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Hartmann, Philipp; Straetmans, Stefan; Vries, Casper de - 2004

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

Persistent link: https://www.econbiz.de/10009636547

The global financial crisis and its effects on the Netherlands

Masselink, Maarten; Van den Noord, Paul - 2009

With very low unemployment, a large and stable current account surplus, low government debt and a budget in surplus, the Dutch economy was assessed initially to be relatively well prepared to weather the financial and economic crisis. In 2008, however, the negative effects of the financial...

Persistent link: https://www.econbiz.de/10009641070

Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero

Coenen, Günter; Orphanides, Athanasios; Wieland, Volker - 2003

This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We ﬁnd that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the...

Persistent link: https://www.econbiz.de/10009635983

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …

Persistent link: https://www.econbiz.de/10009635881