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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10011128878

Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

Engler, Philipp; Steffen, Christoph Große - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...

Persistent link: https://www.econbiz.de/10011128859

How Much Fiscal Backing Must the ECB Have?: The Euro Area Is Not the Philippines

Belke, Ansgar - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ("repo"). This has led some commentators to argue that the ECB needs "fiscal...

Persistent link: https://www.econbiz.de/10008535997

Driven by the Markets?: ECB Sovereign Bond Purchases and the Securities Markets Programme

Belke, Ansgar - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

After the dramatic rescue package for the euro area, the governing council of the European Central Bank decided to purchase European government bonds - to ensure an “orderly monetary policy transmission mechanism”. Many observers argued that, by bond purchases, national fiscal policies could...

Persistent link: https://www.econbiz.de/10008492948

Declining Output Volatility in Germany: Impulses, Propagation, and the Role of Monetary Policy

Fritsche, Ulrich; Kuzin, Vladimir - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004

This paper investigates the effect of economic integration on the ability of firms to maintain a collusive understanding about staying out of each other's markets. The paper distinguishes among different types of trade costs: ad valorem, unit, fixed. It is shown that for a sufficient reduction...

Persistent link: https://www.econbiz.de/10005068976

The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule

Beckmann, Joscha; Belke, Ansgar; Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both...

Persistent link: https://www.econbiz.de/10010933709

The Cross-Section of Output and Inflation in a Dynamic Stochastic General Equilibrium Model with Sticky Prices

Döpke, Jörg; Funke, Michael; Holly, Sean; Weber, Sebastian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

output and inflation across a population of firms is studied. The only form of heterogeneity is confined to the probability … of output and inflation depend crucially on the proportion of firms that are allowed to change their prices. We test this …-cyclical correlation between the skewness of inflation and aggregates, but the relation with output is less sure. Our results can be …

Persistent link: https://www.econbiz.de/10005018674

Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound: Evidence for the ECB and the Fed

Belke, Ansgar; Klose, Jens - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

(close to) zero central banks can influence the inflation expectations via quantitative easing. The unobservable inflation … interest rate and the potential output - both needed for estimations of Taylor reaction functions. We test our approach for the … inflation gap, money growth and the risk spread, the response to asset price inflation becomes more pronounced during the crisis …

Persistent link: https://www.econbiz.de/10010556953

Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach

Bernoth, Kerstin; Erdogan, Burcu - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...

Persistent link: https://www.econbiz.de/10008740506

A Simple Model of an Oil Based Global Savings Glut: The "China Factor" and the OPEC Cartel

Belke, Ansgar; Gros, Daniel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

The purpose of this contribution is to illustrate the mechanism by which higher oil prices might lead to lower interest rates in the context of a simple model that takes into account the global external savings equilibrium. The simple model has interesting implications for how one views the huge...

Persistent link: https://www.econbiz.de/10005068691