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Asymmetric Monetary Policy Effects in Germany
Kuzin, Vladimir; Tober, Silke - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004
In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the...
Persistent link: https://www.econbiz.de/10004963955
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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
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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
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The Chinese Impact on GDP Growth and Inflation in the Industrial Countries
Dreger, Christian; Zhang, Yanqun - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
investigates to what extent this process affects output growth and inflation in the advanced countries. A GVAR model is specified … multipliers are also reduced by a sizeable effect on inflation, as Chinese firms participate in international production chains. …
Persistent link: https://www.econbiz.de/10009294978
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Common and Spatial Drivers in Regional Business Cycles
Artis, Michael; Dreger, Christian; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We examine real business cycle convergence for 41 euro area regions and 48 US states. Results obtained by a panel model with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two decades in the euro area and the US. Ongoing business...
Persistent link: https://www.econbiz.de/10004963818
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Banks in Space: Does Distance Really Affect Cross-Border Banking?
Neugebauer, Katja - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
During the last years, gravity equations have leapt from the trade literature over into the literature on financial markets. Martin and Rey (2004) were the first to provide a theoretical model for cross-border asset trade, yielding a structural gravity equation that could be tested empirically....
Persistent link: https://www.econbiz.de/10010661271
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Optimal Monetary Policy in a Monetary Union with Housing and Credit Market Heterogeneity
Elstner, Steffen; Hristov, Nikolay; Hülsewig, Oliver; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
central bank puts a higher weight on stabilizing inflation in the country with a higher degree of nominal rigidity continues …-country disparities in the degree of price rigidities on the volatility of inflation are amplified. While the volatility of inflation in … the economy with a higher degree of price rigidity is almost as low as in the model without borrowers, inflation in the …
Persistent link: https://www.econbiz.de/10010661280
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Optimal Monetary Policy in a Monetary Union with Housing and Credit Market Heterogeneity
Elstner, Steffen; Hristov, Nikolay; Hülsewig, Oliver; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
central bank puts a higher weight on stabilizing inflation in the country with a higher degree of nominal rigidity continues …-country disparities in the degree of price rigidities on the volatility of inflation are amplified. While the volatility of inflation in … the economy with a higher degree of price rigidity is almost as low as in the model without borrowers, inflation in the …
Persistent link: https://www.econbiz.de/10011128094
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Flight-to-Liquidity and the Great Recession
Radde, Sören - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to financial frictions and idiosyncratic funding liquidity risk in their...
Persistent link: https://www.econbiz.de/10011128868
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Banks in Space: Does Distance Really Affect Cross-Border Banking?
Neugebauer, Katja - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
During the last years, gravity equations have leapt from the trade literature over into the literature on financial markets. Martin and Rey (2004) were the first to provide a theoretical model for cross-border asset trade, yielding a structural gravity equation that could be tested empirically....
Persistent link: https://www.econbiz.de/10010896125