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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

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

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

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

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

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

Does the ECB Rely on a Taylor Rule?: Comparing Ex-post with Real Time Data

Belke, Ansgar; Klose, Jens - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

effects can influence the reaction to inflation and the output gap either way, we use a more clear-cut approach to disentangle … estimated inflation coefficients while the opposite is true for the output gap coefficients. If real time data forecasts for the … sense of even increasing the inflation response but lowering the reaction to the output gap while the reverse is true if …

Persistent link: https://www.econbiz.de/10005068827

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

Fractional Cointegration in US Term Spreads

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

Persistent link: https://www.econbiz.de/10008555899