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The Financial Stability Dark Side of Monetary Policy. (2016). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio.
In: BCAM Working Papers.
RePEc:bbk:bbkcam:1601.

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  1. Labor market and financial shocks: a time varying analysis. (2018). Nispi Landi, Valerio ; Corsello, Francesco.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1179_18.

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  2. Macroeconomic activity and risk indicators: an unstable relationship. (2017). Marcellino, Massimiliano ; Abbate, Angela.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1756.

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References

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  19. Figures Figure 1: GZ spread, Moody's BAA-AAA spread and Excess Bond Premium Notes: The gure compares three dierent indicators of tensions in credit markets, i.e., the GZ spread (red line), the Moody's spread between Seasoned BAA and AAA Corporate Bond Yield (blue line) and the EBP (green line). Sample is 1973:01 - 2012:10. Figure 2: IRFs to a monetary policy shock, baseline (Specification 1) 25 bp Employment 10 20 30 40 50 60 −4 −2 0 x 10 −3 50 bp 10 20 30 40 50 60 −10 −5 0 x 10 −3 100 bp 10 20 30 40 50 60 −20 −15 −10 −5 0 5 x 10 −3 25 bp Industrial Production 10 20 30 40 50 60 −8 −6 −4 −2 0 2 x 10 −3 50 bp 10 20 30 40 50 60 −15 −10 −5 0 5 x 10 −3 100 bp 10 20 30 40 50 60 −0.03 −0.02 −0.01 0 0.01 25 bp Unemployment rate 10 20 30 40 50 60 −0.1 0 0.1 0.2 50 bp 10 20 30 40 50 60 −0.2 0 0.2 0.4 100 bp 10 20 30 40 50 60 0 0.5 1
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  42. Notes: The black line represents the estimated median impulse response to a positive shock, i.e. an increase of the policy instrument, together with its 68% (the dark grey shaded area) and its 90% (the light grey shaded area). The red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the policy instrument, a monetary easing, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left panel to the right increasing sizes of the shocks are plotted. Here we are conditioning on a given point in time of the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1973:01 - 2012:10.
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  47. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-10: Italy, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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  48. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-4: Euro Area, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
    Paper not yet in RePEc: Add citation now
  49. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-6: France, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
    Paper not yet in RePEc: Add citation now
  50. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-8: Germany, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
    Paper not yet in RePEc: Add citation now
  51. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08.
    Paper not yet in RePEc: Add citation now
  52. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08. Figure B-5: France, IRF to a NFC spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
    Paper not yet in RePEc: Add citation now
  53. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08. Figure B-7: Germany, IRF to a NFC spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
    Paper not yet in RePEc: Add citation now
  54. The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08. Figure B-9: Italy, IRF to a NFC spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
    Paper not yet in RePEc: Add citation now
  55. Veronesi, P. (1999). Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model. Review of Financial Studies, 12 (5), 9751007.

  56. Woodford, M. (2012). Ination targeting and nancial stability. Working Paper 17967, NBER.
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