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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads

Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011

In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...

Persistent link: https://www.econbiz.de/10010286429

After the Bust: The Outlook for Macroeconomics & Macroeconomic Policy

Palley, Thomas I. - 2008

The current economic crisis offers an historic opportunity for change. The depth of the crisis means there will likely be a policy turn in a Keynesian and even Post Keynesian direction. However, there are profound political, intellectual and sociological obstacles blocking change in underlying...

Persistent link: https://www.econbiz.de/10010460471

The European Financial and Economic Crisis: Alternative Solutions from a (Post-) Keynesian Perspective

Hein, Eckhard; Truger, Achim; van Treeck, Till - 2011

The financial and economic crisis in the Euro area has revealed a number of important flaws in the economic policy … euro, are not sustainable; and this is more serious in a period of crisis in particular. On the other hand, it has become … clear that the Euro area suffers from a serious lack of institutions and policy concepts, which will not allow coping with …

Persistent link: https://www.econbiz.de/10010460503

Did inequality cause the U.S. financial crisis?

van Treeck, Till - 2012

In his widely discussed book "Fault Lines" (2010), Raghuram Rajan argues that many U.S. consumers have reacted to the decline in their relative permanent incomes since the early 1980s by reducing saving and increasing debt. This has temporarily kept private consumption and thus aggregate demand...

Persistent link: https://www.econbiz.de/10010460517

Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis

Theobald, Thomas - 2012

This paper uses several macroeconomic and financial indicators within a Markov Switching (MS) framework to predict the turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession and the recovery after the financial crisis. We show...

Persistent link: https://www.econbiz.de/10010460521

Is socially responsible investing really beneficial? New empirical evidence for the US and European stock markets

Mollet, Janick Christian; Ziegler, Andreas - 2012

This paper empirically examines the theoretically ambivalent relationship between socially responsible investing (SRI) and stock performance. It extends the existing literature by considering both the US and the entire European stock markets as well as by using consistent world-wide corporate...

Persistent link: https://www.econbiz.de/10010294388

Bayesian estimation of a DSGE model with inventories

Foerster, Marcel - 2011

This paper introduces inventories in an otherwise standard Dynamic Stochastic General Equilibrium Model (DSGE) of the business cycle. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. The paper's main contribution is...

Persistent link: https://www.econbiz.de/10010281471

The changing dynamics of US inflation persistence: A quantile regression approach

Tillmann, Peter; Wolters, Maik H. - 2012

We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. Economic theory, however, provides various...

Persistent link: https://www.econbiz.de/10010281472

Macroeconomic dynamics and inflation regimes in the US: Results from threshold vector autoregressions

Mandler, Martin - 2010

This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low inflation regime with both regimes being strongly persistent....

Persistent link: https://www.econbiz.de/10010286376

Central bank communication and correlation between financial markets: Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...

Persistent link: https://www.econbiz.de/10010286380