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Inflation synchronization and shock transmission between the eurozone and the non-Euro CEE economies : a wavelet quantile var approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2024

Persistent link: https://www.econbiz.de/10014546177

The role of systemic risk spillovers in the transmission of Euro area monetary policy

Skouralis, Alexandros - 2021

This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The...

Persistent link: https://www.econbiz.de/10012704731

Heterogeneous macro and financial effects of ECB asset purchase programs

Zwan, Terri van der; Kole, Erik; Wel, Michel van der - 2021

Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...

Persistent link: https://www.econbiz.de/10012795397

Identifying the shocks behind business cycle asynchrony in Euroland

Trenkler, Carsten; Weber, Enzo - 2012

This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse...

Persistent link: https://www.econbiz.de/10011489953

Shock dependence of exchange rate pass-through: a comparative analysis of BVARs and DSGEs : ESCB WGF/WGEM expert group on exchange rate pass-through

Comunale, Mariarosaria - 2020

Persistent link: https://www.econbiz.de/10012250825

Disentangling Covid-19, economic mobility, and containment policy shocks

Camehl, Annika; Rieth, Malte - 2021

We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...

Persistent link: https://www.econbiz.de/10012434050

Interconnections between Eurozone and US booms and busts using a Bayesian Panel Markov-Switching VAR mode

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2015

Interconnections between Eurozone and United States booms and busts and among major Eurozone economies are analyzed … common Eurozone cycle is derived by aggregating the country-specific cycles. The model is estimated using a simulation based … Eurozone in recent years different from the US. The Eurozone and the US regimes appear not fully synchronized, with evidence of …

Persistent link: https://www.econbiz.de/10011335013

Interactions between Eurozone and US booms and busts : a Bayesian panel Markov-switching VAR model

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2013

Persistent link: https://www.econbiz.de/10010191237

Monetary policy transmission: the case of Lithuania

Stakėnas, Julius; Stasiukynaitė, Rasa - 2016

Persistent link: https://www.econbiz.de/10011720983

Transmission of government spending shocks in the Euro area : time variation and driving forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10011380027