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model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the …
Persistent link: https://www.econbiz.de/10012704731
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We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...
Persistent link: https://www.econbiz.de/10011928806
-Carlo experiments. The estimated impulse responses indicate that a positive shock to the target is associated with a large increase in … inàation and long-term interest rates in the US and the industrialised world. Target shocks are estimated to be a vital factor …
Persistent link: https://www.econbiz.de/10011867818
by idiosyncratic, and to a lesser extent also world, shocks. Additionally, real shocks prove relevant rather than nominal …
Persistent link: https://www.econbiz.de/10011489953
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This paper examines the financial stress interconnectedness among GIIPS economies and Germany. Based on market level financial stress indices, it examines the stress transmission process as well as the causal network relationships in banking sector, bond, money and stock markets. The period...
Persistent link: https://www.econbiz.de/10011759684
assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent … consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro … for all countries over a period of roughly a year following an uncertainty shock. Moreover, equity prices, short …
Persistent link: https://www.econbiz.de/10011978764