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: 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: Monetary Policy; Heterogeneity; Liquidity Constraints; Local Projection Instrumented Variables

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: Euro Area

Time Period(s): 1/1/2000 – 12/31/2012

Universe: Survey of Households in Euro Area countries.

Data Type(s): aggregate data; survey data

Methodology

Data Source: Household Finance and Consumption Survey (HFCS)

Unit(s) of Observation: Household

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Published Versions

V1 [2022-09-28]

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