. Xiangyuan Meng & Haoge Guo & Jie Li, 2023. "Economic policy uncertainty and corporate investment: evidence from China," Economic Change and Restructuring, Springer, vol. 56(6), pages 4491-4529, December.
    57. Nathan S. Balke & Enrique Martínez García & Zheng Zeng, 2017. "Understanding the Aggregate Effects of Credit Frictions and Uncertainty," Globalization Institute Working Papers 317, Federal Reserve Bank of Dallas.
    58. Hsuan-Li Su, 2019. "Financial Frictions, Capital Misallocation, and Input-Output Linkages," 2019 Meeting Papers 978, Society for Economic Dynamics.
    59. Cao, Wenbin & Duan, Xiaoman & Niu, Xu, 2023. "Access to finance, bureaucracy, and capital allocation efficiency," Journal of Economics and Business, Elsevier, vol. 125.
    60. Simone Lenzu & Francesco Manaresi, 2019. "Sources and implications of resource misallocation: new evidence from firm-level marginal products and user costs," Questioni di Economia e Finanza (Occasional Papers) 485, Bank of Italy, Economic Research and International Relations Area.
    61. Florian Gerth, 2017. "Allocative efficiency of UK firms during the Great Recession," Studies in Economics 1714, School of Economics, University of Kent.
    62. Patricio Toro, 2019. "The Persistent Effect of a Credit Crunch on Output and Productivity: Technical or Allocative Efficiency?," Working Papers Central Bank of Chile 837, Central Bank of Chile.
    63. Dekle, Robert & Tsang, Andrew, 2023. "Monetary policy shocks and resource misallocations in the Periphery: Evidence from Chinese provincial bond yields," Journal of International Money and Finance, Elsevier, vol. 137(C).
    64. Yagli , Ibrahim & Cetenak , Emin Huseyin, 2023. "Financial Development and Capital Allocation Efficiency Nexus: Do Sources and Dimensions of Financial Development Matter?," Journal of Economic Development, The Economic Research Institute, Chung-Ang University, vol. 48(2), pages 83-103, June.
    65. Burak R. Uras & Ping Wang, 2017. "Production Flexibility, Misallocation and Total Factor Productivity," NBER Working Papers 23970, National Bureau of Economic Research, Inc.
    66. Han, Xuehui & Epetia, Ma. Christina F. & Cheng, Yuan, 2021. "“Subsidies” or “taxes”? Corporate credit misallocation induced by the nexus of state-owned enterprises and state-owned banks," Journal of Asian Economics, Elsevier, vol. 76(C).
    67. Marios Karabarbounis & Patrick Macnamara, 2019. "Misallocation and Credit Market Constraints: the Role of Long-Term Financing," Working Paper 19-1, Federal Reserve Bank of Richmond.
    68. Nadav Ben Zeev, 2018. "The Tfp Channel Of Credit Supply Shocks," Working Papers 1802, Ben-Gurion University of the Negev, Department of Economics.
    69. Ambrocio, Gene & Jokivuolle, Esa, 2017. "Should bank capital requirements be less risk-sensitive because of credit constraints?," Bank of Finland Research Discussion Papers 10/2017, Bank of Finland.
    70. Caggese, Andrea & Pérez-Orive, Ander, 2022. "How stimulative are low real interest rates for intangible capital?," European Economic Review, Elsevier, vol. 142(C).
    71. Eric Bartelsman & Paloma Lopez-Garcia & Giorgio Presidente, 2018. "Cyclical and Stuctural Variation in Resource Reallocation: Evidence for Europe," Tinbergen Institute Discussion Papers 18-057/VI, Tinbergen Institute.
    72. Bartelsman, Eric & Lopez-Garcia, Paloma & Presidente, Giorgio, 2018. "Cyclical and structural variation in resource allocation: evidence for Europe," Working Paper Series 2210, European Central Bank.
    73. Matteo Bugamelli & Francesca Lotti & Monica Amici & Emanuela Ciapanna & Fabrizio Colonna & Francesco D�Amuri & Silvia Giacomelli & Andrea Linarello & Francesco Manaresi & Giuliana Palumbo & Filippo , 2018. "Productivity growth in Italy: a tale of a slow-motion change," Questioni di Economia e Finanza (Occasional Papers) 422, Bank of Italy, Economic Research and International Relations Area.
    74. Balke, Nathan S. & Martínez-García, Enrique & Zeng, Zheng, 2021. "In no uncertain terms: The effect of uncertainty on credit frictions and monetary policy," Economic Modelling, Elsevier, vol. 100(C).
    75. Bircan, Çağatay & Saka, Orkun, 2021. "Lending cycles and real outcomes: costs of political misalignment," LSE Research Online Documents on Economics 118902, London School of Economics and Political Science, LSE Library.
    76. Mahmoudzadeh, Amineh & Nili, Masoud & Nili, Farhad, 2018. "Real effects of working capital shocks: Theory and evidence from micro data," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 191-218.
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    2. David Zeke, 2017. "Financial Frictions, Volatility, and Skewness," 2017 Meeting Papers 1421, Society for Economic Dynamics.
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    4. Marios Karabarbounis & Patrick Macnamara, 2021. "Misallocation and Financial Frictions: the Role of Long-Term Financing," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 44-63, April.

  23. Simon Gilchrist & Egon Zakrajšek, 2011. "Credit Spreads and Business Cycle Fluctuations," NBER Working Papers 17021, National Bureau of Economic Research, Inc.

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  25. Simon Gilchrist & Egon Zakrajsek, 2007. "Investment and the Cost of Capital: New Evidence from the Corporate Bond Market," NBER Working Papers 13174, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018. "Investment, Tobin’s q, and interest rates," Journal of Financial Economics, Elsevier, vol. 130(3), pages 620-640.
    2. David F. Burgess & Richard O. Zerbe, 2013. "Appropriate discounting for benefit–cost analysis," Chapters, in: Scott O. Farrow & Richard Zerbe, Jr. (ed.), Principles and Standards for Benefit–Cost Analysis, chapter 7, pages 247-263, Edward Elgar Publishing.
    3. Charlotta Groth & Hashmat Khan, 2010. "Investment Adjustment Costs: An Empirical Assessment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1469-1494, December.
    4. Areendam Chanda & Bibhudutta Panda, 2012. "Unbalanced Productivity Growth in US States: Evidence from Factor Prices," Departmental Working Papers 2012-04, Department of Economics, Louisiana State University.
    5. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    6. Kundu, Shohini, 2023. "The externalities of fire sales: evidence from collateralized loan obligations," ESRB Working Paper Series 141, European Systemic Risk Board.
    7. Stewen, Iryna & Hoffmann, Mathias & Stiefel, Michael, 2021. "Growing Like Germany: Local Public Debt, Local Banks, Low Private Investment," CEPR Discussion Papers 15912, C.E.P.R. Discussion Papers.
    8. Delong Li & Mr. Nicolas E Magud & Mr. Fabian Valencia, 2015. "Corporate Investment in Emerging Markets: Financing vs. Real Options Channel," IMF Working Papers 2015/285, International Monetary Fund.
    9. Tor Brunzell & Eva Liljeblom & Mika Vaihekoski, 2013. "Determinants of capital budgeting methods and hurdle rates in Nordic firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(1), pages 85-110, March.
    10. Gallegati, Marco & Ramsey, James B., 2014. "The forward looking information content of equity and bond markets for aggregate investments," Journal of Economics and Business, Elsevier, vol. 75(C), pages 1-24.
    11. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
    12. Richard Fabling & Norman Gemmell & Richard Kneller & Lynda Sanderson, 2013. "Estimating Firm-Level Effective Marginal Tax Rates and the User Cost of Capital in New Zealand," Working Papers 13_14, Motu Economic and Public Policy Research.
    13. Frank, Murray Z. & Shen, Tao, 2016. "Investment and the weighted average cost of capital," Journal of Financial Economics, Elsevier, vol. 119(2), pages 300-315.
    14. Fabling, Richard & Gemmell, Norman & Kneller, Richard & Sanderson, Lynda, 2013. "Estimating Firm-Level Effective Tax Rates and the User Cost of Capital in New Zealand," Working Paper Series 18787, Victoria University of Wellington, Chair in Public Finance.
    15. Banerjee, Ryan & Hofmann, Boris & Mehrotra, Aaron N., 2020. "Corporate investment and the exchange rate: The financial channel," BOFIT Discussion Papers 6/2020, Bank of Finland Institute for Emerging Economies (BOFIT).
    16. Simon Gilchrist & Raphael Schoenle & Jae W. Sim & Egon Zakrajšek, 2015. "Inflation Dynamics During the Financial Crisis," Finance and Economics Discussion Series 2015-12, Board of Governors of the Federal Reserve System (U.S.).
    17. Simcha Barkai, 2020. "Declining Labor and Capital Shares," Journal of Finance, American Finance Association, vol. 75(5), pages 2421-2463, October.
    18. Schoder, Christian, 2013. "Credit vs. demand constraints: The determinants of US firm-level investment over the business cycles from 1977 to 2011," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 1-27.
    19. Jonathan Hambur & Gianni La Cava, 2018. "Do Interest Rates Affect Business Investment? Evidence from Australian Company-level Data," RBA Research Discussion Papers rdp2018-05, Reserve Bank of Australia.
    20. Mr. Serhan Cevik & Fedor Miryugin, 2019. "Death and Taxes: Does Taxation Matter for Firm Survival?," IMF Working Papers 2019/078, International Monetary Fund.
    21. Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 138-150.
    22. Xu, Zhaoxia, 2020. "Economic policy uncertainty, cost of capital, and corporate innovation," Journal of Banking & Finance, Elsevier, vol. 111(C).
    23. Tatom, John, 2007. "Is Tax Policy Retarding Growth in Morocco?," MPRA Paper 6011, University Library of Munich, Germany.
    24. Tao Shen, 2017. "Credit spreads and investment opportunities," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 117-152, January.
    25. Douglas W. Elmendorf & Louise M. Sheiner, 2017. "Federal Budget Policy with an Aging Population and Persistently Low Interest Rates," Journal of Economic Perspectives, American Economic Association, vol. 31(3), pages 175-194, Summer.
    26. Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.
    27. Jennie Bai, 2012. "Have Financial Markets Become More Informative?," 2012 Meeting Papers 1193, Society for Economic Dynamics.
    28. Barkai, Simcha, 2016. "Declining Labor and Capital Shares," Working Papers 257, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    29. Jiang, Fuxiu & Cai, Wenjing & Wang, Xue & Zhu, Bing, 2018. "Multiple large shareholders and corporate investment: Evidence from China," Journal of Corporate Finance, Elsevier, vol. 50(C), pages 66-83.
    30. Lukasz Rachel & Thomas D. Smith, 2017. "Are Low Real Interest Rates Here to Stay?," International Journal of Central Banking, International Journal of Central Banking, vol. 13(3), pages 1-42, September.
    31. Simon Gilchrist & Jae W. Sim & Egon Zakrajšek, 2012. "Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs," Finance and Economics Discussion Series 2012-08, Board of Governors of the Federal Reserve System (U.S.).
    32. Steven A. Sharpe & Gustavo A. Suarez, 2013. "The insensitivity of investment to interest rates: Evidence from a survey of CFOs," Finance and Economics Discussion Series 2014-2, Board of Governors of the Federal Reserve System (U.S.).
    33. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2011. "Fundamentals, Financial Factors, and the Dynamics of Investment in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 88-105, May.
    34. Belke Ansgar, 2014. "Europäische Zentralbank: kontraproduktive unkonventionelle Geldpolitik und der Euro-Wechselkurs / European Central Bank: counter-productive unconventional monetary policy and the exchange rate," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 65(1), pages 117-132, January.
    35. Farrant, Katie & Inkinen, Mika & Rutkowska, Magda & Theodoridis, Konstantinos, 2013. "What can company data tell us about financing and investment decisions?," Bank of England Quarterly Bulletin, Bank of England, vol. 53(4), pages 361-370.
    36. Bibhudutta Panda, 2017. "Schooling and productivity growth: evidence from a dual growth accounting application to U.S. states," Journal of Productivity Analysis, Springer, vol. 48(2), pages 193-221, December.
    37. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Asset prices, Credit and Investment in Emerging Markets," NIPE Working Papers 18/2009, NIPE - Universidade do Minho.
    38. Diana Bonfim & Cláudia Custódio, 2021. "The sensitivity of SME’s investment and employment to the cost of debt financing," Working Papers w202115, Banco de Portugal, Economics and Research Department.
    39. Mr. Serhan Cevik & Fedor Miryugin, 2018. "Does Taxation Stifle Corporate Investment? Firm-Level Evidence from ASEAN Countries," IMF Working Papers 2018/034, International Monetary Fund.
    40. Emilios Avgouleas, 2010. "The Regulation of Short Sales and its Reform," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 8(01), pages 24-27, April.
    41. Coulibaly Brahima & Millar Jonathan N., 2011. "The "Elusive" Capital-User Cost Elasticity Revisited," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-41, September.
    42. Thiago Revil T. Ferreira & Daniel Ostry & John Rogers, 2023. "Firm Financial Conditions and the Transmission of Monetary Policy," Finance and Economics Discussion Series 2023-037, Board of Governors of the Federal Reserve System (U.S.).
    43. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    44. Areendam Chanda & Bibhudutta Panda, 2016. "Productivity Growth In Goods And Services Across The Heterogeneous States Of America," Economic Inquiry, Western Economic Association International, vol. 54(2), pages 1021-1045, April.
    45. Simon Gilchrist & Jae W. Sim & Egon Zakrajšek, 2012. "Misallocation and Financial Frictions: Some Direct Evidence From the Dispersion in Borrowing Costs," NBER Working Papers 18550, National Bureau of Economic Research, Inc.
    46. Tuomas Peltonen & Ricardo Sousa & Isabel Vansteenkiste, 2012. "Investment in emerging market economies," Empirical Economics, Springer, vol. 43(1), pages 97-119, August.
    47. Baldi, Guido & Lange, Alexander, 2019. "The Interest Rate Sensitivity of Investment," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 52(2), pages 173-190.
    48. Li, Xiao-Lin & Li, Xin & Si, Deng-Kui, 2020. "Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    49. Serena Fatica, 2017. "Measurement and Allocation of Capital Inputs With Taxes: A Sensitivity Analysis for OECD Countries," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 63(1), pages 1-29, March.
    50. Steven A. Sharpe & Gustavo A. Suarez, 2021. "Why Isn’t Business Investment More Sensitive to Interest Rates? Evidence from Surveys," Management Science, INFORMS, vol. 67(2), pages 720-741, February.

  26. Egon Zakrajsek & Andrew Levin & Roberto Perli, 2005. "The Determinants of Market Frictions in the Corporate Market," Computing in Economics and Finance 2005 379, Society for Computational Economics.

    Cited by:

    1. Robert N. Collender, 2008. "Enterprise Credit Default Swaps and Market Discipline – Preliminary Analysis," FHFA Staff Working Papers 08-02, Federal Housing Finance Agency.
    2. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    3. Mamatzakis, Emmanuel & Tsionas, Mike G., 2015. "How are market preferences shaped? The case of sovereign debt of stressed euro-area countries," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 106-116.
    4. Patrick Augustin & Jan Schnitzler, 2021. "Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis," European Financial Management, European Financial Management Association, vol. 27(1), pages 120-146, January.
    5. Leonardo Becchetti & Andrea Carpentieri & Iftekhar Hasan, 2012. "Option†Adjusted Delta Credit Spreads: a Cross†Country Analysis," European Financial Management, European Financial Management Association, vol. 18(2), pages 183-217, March.
    6. Jae B. Kim & Pervin Shroff & Dushyantkumar Vyas & Regina Wittenberg‐Moerman, 2018. "Credit Default Swaps and Managers’ Voluntary Disclosure," Journal of Accounting Research, Wiley Blackwell, vol. 56(3), pages 953-988, June.
    7. Mayordomo, Sergio & Peña, Juan Ignacio & Romo, Juan, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB wb096303, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    8. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads: a comparative analysis of the United States, the United Kingdom and the euro area," Bank of Finland Research Discussion Papers 34/2009, Bank of Finland.
    9. Game Aaron & Wu Jason, 2013. "A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 163-192, April.
    10. Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011. "A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    11. Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011. "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 258-273, August.

  27. Andrew T. Levin & Fabio M. Natalucci & Egon Zakrajšek, 2004. "The magnitude and cyclical behavior of financial market frictions," Finance and Economics Discussion Series 2004-70, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Francisco Covas & Wouter Denhaan, 2006. "The role of debt and equity finance over the business cycle," 2006 Meeting Papers 407, Society for Economic Dynamics.
    2. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
    3. Christopher M. Gunn & Alok Johri & Marc-Andre Letendre, 2020. "Charge-offs, Defaults and the Financial Accelerator," Department of Economics Working Papers 2020-17, McMaster University.
    4. De Fiore, Fiorella & Teles, Pedro & Tristani, Oreste, 2009. "Monetary Policy and the Financing of Firms," Working Paper Series 1123, European Central Bank.
    5. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    6. Nicolas Petrosky-Nadeau, "undated". "TFP during a Credit Crunch," GSIA Working Papers 2010-E70, Carnegie Mellon University, Tepper School of Business.
    7. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
    8. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    9. Queijo von Heideken, Virginia, 2008. "How Important are Financial Frictions in the U.S. and the Euro Area?," Working Paper Series 223, Sveriges Riksbank (Central Bank of Sweden).
    10. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2010. "Financial factors in economic fluctuations," Working Paper Series 1192, European Central Bank.
    11. Gelain, Paolo, 2010. "The external finance premium in the Euro area: A dynamic stochastic general equilibrium analysis," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 49-71, March.
    12. Gabriela Castro & Ricardo M. Felix & Paulo Julio & Jose R. Maria, 2014. "Fiscal multipliers in a small euro area economy: How big can they get in crisis times?," CEFAGE-UE Working Papers 2014_07, University of Evora, CEFAGE-UE (Portugal).
    13. Ippei Fujiwara & Yuki Teranishi, 2008. "Real Exchange Rate Dynamics under Staggered Loan Contracts," IMES Discussion Paper Series 08-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
    14. Rossana Merola, 2013. "The role of financial frictions in the 2007-2008 crisis: an estimated DSGE model," Working Papers Department of Economics 2013/08, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    15. Stéphane Lhuissier & Fabien Tripier, 2016. "Do Uncertainty Shocks Always Matter for Business Cycles?," Working Papers 2016-19, CEPII research center.
    16. Rossana Merola, 2013. "The role of financial frictions during the crisis: An estimated DSGE model," Working Paper Research 249, National Bank of Belgium.
    17. Nicolas Petrosky-Nadeau, 2008. "Credit, Vacancies and Unemployment Fluctuations," 2008 Meeting Papers 640, Society for Economic Dynamics.
    18. Chugh, Sanjay K., 2013. "Costly external finance and labor market dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2882-2912.
    19. Giacomo Candian & Mikhail Dmitriev, 2019. "Default Recovery Rates and Aggregate Fluctuations," Working Papers wp2019_09_01, Department of Economics, Florida State University.
    20. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2009. "Investment Shocks and the Relative Price of Investment," CEPR Discussion Papers 7598, C.E.P.R. Discussion Papers.
    21. Marina-Eliza Spaliara & Serafeim Tsoukas, 2010. "The Role of Bond Finance in Firms' Survival During the Asian Crisis," Working Papers 032010, Hong Kong Institute for Monetary Research.
    22. Gelain, Paolo, 2010. "The external finance premium in the euro area A useful indicator for monetary policy?," Working Paper Series 1171, European Central Bank.
    23. Tommaso Monacelli & Ester Faia, 2005. "Optimal Interest Rate Rules, Asset Prices and Credit Frictions," Computing in Economics and Finance 2005 452, Society for Computational Economics.
    24. Holly, S. & Santoro, E., 2008. "Financial Fragility, Heterogeneous Firms and the Cross Section of the Business Cycle," Cambridge Working Papers in Economics 0846, Faculty of Economics, University of Cambridge.
    25. Gross, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
    26. Cristina Fuentes-Albero, 2014. "Financial Frictions, Financial Shocks, and Aggregate Volatility," Finance and Economics Discussion Series 2014-84, Board of Governors of the Federal Reserve System (U.S.).
    27. Paul Mizen & Serafeim Tsoukas, 2012. "The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises," Working Papers 2012_08, Business School - Economics, University of Glasgow.
    28. Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
    29. Mishkin, Frederic S., 2010. "Monetary policy flexibility, risk management, and financial disruptions," Journal of Asian Economics, Elsevier, vol. 21(3), pages 242-246, June.
    30. Elena Afanasyeva & Jochen Güntner, 2018. "Bank Market Power and the Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2018-006, Board of Governors of the Federal Reserve System (U.S.).
    31. De Graeve Ferre, 2007. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Money Macro and Finance (MMF) Research Group Conference 2006 83, Money Macro and Finance Research Group.
    32. Kévin Beaubrun-Diant & Fabien Tripier, 2009. "The Credit Spread Cycle with Matching Friction," Working Papers hal-00430809, HAL.
    33. Yasin Mimir, 2011. "Financial Intermediaries, Leverage Ratios and Business Cycles," 2011 Meeting Papers 19, Society for Economic Dynamics.
    34. Mr. Fabian Valencia, 2008. "Banks’ Precautionary Capital and Persistent Credit Crunches," IMF Working Papers 2008/248, International Monetary Fund.
    35. Surach Tanboon & Suchot Piamchol & Tanawat Ruenbanterng & Paiboon Pongpaichet, 2009. "Impacts of Financial Factors on Thailand's Business Cycle Fluctuations," Working Papers 2009-01, Monetary Policy Group, Bank of Thailand.
    36. Salih Fendoglu, 2011. "Optimal Monetary Policy Rules, Financial Amplification, and Uncertain Business Cycles," Working Papers 1126, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    37. De Fiore, Fiorella & Tristani, Oreste, 2009. "Optimal monetary policy in a model of the credit channel," Working Paper Series 1043, European Central Bank.
    38. Finkelstein Shapiro, Alan & González Gómez, Andrés, 2017. "Credit market imperfections, labor markets, and leverage dynamics in emerging economies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 44-63.
    39. Christopher M. Gunn, 2018. "Overaccumulation, Interest, and Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 479-511, March.
    40. Smets, Frank & Villa, Stefania, 2016. "Slow recoveries: Any role for corporate leverage?," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 54-85.
    41. Spaliara, Marina-Eliza & Tsoukas, Serafeim, 2013. "What matters for corporate failures in Asia? Exploring the role of firm-specific characteristics during the Asian crisis," Structural Change and Economic Dynamics, Elsevier, vol. 26(C), pages 83-96.
    42. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    43. Meisenzahl, Ralf R., 2014. "Verifying the state of financing constraints: Evidence from U.S. business credit contracts," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 58-77.
    44. Fiorella De Fiore & Oreste Tristani, 2011. "Credit and the Natural Rate of Interest," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 407-440, March.
    45. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers 230, Society for Economic Dynamics.
    46. Gareth Anderson & Ambrogio Cesa-Bianchi, 2020. "Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity," IMF Working Papers 2020/267, International Monetary Fund.
    47. Cavalcanti, Marco Antonio F.H., 2010. "Credit market imperfections and the power of the financial accelerator: A theoretical and empirical investigation," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 118-144, March.
    48. Virginia Queijo, 2005. "Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area," Computing in Economics and Finance 2005 306, Society for Computational Economics.
    49. Andrew Levin, 2007. "Comment on "Monetary Policy in Europe versus the United States: What Explains the Difference?"," NBER Chapters, in: International Dimensions of Monetary Policy, pages 533-545, National Bureau of Economic Research, Inc.
    50. Paul Mizen & Serafeim Tsoukas, 2006. "Evidence on the external finance premium from the US and emerging Asian corporate bond markets," Discussion Papers 06/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    51. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    52. Christopher M. Gunn & Alok Johri & Marc-André Letendre, 2019. "Charge-offs, Defaults and U.S. Business Cycles," Carleton Economic Papers 19-04, Carleton University, Department of Economics.
    53. Jelena Zivanovic, 2019. "What Does Structural Analysis of the External Finance Premium Say About Financial Frictions?," Staff Working Papers 19-38, Bank of Canada.
    54. Virginia Queijo von Heideken, 2009. "How Important are Financial Frictions in the United States and the Euro Area?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(3), pages 567-596, September.
    55. Christopher M. Gunn & Alok Johri, 2013. "An Expectations-Driven Interpretation of the "Great Recession"," Carleton Economic Papers 13-02, Carleton University, Department of Economics.
    56. Aysun, Uluc & Brady, Ryan & Honig, Adam, 2013. "Financial frictions and the strength of monetary transmission," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1097-1119.
    57. Mr. Jorge Roldos, 2006. "Disintermediation and Monetary Transmission in Canada," IMF Working Papers 2006/084, International Monetary Fund.
    58. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    59. Michael Bleaney & Veronica Veleanu, 2017. "Currency risk in corporate bond spreads in the eurozone," Discussion Papers 2017/07, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    60. Merola, Rossana, 2010. "Optimal monetary policy in a small open economy with financial frictions," Discussion Paper Series 1: Economic Studies 2010,01, Deutsche Bundesbank.
    61. Ralf R. Meisenzahl, 2011. "Verifying the state of financing constraints: evidence from U.S. business credit contracts," Finance and Economics Discussion Series 2011-04, Board of Governors of the Federal Reserve System (U.S.).
    62. Seungjun Baek, 2020. "Uncertainty, Incentives, and Misallocation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(7), pages 1821-1851, October.
    63. Lein, Sarah & , & ,, 2022. "Firm net worth, external finance premia and monitoring cost: Estimates based on firm-level data," CEPR Discussion Papers 17508, C.E.P.R. Discussion Papers.
    64. Zia Abbas & Syed Faizan Iftikhar & Shaista Alam, 2019. "Does bank capital affect the monetary policy transmission mechanism? A case study of Emerging Market Economies (EMEs)," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-20, June.
    65. Shingo Watanabe, 2012. "The Role Of Technology And Nontechnology Shocks In Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1287-1321, November.
    66. John Bailey Jones & Sangeeta Pratap, 2017. "An Estimated Structural Model of Entrepreneurial Behavior," Working Paper 17-7, Federal Reserve Bank of Richmond.
    67. Ines Drumond & José Jorge, 2009. "Basel II Capital Requirements, Firms' Heterogeneity, and the Business Cycle," FEP Working Papers 307, Universidade do Porto, Faculdade de Economia do Porto.
    68. Hitoshi Fuchi & Ichiro Muto & Hiroshi Ugai, 2005. "A Historical Evaluation of Financial Accelerator Effects in Japan's Economy," Bank of Japan Working Paper Series 05-E-8, Bank of Japan.
    69. Josef Hollmayr & Michael Kuehl, 2016. "Imperfect Information about Financial Frictions and Consequences for the Business Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 179-207, October.
    70. Spaliara, Marina-Eliza & Tsoukas, Serafeim, 2017. "Corporate failures and the denomination of corporate bonds: Evidence from emerging Asian economies over two financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 84-97.
    71. Yagihashi, Takeshi, 2011. "Estimating Taylor rules in a credit channel environment," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 344-364.
    72. Balke, Nathan S. & Martínez-García, Enrique & Zeng, Zheng, 2021. "In no uncertain terms: The effect of uncertainty on credit frictions and monetary policy," Economic Modelling, Elsevier, vol. 100(C).
    73. Tan, Anthony C.K. & Goh, Kim-Leng, 2009. "Financial Disintermediation in the 1990s : Implications on Monetary Policy in Malaysia," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 50(1), pages 1-27, June.
    74. Mimir, Yasin, 2012. "Financial intermediaries, credit Shocks and business cycles," MPRA Paper 39648, University Library of Munich, Germany.

  28. Jonathan McCarthy & Egon Zakrajšek, 2002. "Inventory dynamics and business cycles: what has changed?," Staff Reports 156, Federal Reserve Bank of New York.

    Cited by:

    1. Ryan R. Brady & Victoria A. Greenfield, 2010. "COMPETING EXPLANATIONS OF U.S. DEFENSE INDUSTRY CONSOLIDATION IN THE 1990s AND THEIR POLICY IMPLICATIONS," Contemporary Economic Policy, Western Economic Association International, vol. 28(2), pages 288-306, April.
    2. Irvine, F. Owen & Schuh, Scott, 2005. "Inventory investment and output volatility," International Journal of Production Economics, Elsevier, vol. 93(1), pages 75-86, January.
    3. Claudia Custodio & Bernardo Mendes & Diogo Mendes, 2021. "Firm responses to violent conflicts," NOVAFRICA Working Paper Series wp2106, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.
    4. Hyunseung Oh & Nicolas Crouzet, 2013. "Can news shocks account for the business-cycle dynamics of inventories?," 2013 Meeting Papers 504, Society for Economic Dynamics.
    5. Ryan R. Brady & Derek Stimel, 2011. "How the Housing and Financial Wealth Effects have changed over Time," Departmental Working Papers 31, United States Naval Academy Department of Economics.
    6. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    7. Domicián Máté, 2010. "Estimating Labour Market Performance in Twenty-Three OECD Countries, 1980-2009," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(38), pages 213-232, December.
    8. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2021. "Is There News in Inventories?," Working Paper series 21-26, Rimini Centre for Economic Analysis.
    9. Christopher T. Conlon & Julie Holland Mortimer, 2008. "Demand Estimation Under Incomplete Product Availability," NBER Working Papers 14315, National Bureau of Economic Research, Inc.
    10. Bezemer, Dirk & Grydaki, Maria, 2013. "Debt and the U.S. Great Moderation," MPRA Paper 47399, University Library of Munich, Germany.
    11. Irvine, F. Owen & Schuh, Scott, 2007. "Interest sensitivity and volatility reductions: Cross-section evidence," International Journal of Production Economics, Elsevier, vol. 108(1-2), pages 31-42, July.
    12. Christoph Görtz & Christopher Gunn & Thomas Lubik, 2018. "Taking Stock of TFP News Shocks: The Inventory Comovement Puzzle," Carleton Economic Papers 18-05, Carleton University, Department of Economics, revised 14 Jul 2018.
    13. Lai, Richard, 2007. "Inventory and the Shape of the Earth," MPRA Paper 4754, University Library of Munich, Germany.
    14. Steven J. Davis & James A. Kahn, 2008. "Interpreting the Great Moderation: Changes in the Volatility of Economic Activity at the Macro and Micro Levels," Journal of Economic Perspectives, American Economic Association, vol. 22(4), pages 155-180, Fall.
    15. Karen E. Dynan & Douglas W. Elmendorf & Daniel E. Sichel, 2005. "Can financial innovation help to explain the reduced volatility of economic activity?," Finance and Economics Discussion Series 2005-54, Board of Governors of the Federal Reserve System (U.S.).
    16. F. Owen Irvine & Scott Schuh, 2007. "The roles of comovement and inventory investment in the reduction of output volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    17. Thomas A. Lubik & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2014. "What Inventory Behavior Tells Us About How Business Cycles Have Changed," Working Paper 14-6, Federal Reserve Bank of Richmond.
    18. Jürgen Bierbaumer-Polly & Werner Hölzl, 2016. "Business Cycle Dynamics and Firm Heterogeneity. Evidence for Austria Using Survey Data," WIFO Working Papers 504, WIFO.
    19. Rangan Gupta, 2009. "Bayesian Methods Of Forecasting Inventory Investment," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 113-126, March.
    20. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Staff Working Papers 04-39, Bank of Canada.
    21. Bezemer, Dirk & Grydaki, Maria, 2014. "Financial fragility in the Great Moderation," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 169-177.
    22. Thomas Beissinger, 2006. "Neue Anforderungen an eine gesamtwirtschaftliche Stabilisierung," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 277/2006, Department of Economics, University of Hohenheim, Germany.
    23. Martha L. Olney & Aaron Pacitti, 2017. "The Rise Of Services, Deindustrialization, And The Length Of Economic Recovery," Economic Inquiry, Western Economic Association International, vol. 55(4), pages 1625-1647, October.
    24. Barrera, Carlos R., 2011. "Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles," Working Papers 2011-009, Banco Central de Reserva del Perú.
    25. Paul Blackley, 2011. "Production Adjustments for Consumer Durables and the Great Moderation," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(3), pages 291-302, September.
    26. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
    27. Valerie A. Ramey & Daniel J. Vine, 2005. "Tracking the source of the decline in GDP volatility: an analysis of the automobile industry," Finance and Economics Discussion Series 2005-14, Board of Governors of the Federal Reserve System (U.S.).
    28. Morley, James & Singh, Aarti, 2009. "Inventory Mistakes and the Great Moderation," Working Papers 2009-04, University of Sydney, School of Economics, revised Feb 2015.
    29. Mertens, Karel, 2008. "Deposit rate ceilings and monetary transmission in the US," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1290-1302, October.
    30. William Martin & Robert Rowthorn, 2004. "Will Stability Last?," CESifo Working Paper Series 1324, CESifo.
    31. James Morley & Aarti Singh, 2015. "Inventory Shocks and the Great Moderation," Discussion Papers 2012-42A, School of Economics, The University of New South Wales.
    32. James Morley & Aarti Singh, 2012. "Inventory Mistakes and the Great Moderation," Discussion Papers 2012-42, School of Economics, The University of New South Wales.
    33. James A. Kahn, 2008. "Durable goods inventories and the Great Moderation," Staff Reports 325, Federal Reserve Bank of New York.
    34. Marcel Förster, 2013. "The Great Moderation: Inventories, Shocks or Monetary Policy?," MAGKS Papers on Economics 201348, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    35. Hendrickson, Joshua, 2010. "An Overhaul of Fed Doctrine: Nominal Income and the Great Moderation," MPRA Paper 20346, University Library of Munich, Germany.
    36. James Morley & Aarti Singh, 2016. "Inventory Shocks and the Great Moderation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 699-728, June.
    37. Bezemer, Dirk J & Grydaki, Maria, 2012. "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper 36356, University Library of Munich, Germany.
    38. Louis J. Maccini & Adrian Pagan, 2006. "Inventories, Fluctuations and Business Cycles. Working paper #4," NCER Working Paper Series 4, National Centre for Econometric Research.
    39. Hendrickson, Joshua R., 2012. "An overhaul of Federal Reserve doctrine: Nominal income and the Great Moderation," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 304-317.
    40. Christoph Gortz & Christopher Gunn & Thomas Lubik, 2022. "Split Personalities: The Changing Nature of Technology Shocks," Carleton Economic Papers 22-06, Carleton University, Department of Economics.
    41. Paula Garda & Volker Ziemann, 2014. "Economic Policies and Microeconomic Stability: A Literature Review and Some Empirics," OECD Economics Department Working Papers 1115, OECD Publishing.
    42. Julio L. Ortiz, 2022. "Spread Too Thin: The Impact of Lean Inventories," International Finance Discussion Papers 1342, Board of Governors of the Federal Reserve System (U.S.).
    43. Adam Fein, 2004. "The Myth of Decline: A New Perspective on the Supply Chain and Changing Inventory-Sales Ratios," Working Papers 04-18, Center for Economic Studies, U.S. Census Bureau, revised Feb 2005.
    44. Grydaki, Maria & Bezemer, Dirk, 2013. "Did Credit Decouple from Output in the Great Moderation?," MPRA Paper 47424, University Library of Munich, Germany.
    45. J. Christina Wang, 2006. "Financial innovations, idiosyncratic risk, and the joint evolution of real and financial volatilities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    46. Manjola Tase, 2013. "Sectoral allocation, risk efficiency and the Great Moderation," Finance and Economics Discussion Series 2013-73, Board of Governors of the Federal Reserve System (U.S.).
    47. Manjola Tase, 2016. "Sectoral Dynamics and Business Cycles," Finance and Economics Discussion Series 2016-066, Board of Governors of the Federal Reserve System (U.S.).

  29. Seth B. Carpenter & William C. Whitesell & Egon Zakrajšek, 2001. "Capital requirements, business loans, and business cycles: an empirical analysis of the standardized approach in the new Basel Capital Accord," Finance and Economics Discussion Series 2001-48, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, "undated". "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Staff Working Papers 04-30, Bank of Canada.
    3. Mark A. Carlson & Galina B. Hale, 2005. "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Role-over," Cowles Foundation Discussion Papers 1506, Cowles Foundation for Research in Economics, Yale University.
    4. Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
    5. de Wet, Albertus H. & van Eyden, Reneé & Gupta, Rangan, 2009. "Linking global economic dynamics to a South African-specific credit risk correlation model," Economic Modelling, Elsevier, vol. 26(5), pages 1000-1011, September.
    6. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    7. Chakraborty, Suparna & Allen, Linda, 2007. "Revisiting the Level Playing Field: International Lending Responses to Divergences in Japanese Bank Capital Regulations from the Basel Accord," MPRA Paper 1805, University Library of Munich, Germany.
    8. Marc Saidenberg & Til Schuermann & May, "undated". "The New Basel Capital Accord and Questions for Research," Center for Financial Institutions Working Papers 03-14, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Ines Drumond & José Jorge, 2009. "Basel II Capital Requirements, Firms' Heterogeneity, and the Business Cycle," FEP Working Papers 307, Universidade do Porto, Faculdade de Economia do Porto.

  30. Jonathan McCarthy & Egon Zakrajšek, 2000. "Microeconomic inventory adjustment: evidence from U.S. firm-level data," Finance and Economics Discussion Series 2000-24, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Aubhik Khan & Julia K. Thomas, 2002. "Inventories and the business cycle: an equilibrium analysis of (S,s) policies," Working Papers 02-20, Federal Reserve Bank of Philadelphia.
    2. Tommaso Ciarli & André Lorentz & Maria Savona & Marco Valente, 2010. "The Effect of Consumption and Production Structure on Growth and Distribution. A Micro to Macro Model," Post-Print hal-03261674, HAL.

  31. Matthew Higgins & Egon Zakrajšek, 2000. "Purchasing power parity: three stakes through the heart of the unit root null," Finance and Economics Discussion Series 2000-22, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ansgar Belke & Rainer Fehn, 2001. "Institutions and Structural Unemployment: Do Capital-Market Imperfections Matter?," Vienna Economics Papers vie0106, University of Vienna, Department of Economics.
    2. Stacie Beck & Cagay Coskuner, 2007. "Tax Effects on the Real Exchange Rate," Review of International Economics, Wiley Blackwell, vol. 15(5), pages 854-868, November.
    3. Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics 404., Boston College Department of Economics, revised 16 Nov 1999.
    4. Alba, Joseph D. & Papell, David H., 2007. "Purchasing power parity and country characteristics: Evidence from panel data tests," Journal of Development Economics, Elsevier, vol. 83(1), pages 240-251, May.
    5. J. McCarthy, 1999. "Pass-through of exchange rates and import prices to domestic inflation in some industrialised economies," BIS Working Papers 79, Bank for International Settlements.
    6. Maican, Florin G. & Sweeney, Richard J., 2013. "Real exchange rate adjustment in European transition countries," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
    7. Fischer, Christoph, 2004. "PPP: a Disaggregated View," Discussion Paper Series 1: Economic Studies 2004,07, Deutsche Bundesbank.
    8. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
    9. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies.
    10. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
    11. Papell, David H., 2002. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
    12. Gilles DUFRENOT & Laurent MATHIEU & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration," International Finance 0309003, University Library of Munich, Germany.
    13. Ansgar Belke & Rainer Fehn & Neil Foster, 2003. "Does Venture Capital Investment Spur Employment Growth?," CESifo Working Paper Series 930, CESifo.
    14. Ansgar BELKE & Jens H. HEINE, 2010. "Specialisation Patterns and the Synchronicity of Regional Employment Cycles in Europe," EcoMod2004 330600020, EcoMod.
    15. Georgios Chortareas & George Kapetanios, 2005. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005 36, Money Macro and Finance Research Group.
    16. M.Abimbola OYINLOLA & Luwatosin ADENIYI & Nd Festus O.EGWAIKHIDE*, 2011. "Purchasing Power Parity Hypothesis in the Selected African Countries," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 21, pages 93-110.
    17. Ekaterini Panopoulou & Dimitrios Malliaropulos & Theologos Pantelidis & Nikitas Pittis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," Economics Department Working Paper Series n1640306, Department of Economics, National University of Ireland - Maynooth.
    18. Fischer, Christoph & Porath, Daniel, 2006. "A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications," Discussion Paper Series 1: Economic Studies 2006,23, Deutsche Bundesbank.
    19. Haluk Erlat, 2009. "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW.
    20. Moon, H.R. & Perron, P., 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    21. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics.
    22. Ansgar Belke & Jens Heine, 2007. "On the endogeneity of an exogenous OCA-criterion: specialisation and the correlation of regional business cycles in Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(1), pages 15-44, March.
    23. Seung Chan Ahn & Hyungsik Roger Moon, 2001. "Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-2, International Conferences on Panel Data.
    24. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
    25. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part V: The Stationarity of Exchange Rates," Economics Discussion / Working Papers 03-09, The University of Western Australia, Department of Economics.

  32. James Harrigan & Egon Zakrajšek, 2000. "Factor supplies and specialization in the world economy," Finance and Economics Discussion Series 2000-43, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Trevor A. Reeve, 2002. "Factor endowments and industrial structure," International Finance Discussion Papers 731, Board of Governors of the Federal Reserve System (U.S.).
    2. Fitzgerald, Doireann & Hallak, Juan Carlos, 2004. "Specialization, factor accumulation and development," Journal of International Economics, Elsevier, vol. 64(2), pages 277-302, December.
    3. Ioannis Bournakis & Michela Vecchi & Francesco Venturini, 2018. "Off‐Shoring, Specialization and R&D," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 64(1), pages 26-51, March.
    4. Peter K. Schott, 2003. "One Size Fits All? Heckscher-Ohlin Specialization in Global Production," American Economic Review, American Economic Association, vol. 93(3), pages 686-708, June.
    5. Guadalupe Serrano & Francisco Requena & Joan Martin-Montaner, 2012. "Immigration, Factor Endowments and the Productive Structure of Spanish Regions, 1996--2005," Regional Studies, Taylor & Francis Journals, vol. 46(7), pages 927-945, November.
    6. Marianna Belloc, 2009. "International Specialization and Labor Unions: Evidence from OECD Countries," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 34-50, February.
    7. Trevor A. Reeve, 2006. "Factor Endowments and Industrial Structure," Review of International Economics, Wiley Blackwell, vol. 14(1), pages 30-53, February.
    8. Sylvain Dessy & Flaubert Mbiekop & Stéphane Pallage, 2005. "On the Mechanics of Trade-Induced Structural Transformation," Cahiers de recherche 0529, CIRPEE.
    9. Nickell, Stephen J & Redding, Stephen & Swaffield, Joanna, 2002. "Educational attainment, labour market institutions, and the structure of production," LSE Research Online Documents on Economics 3706, London School of Economics and Political Science, LSE Library.
    10. Rimvie Enoc Kabore, 2021. "Manufacturing export performance and public capital: an analysis by country technology position," Working Papers hal-03359665, HAL.
    11. Du, Julan & He, Qing & Zhang, Ce, 2022. "Risk sharing and industrial specialization in China," Journal of Comparative Economics, Elsevier, vol. 50(2), pages 599-626.
    12. Demmou Lilas, 2009. "Déterminants et nature des spécialisations Nord-Sud : quelques enseignements tirés de la littérature empirique," Revue d'économie politique, Dalloz, vol. 119(1), pages 71-94.
    13. Yuk Ying Chang & Sudipto Dasgupta, 2002. "What Explains Cross‐country Industry Growth Patterns? Trade, Development and the Equity Financing Channel," International Review of Finance, International Review of Finance Ltd., vol. 3(2), pages 105-129, June.
    14. James Harrigan, 2001. "Specialization and the volume of trade: do the data obey the laws?," Staff Reports 140, Federal Reserve Bank of New York.
    15. Peter M. Morrow, 2008. "East is East and West is West: A Ricardian-Heckscher-Ohlin Model of Comparative Advantage," Working Papers 575, Research Seminar in International Economics, University of Michigan.
    16. Max Albert & Jürgen Meckl, 2003. "Involuntary Unemployment and the Existence of GDP Functions," Metroeconomica, Wiley Blackwell, vol. 54(1), pages 79-88, February.
    17. DUDLEY, Leonard & MOENIUS, Johannes, 2003. "Directed Technical Change and International Trade," Cahiers de recherche 2003-18, Universite de Montreal, Departement de sciences economiques.
    18. Cusolito , Ana P. & Lederman, Daniel, 2009. "Technology adoption and factor proportions in open economies : theory and evidence from the global computer industry," Policy Research Working Paper Series 5043, The World Bank.
    19. Kwok Tong Soo, 2008. "From Licence Raj to Market Forces: The Determinants of Industrial Structure in India after Reform," Economica, London School of Economics and Political Science, vol. 75(298), pages 222-243, May.
    20. Andrew B. Bernard & J. Bradford Jensen, 2001. "Who Dies? International Trade, Market Structure, and Industrial Restructuring," NBER Working Papers 8327, National Bureau of Economic Research, Inc.
    21. Sebnem Kalemli-Ozcan & Bent E. Sørensen & Oved Yosha, 2003. "Risk Sharing and Industrial Specialization: Regional and International Evidence," American Economic Review, American Economic Association, vol. 93(3), pages 903-918, June.
    22. Redding, Stephen, 2002. "Specialization dynamics," LSE Research Online Documents on Economics 210, London School of Economics and Political Science, LSE Library.
    23. Agyeman, Domena A. & Ochuodho, Thomas O., 2021. "Factor endowment and structural change in Kentucky forest industry," Forest Policy and Economics, Elsevier, vol. 131(C).
    24. Miguel Urrutia & Carlos Esteban Posada & Adriana Pontón & Oscar Martínez, 2000. "Comercio Exterior y Actividad Económica de Colombia en el Siglo XX: Exportaciones Totales y Tradicionales," Borradores de Economia 163, Banco de la Republica de Colombia.
    25. Martins Bitans & Egils Kauzens, 2004. "Impact of the Euro Adoption on the Economy of Latvia," Working Papers 2004/02, Latvijas Banka.
    26. Sonia Naccache, 2009. "The Political Economy Of Trade Policy In Tunisia," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 31-58.
    27. Sonia Naccache, 2008. "The Political Economy of Trade Policy in Tunisia," Working Papers 438, Economic Research Forum, revised 09 Jan 2008.
    28. Dudley, Leonard & Moenius, Johannes, 2007. "The great realignment: How factor-biased innovation reshaped comparative advantage in the U.S. and Japan, 1970-1992," Japan and the World Economy, Elsevier, vol. 19(1), pages 112-132, January.
    29. Georg Schaur & Chong Xiang & Anya Savikhin, 2008. "Factor Uses and the Pattern of Specialization," Review of International Economics, Wiley Blackwell, vol. 16(2), pages 368-382, May.
    30. Omar Joya, 2019. "How should resource‐rich countries diversify? Estimating forward‐linkage effects of mining on productivity growth," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 27(2), pages 457-473, February.

  33. J. McCarthy & E. Zakrajsek, 1999. "Microeconomic inventory adjustment and aggregate dynamics," BIS Working Papers 63, Bank for International Settlements.

    Cited by:

    1. Higson, C. & Holly, S. & Kattuman, P. & S. Platis, 2001. "The Business Cycle, Macroeconomic Shocks and the Cross Section: The Growth of UK Quoted Companies," Cambridge Working Papers in Economics 0114, Faculty of Economics, University of Cambridge.
    2. Brown, Ward & Haegler, Urs, 2004. "Financing constraints and inventories," European Economic Review, Elsevier, vol. 48(5), pages 1091-1123, October.
    3. Chikán, Attila & Kovács, Erzsébet & Matyusz, Zsolt & Sass, Magdolna & Vakhal, Péter, 2016. "Long-term trends in inventory investment in traditional market and post-socialist economies," International Journal of Production Economics, Elsevier, vol. 181(PA), pages 14-23.
    4. Paula R. Worthington, 1998. "Inventories and output volatility," Working Paper Series WP-98-21, Federal Reserve Bank of Chicago.

  34. Jonathan McCarthy & Egon Zakrajšek, 1998. "Trade inventories," Staff Reports 53, Federal Reserve Bank of New York.

    Cited by:

    1. Jonathan McCarthy & Egon Zakrajšek, 2000. "Microeconomic inventory adjustment: evidence from U.S. firm-level data," Finance and Economics Discussion Series 2000-24, Board of Governors of the Federal Reserve System (U.S.).
    2. Jonathan McCarthy & Egon Zakrajšek, 1998. "Microeconomic inventory adjustment and aggregate dynamics," Staff Reports 54, Federal Reserve Bank of New York.
    3. Adam Fein, 2004. "The Myth of Decline: A New Perspective on the Supply Chain and Changing Inventory-Sales Ratios," Working Papers 04-18, Center for Economic Studies, U.S. Census Bureau, revised Feb 2005.
    4. Paula R. Worthington, 1998. "Inventories and output volatility," Working Paper Series WP-98-21, Federal Reserve Bank of Chicago.

  35. Egon Zakrajšek, 1997. "Retail inventories, internal finance, and aggregate fluctuations," Research Paper 9722, Federal Reserve Bank of New York.

    Cited by:

    1. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
    2. Rose Cunningham, 2004. "Finance Constraints and Inventory Investment: Empirical Tests with Panel Data," Macroeconomics 0411015, University Library of Munich, Germany.
    3. Jonathan McCarthy & Egon Zakrajšek, 1998. "Microeconomic inventory adjustment and aggregate dynamics," Staff Reports 54, Federal Reserve Bank of New York.
    4. Robert E. Carpenter & Steven M. Fazzari & Bruce C. Petersen, 1995. "Three Financing Constraint Hypotheses and Inventory Investment: New Tests With Time and Sectoral Heterogeneity," Macroeconomics 9510001, University Library of Munich, Germany, revised 09 Oct 1995.
    5. Alejandro Diaz-Bautista & Julio R. Escandon, 2003. "A Simple Dynamic Model of Credit and Aggregate Demand," Macroeconomics 0308001, University Library of Munich, Germany.

Articles

  1. Gilchrist, Simon & Schoenle, Raphael & Sim, Jae & Zakrajšek, Egon, 2023. "Financial heterogeneity and monetary union," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 21-40.
    See citations under working paper version above.
  2. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2022. "Sovereign risk and financial risk," Journal of International Economics, Elsevier, vol. 136(C).
    See citations under working paper version above.
  3. Kohlscheen, Emanuel & Lombardi, Marco & Zakrajšek, Egon, 2021. "Income Inequality and the depth of economic downturns," Economics Letters, Elsevier, vol. 205(C).
    See citations under working paper version above.
  4. Claudio Borio & Piti Disyatat & Dora Xia & Egon Zakrajšek, 2021. "Monetary policy, relative prices and inflation control: flexibility born out of success," BIS Quarterly Review, Bank for International Settlements, September.

    Cited by:

    1. Sarah Arndt & Zeno Enders, 2023. "The Transmission of Supply Shocks in Different Inflation Regimes," CESifo Working Paper Series 10839, CESifo.
    2. Claudio Borio, 2021. "Back to the Future: Intellectual Challenges for Monetary Policy," Economic Papers, The Economic Society of Australia, vol. 40(4), pages 273-287, December.
    3. Nuwat Nookhwun & Pym Manopimoke, 2023. "Disaggregated Inflation Dynamics in Thailand: Which Shocks Matter?," PIER Discussion Papers 211, Puey Ungphakorn Institute for Economic Research.
    4. Francisco J. Ruge-Murcia & Alexander L. Wolman, 2022. "Relative Price Shocks and Inflation," Working Paper 22-07, Federal Reserve Bank of Richmond.
    5. Claudio Borio & Marco Jacopo Lombardi & James Yetman & Egon Zakrajsek, 2023. "The two-regime view of inflation," BIS Papers, Bank for International Settlements, number 133.
    6. Claudio Borio, 2021. "Navigating by r*: safe or hazardous?," BIS Working Papers 982, Bank for International Settlements.

  5. Simon Gilchrist & Vivian Yue & Egon Zakrajšek, 2019. "U.S. Monetary Policy and International Bond Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(S1), pages 127-161, December.
    See citations under working paper version above.
  6. English, William B. & Van den Heuvel, Skander J. & Zakrajšek, Egon, 2018. "Interest rate risk and bank equity valuations," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 80-97.
    See citations under working paper version above.
  7. Simon Gilchrist & Raphael Schoenle & Jae Sim & Egon Zakrajšek, 2017. "Inflation Dynamics during the Financial Crisis," American Economic Review, American Economic Association, vol. 107(3), pages 785-823, March.
    See citations under working paper version above.
  8. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2017. "Credit-Market Sentiment and the Business Cycle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(3), pages 1373-1426.
    See citations under working paper version above.
  9. Simon Gilchrist & Egon Zakrajšek & Vivian Z. Yue, 2016. "The response of sovereign bond yields to U.S. monetary policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(2), pages 102-106, August.

    Cited by:

    1. Bartkiewicz Piotr, 2018. "The Impact of Quantitative Easing on Emerging Markets – Literature Review," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 67-76, December.
    2. Jongrim Ha, 2021. "Financial market spillovers of U.S. monetary policy shocks," Review of International Economics, Wiley Blackwell, vol. 29(5), pages 1221-1274, November.
    3. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    4. Vania Stavrakeva & Jenny Tang, 2018. "The dollar during the global recession: US monetary policy and the exorbitant duty," Working Papers 18-10, Federal Reserve Bank of Boston.
    5. Ricardo J. Caballero & Gunes Kamber, 2019. "On the Global Impact of Risk-off Shocks and Policy-put Frameworks," NBER Working Papers 26031, National Bureau of Economic Research, Inc.
    6. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
    7. Kim, Kyoung-Gon, 2022. "Financial Crisis and the Global Transmission of U.S. Monetary Policy Surprises," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 63(2), pages 104-125, December.
    8. Stavrakeva, Vania & Tang, Jenny, 2019. "The Dollar During the Great Recession: US Monetary Policy Signaling and The Flight To Safety," CEPR Discussion Papers 14034, C.E.P.R. Discussion Papers.
    9. Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.

  10. Caldara, Dario & Fuentes-Albero, Cristina & Gilchrist, Simon & Zakrajšek, Egon, 2016. "The macroeconomic impact of financial and uncertainty shocks," European Economic Review, Elsevier, vol. 88(C), pages 185-207.
    See citations under working paper version above.
  11. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.
    See citations under working paper version above.
  12. Bassett, William F. & Chosak, Mary Beth & Driscoll, John C. & Zakrajšek, Egon, 2014. "Changes in bank lending standards and the macroeconomy," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 23-40.
    See citations under working paper version above.
  13. Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014. "Stress-testing US bank holding companies: A dynamic panel quantile regression approach," International Journal of Forecasting, Elsevier, vol. 30(3), pages 691-713.
    See citations under working paper version above.
  14. Simon Gilchrist & Egon ZakrajŠEk, 2013. "The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
    See citations under working paper version above.
  15. Simon Gilchrist & Jae W. Sim & Egon Zakrajsek, 2013. "Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(1), pages 159-176, January.
    See citations under working paper version above.
  16. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
    See citations under working paper version above.
  17. Simon Gilchrist & Egon Zakrajšek, 2011. "Monetary Policy and Credit Supply Shocks," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(2), pages 195-232, June.

    Cited by:

    1. Tomas Konecny & Oxana Babecka-Kucharcukova, 2016. "Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
    2. Meinen, Philipp & Röhe, Oke, 2018. "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Discussion Papers 33/2018, Deutsche Bundesbank.
    3. Grégory Levieuge, 2018. "La politique monétaire doit-elle être utilisée à des fins de stabilité financière ?," Post-Print hal-03530128, HAL.
    4. Ikeda, Daisuke, 2020. "Adverse selection, lemons shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 94-112.
    5. Villa, Stefania, 2013. "Financial frictions in the euro area: a Bayesian assessment," Working Paper Series 1521, European Central Bank.
    6. Paul Kitney, 2016. "Financial factors and monetary policy: Determinacy and learnability of equilibrium," CAMA Working Papers 2016-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Nadav Ben Zeev, 2019. "Asymmetric Business Cycles In Emerging Market Economies," Working Papers 1909, Ben-Gurion University of the Negev, Department of Economics.
    8. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
    9. Barnichon, Regis & Matthes, Christian & Ziegenbein, Alexander, 2016. "Assessing the Non-Linear Effects of Credit Market Shocks," CEPR Discussion Papers 11410, C.E.P.R. Discussion Papers.
    10. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2020. "Online Appendix to "Output Gap, Monetary Policy Trade-offs, and Financial Frictions"," Online Appendices 20-29, Review of Economic Dynamics.
    11. Ahmet Faruk Aysan & Salih Fendoglu & Mustafa Kilinc, 2014. "Managing Short-Term Capital Flows in New Central Banking: Unconventional Monetary Policy Framework in Turkey," Working Papers 1403, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    12. Tobias Adrian & J. Nellie Liang, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York.
    13. Villa, Stefania, 2016. "Financial Frictions In The Euro Area And The United States: A Bayesian Assessment," Macroeconomic Dynamics, Cambridge University Press, vol. 20(5), pages 1313-1340, July.
    14. Rossana Merola, 2013. "The role of financial frictions during the crisis: An estimated DSGE model," Working Paper Research 249, National Bank of Belgium.
    15. Nelson, Edward, 2013. "Friedman's monetary economics in practice," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 59-83.
    16. Verona, Fabio & Martins, Manuel M.F. & Drumond, Inês, 2017. "Financial shocks, financial stability, and optimal Taylor rules," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 187-207.
    17. Musso, Alberto & Gambetti, Luca, 2012. "Loan supply shocks and the business cycle," Working Paper Series 1469, European Central Bank.
    18. Lhuissier, Stéphane, 2017. "Financial intermediaries’ instability and euro area macroeconomic dynamics," European Economic Review, Elsevier, vol. 98(C), pages 49-72.
    19. Halvorsen, Jørn I. & Jacobsen, Dag Henning, 2014. "How important can bank lending shocks be for economic fluctuations?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 104-123.
    20. J. A. Carrillo & C. Poilly, 2012. "How do financial frictions affect the spending multiplier during a liquidity trap?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/779, Ghent University, Faculty of Economics and Business Administration.
    21. Salih Fendoglu, 2011. "Optimal Monetary Policy Rules, Financial Amplification, and Uncertain Business Cycles," Working Papers 1126, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    22. Finkelstein Shapiro, Alan & González Gómez, Andrés, 2017. "Credit market imperfections, labor markets, and leverage dynamics in emerging economies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 44-63.
    23. Cao, Jin & Chollete, Lorán, 2017. "Monetary policy and financial stability in the long run: A simple game-theoretic approach," Journal of Financial Stability, Elsevier, vol. 28(C), pages 125-142.
    24. Francesco Furlanetto & Paolo Gelain & Marzie Sanjani, 2020. "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Working Papers 20-05, Federal Reserve Bank of Cleveland.
    25. Manfred Kremer, 2016. "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
    26. Darracq-Paries, Matthieu & De Santis, Roberto A., 2015. "A non-standard monetary policy shock: The ECB's 3-year LTROs and the shift in credit supply," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 1-34.
    27. Carrillo Julio A. & Poilly Céline, 2014. "Investigating the Zero Lower Bound on the Nominal Interest Rate Under Financial Instability," Working Papers 2014-01, Banco de México.
    28. Ilut, Cosmin & Saijo, Hikaru, 2021. "Learning, confidence, and business cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 354-376.
    29. Stelios D. Bekiros & Alessia Paccagnini, 2015. "Macroprudential policy and forecasting using Hybrid DSGE models with financial frictions and State space Markov-Switching TVP-VARs," Open Access publications 10197/7333, School of Economics, University College Dublin.
    30. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    31. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    32. Régis Barnichon & Christian Matthes & Alexander Ziegenbein, 2016. "Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions," Working Paper 16-15, Federal Reserve Bank of Richmond.
    33. Hilberg, Björn & Grill, Michael & Metiu, Norbert, 2016. "Credit constraints and the international propagation of US financial shocks," Working Paper Series 1954, European Central Bank.
    34. Dunbar, Kwamie & Jiang, Jing, 2020. "What do movements in financial traders’ net long positions reveal about aggregate stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    35. Anders Vredin, 2015. "Inflation targeting and financial stability: providing policymakers with relevant information," BIS Working Papers 503, Bank for International Settlements.
    36. Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
    37. Woon Gyu Choi & Mr. David Cook, 2010. "Fire Sales and the Financial Accelerator," IMF Working Papers 2010/141, International Monetary Fund.
    38. Alan Finkelstein Shapiro & Andres Gonzalez, 2015. "Macroprudential Policy and Labor Market Dynamics in Emerging Economies," IMF Working Papers 2015/078, International Monetary Fund.
    39. Somnath Chatterjee & Ching‐Wai (Jeremy) Chiu & Thibaut Duprey & Sinem Hacıoğlu‐Hoke, 2022. "Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 380-400, April.
    40. Shingo Watanabe, 2012. "The Role Of Technology And Nontechnology Shocks In Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1287-1321, November.
    41. Altavilla, Carlo & Andreeva, Desislava & Boucinha, Miguel & Holton, Sarah, 2019. "Monetary policy, credit institutions and the bank lending channel in the euro area," Occasional Paper Series 222, European Central Bank.
    42. Zacek, Jan, 2020. "Should monetary policy lean against the wind? Simulations based on a DSGE model with an occasionally binding credit constraint," Economic Modelling, Elsevier, vol. 88(C), pages 293-311.
    43. Mahir Binici & Hasan Erol & A. Hakan Kara & Pinar Ozlu & Deren Unalmis, 2013. "Interest Rate Corridor : A New Macroprudential Tool?," CBT Research Notes in Economics 1320, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    44. Colombo, Valentina & Paccagnini, Alessia, 2020. "Does the credit supply shock have asymmetric effects on macroeconomic variables?," Economics Letters, Elsevier, vol. 188(C).
    45. Winter, Christoph & Kraus, Beatrice, 2016. "Do Tax Changes Affect Credit Markets and Financial Frictions? Evidence from Credit Spreads," VfS Annual Conference 2016 (Augsburg): Demographic Change 145636, Verein für Socialpolitik / German Economic Association.
    46. Fabio Verona & Manuel M. F. Martins & Inês Drumond, 2014. "Financial Shocks and Optimal Monetary Policy Rules," CEF.UP Working Papers 1402, Universidade do Porto, Faculdade de Economia do Porto.
    47. Andrej Sokol & Ambrogio Cesa-Bianchi, 2017. "The International Credit Channel of U.S. Monetary Policy and Financial Shocks," 2017 Meeting Papers 724, Society for Economic Dynamics.
    48. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2015. "Financial frictions and global spillovers," Discussion Papers 04/2015, Deutsche Bundesbank.
    49. Mimir, Yasin, 2012. "Financial intermediaries, credit Shocks and business cycles," MPRA Paper 39648, University Library of Munich, Germany.
    50. Yagihashi, Takeshi, 2018. "How costly is a misspecified credit channel DSGE model in monetary policymaking?," Economic Modelling, Elsevier, vol. 68(C), pages 484-505.

  18. Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009. "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 471-493, May.
    See citations under working paper version above.
  19. JONATHAN McCARTHY & EGON ZAKRAJSEK, 2007. "Inventory Dynamics and Business Cycles: What Has Changed?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 591-613, March.
    See citations under working paper version above.
  20. William F. Bassett & Egon Zakrajšek, 2003. "Recent developments in business lending by commercial banks," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), vol. 89(Dec), pages 477-492, December.

    Cited by:

    1. William F. Bassett & Mary Beth Chosak & John C. Driscoll & Egon Zakrajšek, 2012. "Changes in bank lending standards and the macroeconomy," Finance and Economics Discussion Series 2012-24, Board of Governors of the Federal Reserve System (U.S.).
    2. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
    3. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    4. Massa, Massimo & Zhang, Lei, 2015. "Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads," CEPR Discussion Papers 10537, C.E.P.R. Discussion Papers.
    5. Massa, Massimo & Zhang, Lei, 2021. "Bank credit tightening, debt market frictions, and corporate yield spreads," Journal of Financial Markets, Elsevier, vol. 55(C).
    6. Robert A. Eisenbeis & W. Scott Frame & Larry D. Wall, 2004. "Resolving large financial intermediaries: banks versus housing enterprises," FRB Atlanta Working Paper 2004-23, Federal Reserve Bank of Atlanta.
    7. Greg Hannsgen, 2004. "Borrowing Alone: The Theory and Policy Implications of the Commodification of Finance," Economics Working Paper Archive wp_401, Levy Economics Institute.
    8. Brack, Estelle, 2009. "États-Unis,“soupe primitive” de la crise financière [The United-States : "primitive soup" of the financial turmoil]," MPRA Paper 23480, University Library of Munich, Germany.

  21. William F. Bassett & Egon Zakrajšek, 2001. "Profits and balance sheet developments at U.S. commercial banks in 2000," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), vol. 87(Jun), pages 367-393, June.

    Cited by:

    1. Shukhrat A. Toshmatov & Zafarjon A. Abdullaev & Zarif O. Ahrorov, 2022. "Influence of Corporate Income Tax to Loan Loss Provision: Evidence from Uzbekistan," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 8(3), pages 236-250.

  22. Simon Gilchrist & Egon Zakrajšek, 1995. "The importance of credit for macroeconomic activity: identification through heterogeneity," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 39, pages 129-173.

    Cited by:

    1. Eickmeier Sandra & Hofmann Boris & Worms Andreas, 2009. "Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area," German Economic Review, De Gruyter, vol. 10(2), pages 193-223, May.
    2. Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2005. "Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses," ifo Working Paper Series No.14, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    3. Chatelain, J-B. & Generale, A. & Hernando, I. & Von Kalckreuth, U. & Vermeulen, P., 2002. "Firm Investment and Monetary Policy Transmission in the Euro Area," Working papers 97, Banque de France.
    4. Michael P. Dooley & Menzie Chinn, 1995. "Financial Repression and Capital Mobility: Why Capital Flows and Covered Interest Rate Differentials Fail to Measure Capital Market Integration," NBER Working Papers 5347, National Bureau of Economic Research, Inc.
    5. Hülsewig Oliver & Winker Peter & Worms Andreas, 2004. "Bank Lending and Monetary Policy Transmission: A VECM Analysis for Germany / Bankkredite und geldpolitische Transmission: Eine VECM Analyse für Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 511-529, October.
    6. Shantanu Dutta & Mark Bergen & Daniel Levy, 2004. "Price Flexibility in Channels of Distribution: Evidence from Scanner Data," Macroeconomics 0402018, University Library of Munich, Germany.
    7. Quader, Syed Manzur, 2017. "Differential effect of liquidity constraints on firm growth," Review of Financial Economics, Elsevier, vol. 32(C), pages 20-29.
    8. Gabe de Bondt, 2004. "The balance sheet channel of monetary policy: first empirical evidence for the euro area corporate bond market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 219-228.
    9. Claudia M. Buch & Alexander Lipponer, 2005. "Business Cycles and FDI: Evidence from German Sectoral Data," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(4), pages 732-759, December.
    10. Abdul Majid, Muhamed Zulkhibri, 2010. "Bank-characteristics, lending channel and monetary policy in Malaysia: evidence from bank-level data," MPRA Paper 30052, University Library of Munich, Germany.
    11. R. Glenn Hubbard, 1997. "Capital-Market Imperfections and Investment," NBER Working Papers 5996, National Bureau of Economic Research, Inc.
    12. Rafael Repullo & Javier Suarez, 1999. "Entrepreneurial moral hazard and bank monitoring: a model of the credit channel," Discussion Paper / Institute for Empirical Macroeconomics 129, Federal Reserve Bank of Minneapolis.
    13. Stephen D. Oliner & Glenn D. Rudebusch, 1994. "Is there a broad credit channel for monetary policy?," Working Paper Series / Economic Activity Section 146, Board of Governors of the Federal Reserve System (U.S.).
    14. Ivan Matalík & Michaela Skolkova & Jan Syrovatka, 2005. "Real estate prices and CNB monetary policy," BIS Papers chapters, in: Bank for International Settlements (ed.), Real estate indicators and financial stability, volume 21, pages 184-96, Bank for International Settlements.
    15. Horst Rottmann & Timo Wollmershäuser, 2010. "A Micro Data Approach to the Identification of Credit Crunches," CESifo Working Paper Series 3159, CESifo.
    16. Rodrigo Alfaro & Helmut Franken & Carlos García & Alejandro Jara, 2004. "The Bank Lending Channel in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Antonio Ahumada & J. Rodrigo Fuentes & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking Market Structure and Monetary Policy, edition 1, volume 7, chapter 4, pages 121-146, Central Bank of Chile.
    17. Lang, Dimut, 1999. "Die Geldmenge und ihre bilanziellen Gegenposten: Ein Vergleich zwischen wichtigen Ländern der Europäischen Währungsunion," Discussion Paper Series 1: Economic Studies 1999,01, Deutsche Bundesbank.
    18. Fabio Bagliano & Alessandro Sembenelli, 2004. "The cyclical behaviour of inventories: European cross-country evidence from the early 1990s recession," Applied Economics, Taylor & Francis Journals, vol. 36(18), pages 2031-2044.
    19. Robert E. Carpenter & Steven M. Fazzari & Bruce C. Petersen, 1995. "Three Financing Constraint Hypotheses and Inventory Investment: New Tests With Time and Sectoral Heterogeneity," Macroeconomics 9510001, University Library of Munich, Germany, revised 09 Oct 1995.
    20. Atanasova, Christina V. & Wilson, Nicholas, 2004. "Disequilibrium in the UK corporate loan market," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 595-614, March.
    21. Egon Zakrajšek, 1997. "Retail inventories, internal finance, and aggregate fluctuations," Research Paper 9722, Federal Reserve Bank of New York.
    22. Annie bellier & Wafa Sayeh & Stéphanie Serve, 2012. "What lies behind credit rationing? A survey of the literature," THEMA Working Papers 2012-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    23. Kandrac, John, 2012. "Monetary policy and bank lending to small firms," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 741-748.
    24. Kuppers, Markus, 2001. "Curtailing the black box: German banking groups in the transmission of monetary policy," European Economic Review, Elsevier, vol. 45(10), pages 1907-1930, December.
    25. Lorenzo Burlon & Davide Fantino & Andrea Nobili & Gabriele Sene, 2016. "The quantity of corporate credit rationing with matched bank-firm data," Temi di discussione (Economic working papers) 1058, Bank of Italy, Economic Research and International Relations Area.

Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. Simon Gilchrist & Egon Zakrajšek, 2020. "Trade Exposure and the Evolution of Inflation Dynamics," Central Banking, Analysis, and Economic Policies Book Series, in: Gonzalo Castex & Jordi Galí & Diego Saravia (ed.),Changing Inflation Dynamics,Evolving Monetary Policy, edition 1, volume 27, chapter 6, pages 173-226, Central Bank of Chile.
    See citations under working paper version above.
  3. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2016. "The Response of Sovereign Bond Yields to U.S. Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 8, pages 257-283, Central Bank of Chile.
    See citations under working paper version above.
  4. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2013. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  5. Simon Gilchrist & Egon Zakrajšek, 2012. "Bank Lending and Credit Supply Shocks," International Economic Association Series, in: Franklin Allen & Masahiko Aoki & Jean-Paul Fitoussi & Nobuhiro Kiyotaki & Roger Gordon & Joseph E. S (ed.), The Global Macro Economy and Finance, chapter 8, pages 154-176, Palgrave Macmillan.

    Cited by:

    1. Barraza, Santiago & Civelli, Andrea, 2020. "Economic policy uncertainty and the supply of business loans," Journal of Banking & Finance, Elsevier, vol. 121(C).
    2. Bui, Duy-Tung & Nguyen, Canh Phuc & Su, Thanh Dinh, 2021. "Asymmetric impacts of monetary policy and business cycles on bank risk-taking: Evidence from Emerging Asian markets," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    3. William F. Bassett & Mary Beth Chosak & John C. Driscoll & Egon Zakrajšek, 2012. "Changes in bank lending standards and the macroeconomy," Finance and Economics Discussion Series 2012-24, Board of Governors of the Federal Reserve System (U.S.).
    4. Vojtech, Cindy M. & Kay, Benjamin S. & Driscoll, John C., 2020. "The real consequences of bank mortgage lending standards," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    5. Ozili, Peterson K & Oladipo, Olajide & Iorember, Paul Terhemba, 2022. "Effect of abnormal credit expansion and contraction on GDP per capita in ECOWAS countries," MPRA Paper 114406, University Library of Munich, Germany.
    6. Philippe Bacchetta & Kenza Benhima & Céline Poilly, 2019. "Corporate Cash and Employment," Post-Print hal-01995011, HAL.
    7. Vincenzo Quadrini & Qi Sun, 2018. "Credit and Firm-Level Volatility of Employment," Journal of the European Economic Association, European Economic Association, vol. 16(5), pages 1433-1475.
    8. Altavilla, Carlo & Darracq Pariès, Matthieu & Nicoletti, Giulio, 2015. "Loan supply, credit markets and the euro area financial crisis," Working Paper Series 1861, European Central Bank.
    9. Veríssimo, Pedro & de Carvalho, Paulo Viegas & Laureano, Luís, 2021. "Asymmetries in the Euro area banking profitability," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    10. Viral V. Acharya & Heitor Almeida & Filippo Ippolito & Ander Perez‐Orive, 2021. "Credit Lines and the Liquidity Insurance Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 901-938, August.

  6. William F. Bassett & Simon Gilchrist & Gretchen C. Weinbach & Egon Zakrajšek, 2011. "Improving Our Ability to Monitor Bank Lending," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 149-161, National Bureau of Economic Research, Inc.

    Cited by:

    1. Andrea Orame, 2020. "The role of bank supply in the Italian credit market: evidence from a new regional survey," Temi di discussione (Economic working papers) 1279, Bank of Italy, Economic Research and International Relations Area.
    2. Simon Gilchrist & Egon ZakrajŠEk, 2013. "The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
    3. William F. Bassett & David E. Rappoport, 2022. "Enhancing Stress Tests by Adding Macroprudential Elements," Finance and Economics Discussion Series 2022-022, Board of Governors of the Federal Reserve System (U.S.).
    4. Bassett, William & Demiralp, Selva & Lloyd, Nathan, 2020. "Government support of banks and bank lending," Journal of Banking & Finance, Elsevier, vol. 112(C).
    5. Buch, Claudia M. & Eickmeier, Sandra & Prieto, Esteban, 2011. "In search for yield? Survey-based evidence on bank risk taking," Discussion Paper Series 1: Economic Studies 2011,10, Deutsche Bundesbank.

  7. Simon Gilchrist & Egon Zakrajšek, 1998. "The Importance of Credit for Macroeconomic Activity: Identification through Heterogeneity," Palgrave Macmillan Books, in: Steven Brakman & Hans Ees & Simon K. Kuipers (ed.), Market Behaviour and Macroeconomic Modelling, chapter 5, pages 129-157, Palgrave Macmillan.
    See citations under working paper version above.

Books

  1. Claudio Borio & Marco Jacopo Lombardi & James Yetman & Egon Zakrajsek, 2023. "The two-regime view of inflation," BIS Papers, Bank for International Settlements, number 133.

    Cited by:

    1. Julián Caballero & Michael Chui & Emanuel Kohlscheen & Christian Upper, 2023. "Inflation and labour markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation and labour markets, volume 127, pages 1-19, Bank for International Settlements.
    2. Schmidt, Torsten & Müller, Henrik & Rieger, Jonas & Schmidt, Tobias & Jentsch, Carsten, 2023. "Inflation perception and the formation of inflation expectations," Ruhr Economic Papers 1025, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Anna Bartocci & Alessandro Cantelmo & Martina Cecioni & Christian Hoynck & Alessandro Notarpietro & Andrea Papetti, 2023. "Approaching the terminal rate and the way forward: a model-based analysis," Questioni di Economia e Finanza (Occasional Papers) 791, Bank of Italy, Economic Research and International Relations Area.
    4. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
    5. Takatoshi Sasaki & Hiroki Yamamoto & Jouchi Nakajima, 2023. "Nonlinear Input Cost Pass-through to Consumer Prices: A Threshold Approach," Bank of Japan Working Paper Series 23-E-9, Bank of Japan.
    6. Bernardus Doornik & Deniz Igan & Enisse Kharroubi, 2023. "Labour markets: what explains the resilience?," BIS Quarterly Review, Bank for International Settlements, December.

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