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Greece's three-act tragedy : a simple model of Grexit vs. staying afloat inside the single currency area

Chen, Yu-Fu; Funke, Michael - 2015

is described using a stochastic regime-switching model; second, the euro area governments’ responses to uncertain … macroeconomic policies in Greece are considered. The model's mechanism and assumptions allow either for a Grexit from the euro area … understand key drivers of the long-winded negotiations between the Syiza government and the euro area governments. …

Persistent link: https://www.econbiz.de/10011406792

The signalling channel of central bank interventions : modelling the yen

Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - 2011

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...

Persistent link: https://www.econbiz.de/10009312174

Booms, recessions and financial turmoil : a fresh look at investment decisions under cyclical uncertainty

Chen, Yu-Fu; Funke, Michael - 2009

The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and volatility. In our setting the shifts are governed by a three-state Markov...

Persistent link: https://www.econbiz.de/10003872827

What drives Target2 Balances? : evidence from a panel analysis

Auer, Raphael A. - 2013

is that since T2 imbalances were caused by a sudden stop and are unlikely to grow without bounds since Euro area CA …

Persistent link: https://www.econbiz.de/10009736765

The countercyclical capital buffer and the composition of bank lending

Auer, Raphael A.; Ongena, Steven - 2019

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

Persistent link: https://www.econbiz.de/10012064522

Exchange rate pass-through, domestic competition, and inflation : evidence from the 2005/08 revaluation of the Renminbi

Auer, Raphael A. - 2012

This paper quantifies the effect of the government-controlled appreciation of the Chinese renminbi (RMB) vis-à-vis the USD from 2005 to 2008 on the prices charged by US producers. As the RMB during that time was pegged to a basket of currencies, the empirical strategy must account for the fact...

Persistent link: https://www.econbiz.de/10009511759

The undisclosed renminbi basket : are the markets telling us something about where the renminbi - US dollar exchange rate is going?

Funke, Michael (contributor); Gronwald, Marc (contributor) - 2008

Persistent link: https://www.econbiz.de/10003674399