E51 Money Supply; Credit; Money Multipliers

Money, credit, monetary policy and the business cycle in the euro area

JEL code(s)	C32 Multiple or Simultaneous Equation Models: Time-Series Models C51 Model Construction and Estimation E32 Business Fluctuations; Cycles E51 Money Supply; Credit; Money Multipliers
Keywords	banks, Euro area, loans, Money
Authors:	Domenico Giannone Michele Lenza Lucrezia Reichlin
Date published:	April 24, 2012
Abstract:	This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are re- markably similar to what has been found for the US by many studies while we uncover new facts on disaggregated loans and deposits. During the crisis the cyclical behavior of short term interest rates, loans and deposits remain stable but we identify unusual dynamics of longer term loans, deposits and longer term interest rates.
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JEL code(s)	E31 Price Level; Inflation; Deflation E51 Money Supply; Credit; Money Multipliers E52 Monetary Policy
Keywords	Bayesian structural estimations, Money in new-Keynesian frameworks, Taylor rules, time-varying effects
Authors:	Efrem Castelnuovo
Date published:	March 20, 2012
Abstract:	Is money's role relevant to describing the post-WWII U.S. macroeconomic dynamics? Has this relevance changed over time? These questions are answered using both fixed-coefficient and rolling-window Bayesian estimations of a structural model of the business cycle with money. Our empirical evidence favors a specication with dring parameters for money-consumption nonseparability and the Federal Reserve's reaction to nominal money growth. The role of money is estimated to have been important during the 1970s and declined afterwards. The omission of money produces severely distorted impulse response functions (relative to the model with money). Money is found to be important in replicating the U.S. output volatility during the Great Inflation. These results are shown to depend on the denition of the monetary aggregate employed in our analysis.
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JEL code(s)	C32 Multiple or Simultaneous Equation Models: Time-Series Models E30 Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) E44 Financial Markets and the Macroeconomy E51 Money Supply; Credit; Money Multipliers E52 Monetary Policy
Keywords	SVARs and unconventional monetary policy
Series Number:	CEPR/EABCN No. 59/2011
Authors:	Gert Peersman
Date published:	April 18, 2011
Abstract:	I estimate the dynamic effects of respectively traditional interest rate innovations and unconventional monetary policy actions on the Euro area economy. The results show that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet. The ultimate consequences on output and consumer prices are however more sluggish compared to interest rate innovations. Furthermore, the transmission mechanism via financial institutions - very likely the risk-taking channel - turns out to be different.
Paper:	Paper not available.