This project aims at analyzing the impact of monetary policy on the international allocation of risk in a two-country dynamic stochastic general equilibrium model with sticky prices and international portfolio choice. The model features endogenous firms entry which influences the evolution of...

This project aims at analyzing the impact of monetary policy on the international allocation of risk in a two-country dynamic stochastic general equilibrium model with sticky prices and international portfolio choice. The model features endogenous firms entry which influences the evolution of...

This study assesses how banking sector integration and especially cross-border lending affect macroeconomic stability. I use a two-country general equilibrium model with heterogeneous banks that are hit by idiosyncratic shocks. According to the concept of granularity, idiosyncratic shocks to...

Patterns in cross-border banking have changed since the global financial crisis. This may affect domestic bank market structures and macroeconomic stability in the longer term. In this study, I theoretically and empirically analyze how different modes of cross-border banking impact bank...

This paper develops a two-country DSGE model for a monetary union in which each country is populated by two types of households - savers and borrowers - and two types of production sectors - a consumption goods sector and a housing sector. Households trade nominal private debt in equilibrium,...

This paper develops a two-country DSGE model for a monetary union in which each country is populated by two types of households - savers and borrowers - and two types of production sectors - a consumption goods sector and a housing sector. Households trade nominal private debt in equilibrium,...

The paper scrutinizes the role of wages and capital flows for competitiveness in the new EU member states in the context of real convergence. For this purpose it extends the seminal Balassa-Samuelson model by international capital markets. The augmented Balassa-Samuelson model is linked to the...

The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...

Perfect consumption risk sharing requires both, frictionless goods as well as frictionless financial market integration. This project aims at analyzing the consequences of both type of frictions for the allocation of risk across countries in a unified framework. To this end, the theoretical...

The determinants of the cross-market transmission mechanism for terrorist shocks are explored, focusing on two major terrorist events and 68 national stock markets. We generate daily abnormal returns from a three-factor world asset pricing model. Abnormal returns are then regressed on proxies of...