Arbeitspapier
State dependence of monetary policy across business, credit and interest rate cycles
We investigate how the business, credit and interest rate cycles affect the monetary transmission mechanism, using state-dependent local projection methods and data from 18 advanced economies. We exploit the time-series variation within countries, as well as cross-sectional variation across countries, to investigate this issue. We find that the impact of monetary policy shocks on output and most other macroeconomic and financial variables is smaller during periods of economic downturns, high household debt, and high interest rates. We then build a small-scale theoretical model to rationalize these facts. The model highlights the presence of collateral and debt-service constraints on household borrowing and refinancing as a potential cause for state dependence in monetary policy with respect to the business, credit, and interest rate cycles.
- ISBN
-
978-82-8379-121-1
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 21/2019
- Klassifikation
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Business Fluctuations; Cycles
Monetary Policy
- Thema
-
Monetary Policy
Household Debt
Local Projections
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alpanda, Sami
Granziera, Eleonora
Zubairy, Sarah
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alpanda, Sami
- Granziera, Eleonora
- Zubairy, Sarah
- Norges Bank
Entstanden
- 2019
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