Monetary policy and liquidity constraints evidence from the Euro Area by Mattias Almgren... [et al.]
Contributor(s): Almgren, Mattias
.
Material type: 
ArticleSubject(s): POLITICA MONETARIA | LIQUIDEZ | EURO | TASAS | MICROECONOMIA | VIVIENDA | UNION ECONOMICA Y MONETARIA
In:
American Economic Journal : Macroeconomics v. 14, n. 4, October 2022, p. 309-340Summary: We quantify the relationship between the response of output to monetary policy shocks and the share of liquidity-constrained households. We do so in the context of the euro area, using a Local Projections Instrumental Variables estimation. We construct an instrument for changes in interest rates from changes in overnight indexed swap rates in a narrow time window around ECB announcements. Monetary policy shocks have heterogeneous effects on output across countries. Using micro data, we show that the elasticity of output to monetary policy shocks is larger in countries that have a larger fraction of households that are liquidity constrained.
| Item type | Current location | Home library | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
| Artículos | IEF | IEF | OP 2137/2022/4-3 (Browse shelf) | Available | OP 2137/2022/4-3 |
Browsing IEF Shelves Close shelf browser
| No cover image available | No cover image available | No cover image available | No cover image available | No cover image available | No cover image available | No cover image available | ||
| OP 2137/2022/4 American Economic Journal : Macroeconomics | OP 2137/2022/4-1 Expectations-driven liquidity traps | OP 2137/2022/4-2 Fiscal rules and the sovereign default premium | OP 2137/2022/4-3 Monetary policy and liquidity constraints | OP 2137/2022/4-4 Learning on the job and the cost of business cycles | OP 2137/2022/4-5 Optimal public debt with life cycle motives | OP 2137/2023/1 American Economic Journal : Macroeconomics |
Resumen
Bibliografía
We quantify the relationship between the response of output to monetary policy shocks and the share of liquidity-constrained households. We do so in the context of the euro area, using a Local Projections Instrumental Variables estimation. We construct an instrument for changes in interest rates from changes in overnight indexed swap rates in a narrow time window around ECB announcements. Monetary policy shocks have heterogeneous effects on output across countries. Using micro data, we show that the elasticity of output to monetary policy shocks is larger in countries that have a larger fraction of households that are liquidity constrained.
Click on an image to view it in the image viewer
There are no comments for this item.