The Nexus between Lockdown Shocks and Economic Uncertainty: Empirical Evidence from a VAR Model

The contribution of this paper is twofold. First, we introduce a daily vector autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic uncertainty in a second step. Overall, we only find a moderate positive impact on uncertainty levels that is, in particular, weaker than the impact of the real business cycle shock. Taking a more granular perspective, we observe that in particular uncertainty related to entitlement programs increases and monetary policy uncertainty decreases after a lockdown shock

Moving Closer or Drifting Apart: Distributional Effects of Monetary Policy

Our paper picks up the current controversial debate about increasing (income) inequality due to recent monetary policy measures in major advanced economies. We use a VAR framework identified with sign restrictions to figure out how income inequality related measures react to monetary policy in six different advanced economies. These countries differ by their absolute income inequality as well as their redistribution. We choose the U.S., Canada and South Korea as countries with very little redistribution and Sweden, the Czech Republic and Hungary as countries with relatively high redistribution. While all economies experience an increase in Gini coeffcients of gross income in the presence of an expansionary monetary policy shock, only the U.S., Canada and South Korea also show a significant response in Gini coeffcient of net income. To figure out how the transmission of monetary policy to income inequality works we pick up the two major channels dominant in the literature: The employment channel and the income composition channel. The latter is analyzed by data from national accounts concerning two different kinds of income households receive: Labor related income and capital payments, both net. While we find that capital owners profit disproportionately in the less redistributing countries, we observe a more even reaction in both income types. This indicates that the harmful effects of expansionary monetary policy on the market income distribution are mitigated if the degree of redistribution is high

Leading Standards and the Business Cycle: Evidence from Loan Survey Releases

The Fed's Senior Loan Officer Opinion Survey (SLOOS) is widely considered a good indicator of banks' lending conditions. We use the change in corporate bond spreads on SLOOS release days to instrument changes in lending standards. A series of estimated IV local projections shows that lending standards have highly significant effects on macroeconomic and financial variables. A relaxation of standards expands economic activity and eases _- financial conditions. We then use the change in spreads and the change in the VIX index on release days to identify a pure credit supply shock and a risk-taking shock using sign restrictions in a Bayesian VAR model. We find that an easing in lending has different consequences for both types of shocks. While the VIX, the excess bond premium and stock prices decrease after a pure credit supply shock, they increase after a risk-taking shock

Prudential Policies in the Eurozone: A Propensity Score Matching Approach

This paper studies the effectiveness of micro- and macroprudential policy tools in the euro area. The established empirical literature on macroprudential policy generally considers panel estimations that suffer from two estimation biases, i.e., a selection bias and a time bias. We control for the former by a propensity score matching approach. Based on a logit model, we estimate the probability of a policy tightening for every country at each point in time. Matching procedures then find one or more matching partners for every tightening event with a similar likelihood of a tightening but no shift in the prudential policy stance. An iterative approach ensures that we offset the time bias, which exists if the estimation does not control for effects of pre- ceding and subsequent prudential policy changes. We find that the announcement of a prudential policy tightening reduces credit growth significantly by about 1% on average. We further differentiate between effects along three dimensions. First, we observe that lending is more affected when policymakers have not communicated the implementation of measures before. Second, the effects are more substantial when EU/EA institutions are behind changes in the prudential policy stance. Third, microprudential policy measures have a bigger impact than macroprudential policies

Offline Handwritten Signature Verification - Literature Review

The area of Handwritten Signature Verification has been broadly researched in the last decades, but remains an open research problem. The objective of signature verification systems is to discriminate if a given signature is genuine (produced by the claimed individual), or a forgery (produced by an impostor). This has demonstrated to be a challenging task, in particular in the offline (static) scenario, that uses images of scanned signatures, where the dynamic information about the signing process is not available. Many advancements have been proposed in the literature in the last 5-10 years, most notably the application of Deep Learning methods to learn feature representations from signature images. In this paper, we present how the problem has been handled in the past few decades, analyze the recent advancements in the field, and the potential directions for future research.Comment: Accepted to the International Conference on Image Processing Theory, Tools and Applications (IPTA 2017

The aggregate and country-specific effectiveness of ECB policy: evidence from an external instruments (VAR) approach

This paper studies the transmission of ECB monetary policy, both at the aggregate euro area and the country level. We estimate a VAR model for the euro area in which monetary policy shocks are identified using an external instrument that reflects policy surprises. For that purpose we use the change in German bunds at meeting days of the Governing Council. The identified monetary policy shock is then put into country-specific local projections in order to derive country-specific impulse responses. We find that (i) the transmission is very heterogeneous, both across channels and across countries, (ii) policy is transmitted through spreads, yields and the exchange rate, but less through banks and the stock market, and (iii) the strength of the transmission depends on structural characteristics of member countries, among them are current account balanced, debt to GDP levels, and the strength of banking systems

Entwicklung und Determinanten des US-Leistungsbilanzdefizits

Die USA weisen seit geraumer Zeit ein Leistungsbilanzdefizit auf. Der Grund hierfür ist die enorme negative Bilanz im Warenhandel. Diese besteht mit zahlreichen Staaten, die sich in asiatische Schwellenländer, ölexportierende Staaten und Industriestaaten einteilen lassen. Den weitaus größten Außenhandelsüberschuss mit den USA hat China. China erlebt einen massiven und langanhaltenden Wirtschaftsaufschwung, befördert von starken Investitionen und hohem Exportwachstum. Der in diesem Zusammenhang vor allem in den USA geäußerte Vorwurf, Chinas Exporte seien von staatlicher Seite massiv gestärkt, ist nicht völlig von der Hand zu weisen. Die mit dem US-Leistungsbilanzdefizit einhergehenden Netto-Kapitalimporte der USA sind allerdings auch vor dem Hintergrund der über lange Zeit expansiven Geldund Fiskalpolitik zu sehen. Der Exportüberschuss einer Reihe von Industrieländern mit den USA resultiert aus Strukturunterschieden und den damit verbundenen Spezialisierungen