Financial frictions and stabilization policies

Blas, Beatriz de; Malmierca, María

doi:10.1016/j.econmod.2019.10.019

Cited by 14 publications

(4 citation statements)

References 8 publications

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“…This might be interesting to contrast the findings of a strand of the literature that examines the link between the correlation of private and public debt and economic activity (see Batini et al. , 2019 or De Blas and Malmierca, 2020). In addition, other non-linear deterministic trend approaches in the context of I ( d ) models, such as those based on Fourier transformations (Yaya et al.…”

Section: Discussionmentioning

confidence: 99%

“…A promising topic for further research could be the joint analysis of non-linear trends in public debt and the connection of those results with the non-linearities observed in our analysis for the private debt series. This might be interesting to contrast the findings of a strand of the literature that examines the link between the correlation of private and public debt and economic activity (see Batini et al, 2019 or De Blas andMalmierca, 2020). In addition, other nonlinear deterministic trend approaches in the context of I(d) models, such as those based on Fourier transformations (Yaya et al, 2021), can also be implemented on these and other data.…”

Section: Discussionmentioning

confidence: 99%

“…(2014), Matheron and Antipa (2014) or Dehmej and Gambacorta (2019) state that macroprudential policy sustains monetary policy actions and mitigates the negative effects of private deleveraging. De Blas and Malmierca (2020) analyse counter-cyclical macroprudential measures boosting private debt during recessions and restraining it during booms. They show that, after financial shocks, the policy mix needs to include macroprudential policy to stabilise private and public debt at the same time.…”

Section: A Short Review Of the Literaturementioning

confidence: 99%

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Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies

Cuestas

Gil-Alana

Malmierca³

2022

JES

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PurposeIn particular, in this article, the authors investigate the degree of persistence in the credit-to-gross domestic product (GDP) ratio in 44 Organisation for Economic Co-operation and Development (OECD) economies in the context of nonlinear deterministic trends.Design/methodology/approachThe authors use Chebyshev's polynomials in time, which allow us to model changes in the data in a smoother way than by structural breaks.FindingsThis study’s results indicate that approximately one-quarter of the series display non-linear structures, and only Argentina displays a mean reverting pattern.Research limitations/implicationsPolicy implications of the results obtained are discussed at the end of the manuscript.Originality/valueThe authors use an approach developed that allows for non-linear trends based on Chebyshev polynomials in time, with the residuals being fractionally integrated or integrated of order d, where d can be any real value.

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Section: Discussionmentioning

confidence: 99%

Section: Discussionmentioning

confidence: 99%

Section: A Short Review Of the Literaturementioning

confidence: 99%

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Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies

Cuestas

Gil-Alana

Malmierca³

2022

JES

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“…Gerke et al (2013) and Mendicino and Zhang (2018). Credit frictions also can in ‡uence the transmission mechanism of monetary policy as seen, e.g., in Carlstrom et al (2010), Cohen-Cole and Martínez-García (2010), Lombardo and McAdam (2012), Dib et al (2013), Gilchrist et al (2013), Christiano et al (2014), Paleka andSchwanebeck (2017), andde Blas andMalmierca (2020). ours.…”

Section: Introductionmentioning

confidence: 99%

In No Uncertain Terms: The Effect of Uncertainty on Credit Frictions and Monetary Policy

Balke¹,

Martínez‐García²,

Zhang³

2021

gwp

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We examine the interaction of uncertainty and credit frictions in a New Keynesian framework. The model considers credit frictions arising from costly-state verification in the provision of loans to fund the acquisition of capital by entrepreneurs and includes three types of time-varying stochastic volatility shocks related to monetary policy uncertainty, financial risk (micro-uncertainty), and macro-uncertainty. Key parameters are estimated by the Simulated Method of Moments using U.S. data from 1984:Q1 until 2014:Q4. We find: 1. Micro-uncertainty has first-order effects that are significantly larger than the effects of macro-uncertainty and monetary policy uncertainty. 2. Poor credit conditions exacerbate the economic drag from micro-uncertainty shocks, amplify the effects of monetary policy shocks, and mitigate the impact of TFP shocks. 3. A degree of asymmetry and non-scalability appears in response to monetary policy shocks, dependent on the degree of nominal rigidities and initial conditions. 4. Monetary policy uncertainty accounts for about one-third of the business cycle volatility largely by affecting the size of monetary policy shocks.

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The Financial Friction and Optimal Monetary Policy: The Role of Interest Rate

Salem

Mansour

et al. 2022

Contemporary Research in Accounting and Finance

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Financial frictions and stabilization policies

Cited by 14 publications

References 8 publications

Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies

Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies

In No Uncertain Terms: The Effect of Uncertainty on Credit Frictions and Monetary Policy

The Financial Friction and Optimal Monetary Policy: The Role of Interest Rate

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