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Banks' portfolio of government debt and sovereign risk

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks' portfolio of public debt and reduces the...

Persistent link: https://www.econbiz.de/10014383613

Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies during the period 1984-2022, through the implementation of OLS-Fixed Effects regressions and the Generalized Method of Moments (GMM). We find that geopolitical tensions and global...

Persistent link: https://www.econbiz.de/10014442414

Asian crises : theory, evidence, warning-signals

Stein, Jerome L.; Lim, Guay C. - 2004

In July 1997, the economies of East Asia became embroiled in one of the worst financial crises of the postwar period. Yet, prior to the crisis, these economies were seen as models of economic growth experiencing sustained growth rates that exceeded those earlier thought unattainable. Why did the...

Persistent link: https://www.econbiz.de/10011402540

Going to extremes : politics after financial crisis, 1870 - 2014

Funke, Manuel; Schularick, Moritz; Trebesch, Christoph - 2015

Partisan conflict and policy uncertainty are frequently invoked as factors contributing to slow post-crisis recoveries. Recent events in Europe provide ample evidence that the political aftershocks of financial crises can be severe. In this paper we study the political fall-out from systemic...

Persistent link: https://www.econbiz.de/10011349087

Betting the house

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10010468583

The great mortgaging : housing finance, crises, and business cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10010412763

The equilibrium value of the Euro/$ US exchange rate : an evaluation of research

Stein, Jerome L. - 2001

The ultimate object of research concerning the Euro is to answer the following questions: (#1) What is the equilibrium … trajectory of the nominal euro, measured as dollars/euro? (#2) To what extent has the equilibrium nominal euro been determined by … transitory factors in affecting the value of the euro? (#4) Is the euro currently undervalued, and by what criteria? Our …

Persistent link: https://www.econbiz.de/10011399350

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - 2024

Acknowledging the potential detrimental impact that twin-deficits may have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European Economies between 2001Q4 and 2022Q3. To do so, we...

Persistent link: https://www.econbiz.de/10014486806

Secular stagnation : is immigration part of the solution?

Alves, José; Morgado, Sandro - 2022

In our article we review the secular stagnation hypothesis, firstly postulated by Hansen (1939), to describe the current macroeconomic dynamics faced by developed economies. Based in the existing literature, we elaborate on a workable definition of secular stagnation founded on four pillars:...

Persistent link: https://www.econbiz.de/10012815750

A tale of two debt crises : a stochastic optimal control analysis

Stein, Jerome L. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003641668