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How do credit supply shocks propagate internationally? A GVAR approach
Eickmeier, Sandra; Ng, Tim - Deutsche Bundesbank - 2011
We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...
Persistent link: https://www.econbiz.de/10009416983
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Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - Deutsche Bundesbank - 2015
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10011212003
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Does trade openness increase firm-level volatility?
Strotmann, Harald; Döpke, Jörg; Buch, Claudia M. - Deutsche Bundesbank - 2006
From a theoretical point of view, greater trade openness affects firm-level volatility by changing the exposure and the reaction of firms to macroeconomic shocks. The net effect is ambiguous, though. This paper provides firm-level evidence on the link between openness and volatility. Using two...
Persistent link: https://www.econbiz.de/10005083213
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Global business cycles: convergence or decoupling?
Kose, M. Ayhan; Otrok, Christopher M.; Prasad, Eswar S. - Deutsche Bundesbank - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10005083323
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Recent developments in quantitative models of sovereign default
Stähler, Nikolai - Deutsche Bundesbank - 2011
The current crisis and discussions, in the euro area in particular, show that sovereign debt crises/defaults are no longer restricted to developing economies. After crises in many Latin American countries, the literature on quantitative dynamic macro-models of sovereign default has been...
Persistent link: https://www.econbiz.de/10009283656
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The two-sided effect of financial globalization on output volatility
Meller, Barbara - Deutsche Bundesbank - 2011
This paper provides evidence for a significant relation between international financial markets' integration and output volatility. In the framework of a threshold model, it is shown empirically that this relation depends on country's financial risk. Financial risk indicates a country's ability...
Persistent link: https://www.econbiz.de/10009021914
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Credit contagion between financial systems
Podlich, Natalia; Wedow, Michael - Deutsche Bundesbank - 2011
We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …
Persistent link: https://www.econbiz.de/10010954915
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Contagion in the interbank market and its determinants
Memmel, Christoph; Sachs, Angelika - Deutsche Bundesbank - 2011
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of … interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the …
Persistent link: https://www.econbiz.de/10010954917
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German bank lending during emerging market crises: A bank level analysis
Heid, Frank; Nestmann, Thorsten; Mauro, di; Weder, Beatrice - Deutsche Bundesbank - 2004
This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...
Persistent link: https://www.econbiz.de/10005082775
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Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?
Upper, Christian; Worms, Andreas - Deutsche Bundesbank - 2002
contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of … contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably … reduces – but does not eliminate – the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …
Persistent link: https://www.econbiz.de/10005083183