Experience from models such as SEER suggests that bank financial conditions predict bank
failures. However, it has been difficult to find a relationship between macroeconomic …

This paper examines the dynamic linkages between monetary policy and the stock market
during the three distinct monetary regimes of Burns, Volcker and Greenspan since the …

We argue that credit constraints not only amplify fundamental shocks, they can also lead to
self-fulfilling business cycles. We study a model with heterogeneous firms, in which …

Linear Vector Autoregression (VAR) models provide a useful starting point for analysing
multivariate relationships between economic variables. They are frequently used for …

This paper investigates whether output and inflation respond asymmetrically to credit shocks
in the euro area. The methodology, based on a non-linear VAR system, follows work by …

This paper considers a simple model of credit cycles driven by moral hazard in financial
intermediation. Financial agents or bankers must earn moral-hazard rents, but the cost of …

Financial Stress, Monetary Policy, and Economic Activity Page 1 Working Paper/Document de
travail 2010-12 Financial Stress, Monetary Policy, and Economic Activity by Fuchun Li and …

The present paper assesses whether monetary policy effects are asymmetric over the
business cycle by estimating a univariate model for GDP including additionally the first …

This paper aims to examine whether the effect of oil price shocks on the stock market varies
across different credit conditions. Based on the US monthly stock data at the aggregate level …

This is a key year for the evolution of international markets. The global economy is
experiencing the most severe downturn since the thirties, it is temporarily leaving a path of …