Central bank research hub - Papers by Sandra Eickmeier
https://www.bis.org/cbhub/list/author/author_1870/index.rss
Research hub papers by author Sandra EickmeierenEffects of bank capital requirement tightenings on inequality
https://www.econstor.eu/bitstream/10419/191794/1/1048291863.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Benedikt Kolb and Esteban PrietoEffects of bank capital requirement tightenings on inequality2018-08-31T23:00:54ZWe use a newly constructed narrative measure of regulatory bank capital requirement tightening events (Eickmeier et al., 2018) to examine their effects on household income and expenditure inequality in the US. Income and expenditure inequality both decline (the latter decline being slightly less pronounced than the former). Financial income strongly drops after the regulatory events. Richer households tend to be more exposed to financial markets. Hence, their income and expenditures decline by more than those of poorer households. The monetary policy easing after the regulation is shown to contribute to the decline in inequality at longer horizons, as it cushions the negative effects of the capital requirement tightenings on wages and salaries in the medium run, which represent a considerable share of income for lower- to middle-income households.Effects of bank capital requirement tightenings on inequalityFull texthttps://www.econstor.eu/bitstream/10419/191794/1/1048291863.pdfBenedikt KolbEsteban PrietoSandra EickmeierSandra Eickmeier, Benedikt Kolb and Esteban Prieto2018Deutsche Bundesbank Discussion PapersC32E44G18G28Macroeconomic effects of bank capital regulation
https://www.econstor.eu/bitstream/10419/188885/1/1041824548.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Benedikt Kolb and Esteban PrietoMacroeconomic effects of bank capital regulation2018-01-01T00:00:44ZBank capital regulations are intended to enhance financial stability in the long run, but may, in the meanwhile, involve costs for the real economy. To examine these costs we propose a narrative index of aggregate tightenings in regulatory US bank capital requirements from 1979 to 2008. Anticipation effects are explicitly taken into account and found to matter. In response to a tightening in capital requirements, banks temporarily reduce business and real estate lending, which temporarily lowers investment, consumption, housing activity and production. A decline in financial and macroeconomic risk helps sustain spending in the medium run. Monetary policy also cushions negative effects of capital requirement tightenings on the economy.Macroeconomic effects of bank capital regulationFull texthttps://www.econstor.eu/bitstream/10419/188885/1/1041824548.pdfBenedikt KolbEsteban PrietoSandra EickmeierSandra Eickmeier, Benedikt Kolb and Esteban Prieto2018Deutsche Bundesbank Discussion PapersC32E44G18G28Time-varying volatility, financial intermediation and monetary policy
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2016/2016_11_25_dkp_46.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Norbert Metiu, Esteban PrietoTime-varying volatility, financial intermediation and monetary policy2016-11-25T12:37:00ZTime-varying volatility, financial intermediation and monetary policyFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2016/2016_11_25_dkp_46.pdf?__blob=publicationFileEsteban PrietoNorbert MetiuSandra EickmeierSandra Eickmeier, Norbert Metiu, Esteban Prieto2016-11-25Deutsche Bundesbank Discussion PapersC32E44E52Financial shocks and inflation dynamics
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2016/2016_10_17_dkp_41.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Angela Abbate, Sandra Eickmeier, Esteban PrietoFinancial shocks and inflation dynamics2016-11-10T11:38:59ZFinancial shocks and inflation dynamicsFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2016/2016_10_17_dkp_41.pdf?__blob=publicationFileAngela AbbateEsteban PrietoSandra EickmeierAngela Abbate, Sandra Eickmeier, Esteban Prieto2016-10-17Deutsche Bundesbank Discussion PapersE31E44E58The interest rate pass-through in the euro area during the sovereign debt crisis
http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2015/dp15-03.pdf
Reserve Bank of New Zealand Discussion Papers by Leo Krippner; Sandra Eickmeier; Julia von BorstelThe interest rate pass-through in the euro area during the sovereign debt crisis2015-10-05T12:31:59ZWe investigate the pass-through of monetary policy to bank lending rates in the euro area during the sovereign debt crisis, in comparison to the pre-crisis period. We make the following contributions. First, we use a factor-augmented vector autoregression, which allows us to assess the responses of a large number of country-specific interest rates and spreads. Second, we analyze the effects of monetary policy on the components of the interest rate pass-through, which reflect banks' funding risk (including sovereign risk) and markups charged by banks over funding costs. Third, we not only consider conventional but also unconventional monetary policy. We find that while the transmission of conventional monetary policy to bank lending rates has not changed with the crisis, the composition of the IP has changed. Specifically, expansionary conventional monetary policy lowered sovereign risk in peripheral countries and longer-term bank funding risk in peripheral and core countries during the crisis, but has been unable to lower banks' markups. This was not, or not as much, the case prior to the crisis. Unconventional monetary policy helped decreasing lending rates, mainly due to large shocks rather than a strong propagation.The interest rate pass-through in the euro area during the sovereign debt crisisFull texthttp://www.rbnz.govt.nz/research_and_publications/discussion_papers/2015/dp15-03.pdfSandra EickmeierLeo KrippnerJulia von BorstelLeo Krippner; Sandra Eickmeier; Julia von Borstel2015-10Reserve Bank of New Zealand Discussion PapersC3E43E44E50The interest rate pass-through in the euro area during the sovereign debt crisis
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_06_05_dkp_10.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Julia von Borstel, Sandra Eickmeier, Leo KrippnerThe interest rate pass-through in the euro area during the sovereign debt crisis2015-06-05T12:43:59ZThe interest rate pass-through in the euro area during the sovereign debt crisisFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_06_05_dkp_10.pdf?__blob=publicationFileJulia von BorstelLeo KrippnerSandra EickmeierJulia von Borstel, Sandra Eickmeier, Leo Krippner2015-06-05Deutsche Bundesbank Discussion PapersC3E43E44E5Analyzing business and financial cycles using multi-level factor models
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2014/2014_07_09_dkp_11.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Jörg Breitung, Sandra EickmeierAnalyzing business and financial cycles using multi-level factor models2014-07-09T12:33:59ZThis paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based on canonical correlations that are much simpler and faster than Bayesian approaches previously employed in the literature. Monte Carlo simulations suggest that the estimators perform well in typical sample sizes encountered in the factor analysis of macroeconomic data sets. We apply the methodologies to study international comovements of business and financial cycles as well as asymmetries over the business cycle in the US.Analyzing business and financial cycles using multi-level factor modelsAbstracthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2014/2014_07_09_dkp_11.pdf?__blob=publicationFileFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2014/2014_07_09_dkp_11.pdf?__blob=publicationFileSandra EickmeierJörg BreitungJörg Breitung, Sandra Eickmeier2014-07Deutsche Bundesbank Discussion PapersC38C55Understanding Global Liquidity
http://www.bis.org/publ/work402.pdf
Bank for International Settlements Working papers by Sandra Eickmeier, Leonardo Gambacorta and Boris HofmannUnderstanding Global Liquidity2013-07-22T17:50:59ZWe explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand.Understanding Global LiquidityBISAbstracthttp://www.bis.org/publ/work402.htmFull texthttp://www.bis.org/publ/work402.pdfSandra EickmeierLeonardo GambacortaBoris HofmannSandra Eickmeier, Leonardo Gambacorta and Boris Hofmann2013-02-06Bank for International Settlements BIS Working PapersTime variation in macro-financial linkages
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_23_dkp_13.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Esteban Prieto, Sandra Eickmeier, Massimiliano MarcellinoTime variation in macro-financial linkages2013-04-23T12:35:00ZWe analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main fi-ndings are: (i) The contribution of fi-nancial shocks to GDP growth fl‡uctuates from about 20 percent in normal times to 50 percent during the global fi-nancial crisis. (ii) The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. (iii) Housing shocks have become more important for the real economy since the early-2000s, and negative housing shocks are more important than positive ones.Time variation in macro-financial linkagesFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_23_dkp_13.pdf?__blob=publicationFileSandra EickmeierMassimiliano MarcellinoEsteban PrietoEsteban Prieto, Sandra Eickmeier, Massimiliano Marcellino2013-04-23Deutsche Bundesbank Discussion PapersTime variation in macro-financial linkages
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_13.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Esteban Prieto, Sandra Eickmeier, Massimiliano MarcellinoTime variation in macro-financial linkages2013-04-23T12:35:00ZTime variation in macro-financial linkagesFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_13.pdf?__blob=publicationFileSandra EickmeierMassimiliano MarcellinoEsteban PrietoEsteban Prieto, Sandra Eickmeier, Massimiliano Marcellino2013-04-23Deutsche Bundesbank Discussion PapersChina's role in global inflation dynamics
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_02_dkp_07.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Markus KühnlenzChina's role in global inflation dynamics2013-04-03T06:21:00ZChina's role in global inflation dynamicsFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_02_dkp_07.pdf?__blob=publicationFileSandra EickmeierMarkus KühnlenzSandra Eickmeier, Markus Kühnlenz2013-04-02Deutsche Bundesbank Discussion PapersUnderstanding global liquidity
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_11_dkp_03.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Leonardo Gambacorta, Boris HofmannUnderstanding global liquidity2013-03-13T12:37:00ZUnderstanding global liquidityFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_11_dkp_03.pdf?__blob=publicationFileSandra EickmeierLeonardo GambacortaBoris HofmannSandra Eickmeier, Leonardo Gambacorta, Boris Hofmann2013-03-11Deutsche Bundesbank Discussion PapersMonetary policy and the oil futures market
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_35.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Marco J. LombardiMonetary policy and the oil futures market2013-01-10T12:35:00ZMonetary policy and the oil futures marketFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_35.pdf?__blob=publicationFileSandra EickmeierMarco J. LombardiSandra Eickmeier, Marco J. Lombardi2012-12-14Deutsche Bundesbank Discussion PapersHow do credit supply shocks propagate internationally? A GVAR approach
http://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201127dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier; Tim NgHow do credit supply shocks propagate internationally? A GVAR approach2011-12-12T17:36:00ZHow do credit supply shocks propagate internationally? A GVAR approachFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201127dkp.pdfSandra EickmeierTim NgSandra Eickmeier; Tim Ng2011-12-12Deutsche Bundesbank Discussion PapersHow do credit supply shocks propagate internationally? A GVAR approach
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2011/2011_12_12_dkp_27.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Tim NgHow do credit supply shocks propagate internationally? A GVAR approach2011-12-12T13:43:59ZHow do credit supply shocks propagate internationally? A GVAR approachFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2011/2011_12_12_dkp_27.pdf?__blob=publicationFileTim NgSandra EickmeierSandra Eickmeier, Tim Ng2011-12-12Deutsche Bundesbank Discussion PapersC30F15F36F41F44In search for yield? Survey-based evidence on bank risk taking
http://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201110dkp.pdf
Deutsche Bundesbank Discussion Papers by Claudia M. Buch, Sandra Eickmeier, Esteban PrietoIn search for yield? Survey-based evidence on bank risk taking2011-05-13T12:41:00ZIn search for yield? Survey-based evidence on bank risk takingFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201110dkp.pdfClaudia M. BuchSandra EickmeierEsteban PrietoClaudia M. Buch, Sandra Eickmeier, Esteban Prieto2011-05-13Deutsche Bundesbank Discussion PapersThe changing international transmission of financial shocks: evidence from a classical time-varying FAVAR
http://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201105dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Wolfgang Lemke, Massimiliano MarcellinoThe changing international transmission of financial shocks: evidence from a classical time-varying FAVAR2011-04-11T12:37:00ZThe changing international transmission of financial shocks: evidence from a classical time-varying FAVARFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201105dkp.pdfSandra EickmeierMassimiliano MarcellinoWolfgang LemkeSandra Eickmeier, Wolfgang Lemke, Massimiliano Marcellino2011-04-11Deutsche Bundesbank Discussion PapersClassical time-varying FAVAR models - estimation, forecasting and structural analysis
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2011/2011_04_08_dkp_04.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Wolfgang Lemke, Massimiliano MarcellinoClassical time-varying FAVAR models - estimation, forecasting and structural analysis2011-04-08T12:43:59ZClassical time-varying FAVAR models - estimation, forecasting and structural analysisFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2011/2011_04_08_dkp_04.pdf?__blob=publicationFileWolfgang LemkeMassimiliano MarcellinoSandra EickmeierSandra Eickmeier, Wolfgang Lemke, Massimiliano Marcellino2011-04-08Deutsche Bundesbank Discussion PapersC30C53E52Classical time-varying FAVAR models - estimation, forecasting and structural analysis
http://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201104dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Wolfgang Lemke, Massimiliano MarcellinoClassical time-varying FAVAR models - estimation, forecasting and structural analysis2011-04-08T12:35:59ZClassical time-varying FAVAR models - estimation, forecasting and structural analysisFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201104dkp.pdfSandra EickmeierMassimiliano MarcellinoWolfgang LemkeSandra Eickmeier, Wolfgang Lemke, Massimiliano Marcellino2011-04-08Deutsche Bundesbank Discussion PapersMacroeconomic factors and micro-level bank risk
http://www.bundesbank.de/download/volkswirtschaft/dkp/2010/201020dkp.pdf
Deutsche Bundesbank Discussion Papers by Claudia M. Buch, Sandra Eickmeier, Esteban PrietoMacroeconomic factors and micro-level bank risk2010-10-25T12:37:00ZMacroeconomic factors and micro-level bank riskFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2010/201020dkp.pdfSandra EickmeierEsteban PrietoClaudia M. BuchClaudia M. Buch, Sandra Eickmeier, Esteban Prieto2010-10-25Deutsche Bundesbank Discussion PapersMonetary policy, housing booms and financial (im)balances
http://www.bundesbank.de/download/volkswirtschaft/dkp/2010/201007dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Boris HofmannMonetary policy, housing booms and financial (im)balances2010-05-14T12:45:00ZMonetary policy, housing booms and financial (im)balancesFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2010/201007dkp.pdfSandra EickmeierBoris HofmannSandra Eickmeier, Boris Hofmann2010-05-14Deutsche Bundesbank Discussion PapersC3E3E43E44E52Monetary policy, housing booms and financial (im)balances,
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1178.pdf
European Central Bank Working papers by Sandra Eickmeier, Boris Hofmann,Monetary policy, housing booms and financial (im)balances,2010-04-21T17:40:59Z(JEL: E52, E44, C3, E3, E43) This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three imbalances that were observed prior to the global financial crisis: high house price inflation, strong private debt growth and low credit risk spreads. The results suggest that (i) monetary policy shocks have a highly significant and persistent effect on house prices, real estate wealth and private sector debt as well as a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have contributed discernibly, but at a late stage to the unsustainable developments in house and credit markets that were observable between 2001 and 2006; (iii) financial shocks have influenced the path of policy rates prior to the crisis, and the feedback effects of financial shocks via lower policy rates on property and credit markets are found to have probably been considerable.Monetary policy, housing booms and financial (im)balances,ECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1178.pdfSandra EickmeierBoris HofmannSandra Eickmeier, Boris Hofmann,2010-04-21European Central Bank Working PapersC3E3E43E44E52A FAVAR-based analysis of the transmission of US shocks to Germany (in German only)
http://www.bundesbank.de/vfz/volkswirtschaft/dkp/2010/200935dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra EickmeierA FAVAR-based analysis of the transmission of US shocks to Germany (in German only)2010-01-15T12:43:00ZA FAVAR-based analysis of the transmission of US shocks to Germany (in German only)Full texthttp://www.bundesbank.de/vfz/volkswirtschaft/dkp/2010/200935dkp.pdfSandra EickmeierSandra Eickmeier2009-12-31Deutsche Bundesbank Discussion PapersForecasting national activity using lots of international predictors: an application to New Zealand
http://www.rbnz.govt.nz/research/discusspapers/dp09_04.pdf
Reserve Bank of New Zealand Discussion Papers by Sandra Eickmeier and Tim NgForecasting national activity using lots of international predictors: an application to New Zealand2009-07-01T12:00:00ZWe apply ¿data-rich¿ factor and shrinkage methods to understand how large international datasets can be used to improve forecasts of New Zealand GDP. We find that exploiting a large number of international predictors can improve forecasts compared to more traditional models based on small datasets. This is in spite of New Zealand survey data capturing a substantial proportion of the predictive information in the international data. The largest forecasting accuracy gains from including international predictors are at longer forecast horizons. The forecasting performance achievable with the data-rich methods differs widely, with shrinkage methods and partial least squares performing best. We also assess the type of international data that contains the most predictive information for New Zealand growth over our sample.Forecasting national activity using lots of international predictors: an application to New ZealandFull texthttp://www.rbnz.govt.nz/research/discusspapers/dp09_04.pdfSandra EickmeierTim NgSandra Eickmeier and Tim Ng2009-06Reserve Bank of New Zealand Discussion PapersC33C53F47Forecasting national activity using lots of international predictors: an application to New Zealand
http://www.bundesbank.de/download/volkswirtschaft/dkp/2009/200911dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Tim NgForecasting national activity using lots of international predictors: an application to New Zealand2009-05-05T17:36:59ZForecasting national activity using lots of international predictors: an application to New ZealandFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2009/200911dkp.pdfSandra EickmeierTim NgSandra Eickmeier, Tim Ng2009-05-05Deutsche Bundesbank Discussion PapersC33C53F47