The Impact of Credit Market Sentiment Shocks - A TVAR Approach

This paper investigates the role of credit market sentiments and investor beliefs on credit cycle dynamics and their propagation to business cycle fluctuations. Using US data from 1968 to 2019, we show that credit market sentiments are indeed able to detect asymmetries in a small-scale macroeconomic model. By exploiting recent developments in behavioral finance on expectation formation in financial markets, we are able to identify an unexpected credit market news shock exhibiting different impacts in an optimistic and pessimistic credit market environment. While an unexpected movement in the optimistic regime leads to a rather low to muted impact on output and credit, we find a significant and persistent negative impact on those variables in the pessimistic regime. Therefore, this article departs from the current literature on the role of financial frictions for explaining business cycle behavior in macroeconomics and argues in line with recent theoretical contributions on the relevance of expectation formation and beliefs as source of cyclicity and instability in financial markets.Series: Department of Economics Working Paper Serie

Implications of macroeconomic volatility in the Euro area

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro area, where member states are highly related by construction. We find significant results of a decrease in real activity for all countries over a period of roughly a year following an uncertainty shock. Moreover, equity prices, short-term interest rates and exports tend to decline, while unemployment levels increase. Dynamic responses across countries differ slightly in magnitude and duration, with Ireland, Slovakia and Greece exhibiting different reactions for some macroeconomic fundamentals.Comment: Keywords: Bayesian vector autoregressive models, factor stochastic volatility, uncertainty shocks; JEL: C30, F41, E3

Of clerks & cleaners: the heterogeneous impact of monetary policy on the US labor market

In this paper we estimate the effect of monetary policy on the US labor market using disaggregated data based on large scale micro surveys. By employing a Bayesian factor-augmented vector autoregression framework, we investigate the impact of an unanticipated interest rate change on the unemployment rate in 32 occupation groups. Our results on the aggregate level are in line with the literature and point towards a strong influence of monetary policy on economic activity, overall unemployment and investment. A closer look on the disaggregated level reveals heterogeneous impacts across occupation groups. This heterogeneity can partially be explained by the amount of routine tasks and the degree of offshorability of an particular occupation group. These results suggest that workers who are highly vulnerable to medium-term and long-term developments such as automatization and offshoring are also hit disproportionately hard by short-term economic fluctuations.Series: Department of Economics Working Paper Serie

The heterogeneous impact of monetary policy on the US labor market

We empirically investigate the role of central banks in the context of heterogeneous labor markets, jobless recoveries and job polarization. Specifically, we estimate the effect of monetary policy on the US labor market using disaggregated time series based on large scale survey data. The impact of interest rate changes on unemployment in 32 occupation groups is explored in a Bayesian factor-augmented vector autoregression framework. The results suggest largely heterogeneous impacts across various occupation groups. This heterogeneity can be explained by differential task profiles of the workers in their respective occupations. Workers with tasks that are easily automated or offshored as well as workers at the bottom of the skill distribution are disproportionately affected following a monetary policy shock. This implies that labor market participants that are highly vulnerable to structural developments such as skill-biased technological change and the globalization of labor markets are also most sensitive to conventionalmonetary policy measures. From a policy perspective, we conclude that central banks are unlikely to beable to take on a stabilizing role in the context of labor market polarization

The impact of monetary policy on expectations along the yield curve

This article investigates how market participants adjust their expectations of interest rates at different maturities in response to a monetary policy and a central bank information shock for the US economy. The results show that market participants adjust their expectations faster to changes in interest rates compared to new releases of information by the central bank. This finding could imply that central bank information shocks are more opaque whereas a change in interest rates provides a stronger signal to the markets. Moreover, financial market agents respond with an initial underreaction to both shocks, potentially resembling inattention or overconfidence. Last, we find that the adjustment of expectations for yields with higher maturities takes considerably longer than for short-term yields. This finding is especially important for central banks since in the current low-interest rate environment monetary policy actions mainly consist of policies aimed at the long-end of the yield curve.Series: Department of Economics Working Paper Serie

Percutaneous CT fluoroscopy-guided core biopsy of pancreatic lesions: technical and clinical outcome of 104 procedures during a 10-year period

Background: In unclear pancreatic lesions, a tissue sample can confirm or exclude the suspected diagnosis and help to provide an optimal treatment strategy to each patient. To date only one small study reported on the outcome of computed tomography (CT) fluoroscopy-guided biopsies of the pancreas. Purpose: To evaluate technical success and diagnostic rate of all CT fluoroscopy-guided core biopsies of the pancreas performed in a single university center during a 10-year period. Material and Methods: In this retrospective study we included all patients who underwent a CT fluoroscopy-guided biopsy of a pancreatic mass at our comprehensive cancer center between 2005 and 2014. All interventions were performed under local anesthesia on a 16-row or 128-row CT scanner. Technical success and diagnostic rates as well as complications and effective patient radiation dose were analyzed. Results: One hundred and one patients (54 women;mean age, 63.912.6 years) underwent a total of 104 CT fluoroscopy-guided biopsies of the pancreas. Ninety-eight of 104 interventions (94.2%) could be performed with technical success and at least one tissue sample could be obtained. In 88 of these 98 samples, a definitive pathological diagnosis, consistent with clinical success could be achieved (89.8%). Overall 19 minor and three major complications occurred during the intra- or 30-day post-interventional period and all other interventions could be performed without complications;there was no death attributable to the intervention. Conclusion: CT fluoroscopy-guided biopsy of pancreatic lesions is an effective procedure characterized by a low major complication and a high diagnostic rate

Ship- and island-based atmospheric soundings from the 2020 EUREC⁴A field campaign

International audienceTo advance the understanding of the interplay among clouds, convection, and circulation, and its role in climate change, the EUREC4A and ATOMIC field campaigns collected measurements in the western tropical Atlantic during Jan-uary and February 2020. Upper-air radiosondes were launched regularly (usually 4-hourly) from a network consisting of the Barbados Cloud Observatory (BCO) and four ships within 51–60 ◦W, 6–16 ◦N. From January 8 to February 19, a total of 812 radiosondes measured wind, temperature and relative humidity. In addition to the ascent, the descent was recorded for 82 % of the soundings. The soundings sampled changes in atmospheric pressure, winds, lifting condensation level, boundary layer depth, and vertical distribution of moisture associated with different ocean surface conditions, synoptic variability, and mesoscale convective organization. Raw (Level-0), quality-controlled 1-second (Level-1), and vertically gridded (Level-2) data in NetCDF format (Stephan et al., 2020) are available to the public at AERIS (https://doi.org/10.25326/62). The methods of data collection and post-processing for the radiosonde data set are described here