Data and Code for: Monetary Policy and Liquidity Constraints

Principal Investigator(s):  View help for Principal Investigator(s) Mattias Almgren, IIES, Stockholm University; José-Elías Gallegos, Banco de España; John Kramer, Copenhagen University; Ricardo Lima, IIES, Stockholm University

Version:  View help for Version V1

Name File Type Size Last Modified
  repl_AEJ 07/18/2021 04:01:PM

Project Citation: 

Almgren, Mattias, Gallegos, José-Elías, Kramer, John , and Lima, Ricardo. Data and Code for: Monetary Policy and Liquidity Constraints. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-09-28. https://doi.org/10.3886/E140201V1

Project Description

Summary:  View help for Summary We quantify the relationship between the response of output to monetary policy shocks and the share of liquidity constrained households. We do so in the context of the euro area, using a Local Projections Instrumental Variables estimation. We construct an instrument for changes in interest rates from changes in overnight indexed swap rates in a narrow time window around ECB announcements. Monetary policy shocks have heterogeneous effects on output across countries. Using micro data, we show that the elasticity of output to monetary policy shocks is larger in countries that have a larger fraction of households that are liquidity constrained.

Scope of Project

Subject Terms:  View help for Subject Terms Monetary Policy; Heterogeneity; Liquidity Constraints; Local Projection Instrumented Variables
JEL Classification:  View help for JEL Classification
      E21 Macroeconomics: Consumption; Saving; Wealth
      E31 Price Level; Inflation; Deflation
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      F45 Macroeconomic Issues of Monetary Unions
Geographic Coverage:  View help for Geographic Coverage Euro Area
Time Period(s):  View help for Time Period(s) 1/1/2000 – 12/31/2012
Universe:  View help for Universe Survey of Households in Euro Area countries.
Data Type(s):  View help for Data Type(s) aggregate data; survey data

Methodology

Data Source:  View help for Data Source Household Finance and Consumption Survey (HFCS)
Unit(s) of Observation:  View help for Unit(s) of Observation Household

Related Publications

Download this project

Published Versions

V1 [2022-09-28]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.