Bank of England
Institutional Affiliation: Bank of England
Information about this author at RePEc
NBER Working Papers and Publications
|February 2018||Uncertainty and Economic Activity: A Multi-Country Perspective|
with , : w24325
Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the direction of causation between uncertainty and the business cycle. This paper proposes a new multi-country approach to the analysis of the interaction between uncertainty and economic activity, without a priori restricting the direction of causality. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to common technology shocks that affect output growth, higher-order moments of technology shocks are also required to explain the cross country variations of the realized volatility of equity returns. Using this theoretical insight, two common factors, a ‘real’ and a ‘financial’ one, are identified in the empirical an...
|September 2017||International Credit Supply Shocks|
with , : w23841
House prices and exchange rates can potentially amplify the expansionary effect of capital inflows by inflating the value of collateral. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fueling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and...
Published: Ambrogio Cesa-Bianchi & Andrea Ferrero & Alessandro Rebucci, 2017. "International credit supply shocks," Journal of International Economics, . citation courtesy of
|June 2017||International Credit Supply Shocks|
in NBER International Seminar on Macroeconomics 2017, Jeffrey Frankel, Hélène Rey, and Charles Engel, organizers
|May 2016||Does Easing Monetary Policy Increase Financial Instability?|
with : w22283
This paper develops a model featuring both a macroeconomic and a financial friction that speaks to the interaction between monetary and macro-prudential policy and to the role of U.S. monetary and regulatory policy in the run up to the Great Recession. There are two main results. First, real interest rate rigidities in a monopolistic banking system increase the probability of a financial crisis (relative to the case of flexible interest rate) in response to contractionary shocks to the economy, while they act as automatic macro-prudential stabilizers in response to expansionary shocks. Second, when the interest rate is the only available policy instrument, a monetary authority subject to the same constraints as private agents cannot always achieve a (constrained) efficient allocation and f...
Published: Cesa-Bianchi, Ambrogio & Rebucci, Alessandro, 2017. "Does easing monetary policy increase financial instability?," Journal of Financial Stability, Elsevier, vol. 30(C), pages 111-125. citation courtesy of