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The impact of ECB policies on Euro area investment. (2016). Labondance, Fabien ; Creel, Jerome ; Hubert, Paul ; Blot, Christophe.
In: Working Papers.
RePEc:hal:wpaper:hal-03459319.

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  1. . Δ ℎ With I the investment, VA the value-added, Marge the margin rate, Shadow the indicator of monetary policy calculated by Wu and Xia (2016) and that takes into account the unconventional monetary policy measures. The bank spread is the gap between the interest rate on loans for non-financial corporations and the EONIA rate. CUR stands for the rate of capacity utilization. In the long term, an increase in margins has a significant positive impact on the investment rate. The cost of funding (measured by the indicator of monetary policy and the bank spread) affects negatively and significantly the investment rate. The model is estimated by OLS for the euro area. The sample period for estimation is 1999Q1 / 2015Q4. Data are taken from Eurostat, ECB and Datastream.
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  2. Economics Letters, forthcoming  Pesaran H. and R.P. Smith, 2016. Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing. Research in Economics, forthcoming.

  3. fr/fileadmin/user_upload/banque_de_france/publications/Revue_de_la_stabilite_f inanciere/etud1_0208.pdf  Barigozzi, M., Conti, A.M., Luciani, M., 2014. Do Euro area countries respond asymmetrically to the common monetary policy? Oxford Bulletin of Economics and Statistics 76(5), 693-714. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2487586  Barkbu, B., Pelin Berkmen, S., Lukyantsau, P., Saksonovs, S., Schoelermann, H., 2015.

  4. http://pages.stern.nyu.edu/~dbackus/GE_asset_pricing/Bloom%20uncer%20shocks%2 0Ec%2009.pdf  Blot, C., Creel, J., Hubert, P., Labondance, F., 2015. The QE experience: worth a try? Briefing Paper prepared for the Monetary Dialogue, European Parliament, March. http://www.ofce.sciences-po.fr/pdf/briefings/2015/briefing10.pdf  Ducoudré, B., Plane, M., Villemot, S., 2015. Equations d’investissement, une comparaison internationale dans la crise. Revue de l’OFCE 138, 205-221.

  5. http://socsci2.ucsd.edu/~aronatas/project/academic/Stiglitz%20credit.pdf  Wu J. C. and F. D. Xia, 2016. Measuring the macroeconomic impact of monetary policy at the Zero lower bound. Journal of Money Credit and Banking, 48(2-3), 253-291.

  6. https://www.imf.org/external/np/res/seminars/2015/arc/pdf/Xia.pdf Policy Department A: Economic and Scientific Policy PE 569.994 APPENDIX The estimated equation (an error-correction model) for total investment in the euro area is represented by the following equation: Δ = −0.086 . + − 0.023 . . − 0.035 . . ℎ − 0.151 . . + 2.09 . − 0.214 . ΔI + 0.138 . ΔI + 1.108 . ΔVA − 0.006 . ΔCUR + 0.03 . . Δ ℎ + 0.006 .
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  7. Investment in the Euro area: Why has it been weak? IMF Working Paper 15/32, February. https://www.imf.org/external/pubs/ft/wp/2015/wp1532.pdf  Bernanke, B. S., Gertler, M., & Gilchrist, S., 1999. The financial accelerator in a quantitative business cycle framework. Handbook of macroeconomics, 1, 1341-1393.

  8.  Adrian, T., & Shin, H. S. 2008. Liquidity and financial contagion. Banque de France Financial Stability Review: Special Issue on Liquidity, 11, 1-7. https://www.banquefrance.

  9.  Bloom, N., 2009. The impact of uncertainty shocks. Econometrica, 77(3), 623-685.

  10.  Friedman, B., 2015. Has the financial crisis permanently changed the practice of monetary policy? Has it changed the theory of monetary policy? The Manchester School Supplement, 5-19. http://www.nber.org/papers/w20128  Korobilis, D., 2013. Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics 75(2), 157179. http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2011.00687.x/abstract  Kremp E. and P. Sevestre, 2013. Did the crisis induce credit rationing for French SMEs?. Journal of Banking and Finance, Vol. 37, pp. 3757-3772. https://www.banquefrance. fr/fileadmin/user_upload/banque_de_france/Economie_et_Statistiques/Kremp.pd f

  11.  Peersman G., 2011. Macroeconomic Effects of unconventional monetary policy in the euro area. ECB Working Paper n1397. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1397.pdf?99ef78cb1aa613f60d8716 d0db59b585  Sahuc, J.-G., 2016. The ECB’s asset purchase programme: A model-based evaluation.

  12.  Stiglitz, J. E., & Weiss, A., 1981. Credit rationing in markets with imperfect information. The American Economic Review, 71(3), 393-410.

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