2014
DOI: 10.1016/j.jmoneco.2014.07.005
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Business cycle implications of mortgage spreads

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

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Cited by 67 publications
(47 citation statements)
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References 39 publications
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“…They also interpret the saving glut shock as an increase in the degree of patience of foreign households who reduce consumption and increase savings. Those extra savings are partly allocated to US assets, which generate an 20 For a similar example, see Walentin (2014). 21 Bertaut et al (2012) show that capital from current account surplus countries has gone into the United…”
Section: Robustness Via Sign Restrictions Methodology: Push-pull Factorsmentioning
confidence: 99%
“…They also interpret the saving glut shock as an increase in the degree of patience of foreign households who reduce consumption and increase savings. Those extra savings are partly allocated to US assets, which generate an 20 For a similar example, see Walentin (2014). 21 Bertaut et al (2012) show that capital from current account surplus countries has gone into the United…”
Section: Robustness Via Sign Restrictions Methodology: Push-pull Factorsmentioning
confidence: 99%
“…Walentin (2013) studies the business cycle effects of shocks to the spread between interest rates on mortgages and government bonds of the corresponding maturity in a VAR identified with exclusion restrictions. He documents an important role for these shocks using data for the US, the UK and Sweden.…”
Section: Introductionmentioning
confidence: 99%
“…VAR studies of the impact of unconventional monetary policy on the macro economy suggest that unconventional monetary policy have substantial output and price effects both in developed countries and emerging markets (Gambacorta, Hofmann, and Peersman, (2014), Bhattarai, Chatterjee, and Park (2015), Walentin (2014), and Baumeister and Benati (2013) ). Bhattarai, Chatterjee, and Park (2015) calculate that a 40 billion dollar asset purchase reduces increases industrial production and consumer prices by 0.4% and 0.1%, respectively, at a horizon of 10 months.…”
Section: Discussionmentioning
confidence: 99%