Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

A Survey-based Shadow Rate and Unconventional Monetary Policy Effects

Yoichi UENO, Hibiki ICHIUE
Many studies estimate a shadow interest rate, which can be negative when the short-term rate is at the effective lower bound, and use it as the monetary policy indicator. This study proposes a novel method to estimate the shadow rate using survey forecasts of macroeconomic variables and allowing the...
Keywords: monetary policy, Effective Lower Bound, zero lower bound, Shadow Rate, Survey Forecasts
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Quantitative or Qualitative Forward Guidance: Does it matter?

Richhild MOESSNER, Ozer KARAGEDIKLI, Gunda-Alexandra DETMERS
Every monetary policy decision by the Reserve Bank of New Zealand (RBNZ) is accompanied by a written statement about the state of the economy and the policy outlook, but only every second decision by a published interest rate forecast. We exploit this difference to study the relative influences of q...
Keywords: monetary policy, forward guidance, interest rate forecasts
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Bank Supply Shocks and Firm Investment: A Granular View from the Thai Credit Registry Data

Nasha ANANCHOTIKUL, Vorada LIMJAROENRAT
This paper attempts to link bank loan supply shocks to the real economic activity at the firm and aggregate level. We apply the methodology pioneered by Amiti and Weinstein (2017) to bank-firm credit registry dataset in Thailand for the period of 2004-2015. Loan growth dynamics of individual banks a...
Keywords: Bank supply shocks, Credit cycle, Bank relationships, Bank concentration, Granular shocks, Firm investment, Credit registry data, Thailand
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Macro-financial Modeling of the Singapore Economy: A GVAR approach

Filippo di MAURO, Alessandro GALESI
No abstract
Keywords: Macro-Financial Modelling, Singapore Economy, GVAR approach
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Destabilizing Effects of Bank Overleveraging on Real Activity: An Analysis Based on A Threshold MCS-GVAR

Marco GROSS , Jerome HENRY, Willi SEMMLER
We investigate the consequences of overleveraging and the potential for destabilizing effects arising from financial- and real-sector interactions. In a theoretical framework, we model overleveraging and demonstrate how a highly leveraged banking system can lead to unstable dynamics and downward spi...
Keywords: Macro-Financial Linkages, Leverage, credit supply
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