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Sovereign Debt, Bail-Outs and Contagion in a Monetary Union
Eijffinger, Sylvester; Uras, Burak R.; Kobielarz, M.L. - Tilburg University, Center for Economic Research - 2015
Abstract: The European sovereign debt crisis is characterized by the simultaneous surge in borrowing costs in the GIPS countries after 2008. We present a theory, which can account for the behavior of sovereign bond spreads in Southern Europe between 1998 and 2012. Our key theoretical argument is...
Persistent link: https://www.econbiz.de/10011199228
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Stability of Monetary Unions : Lessons from the Break-Up of Czechoslovakia
Fidrmuc, J.; Horváth, J. - Tilburg University, Center for Economic Research - 1998
In 1993, Czechoslovakia experienced a two-fold break-up: On January 1st, the country disintegrated as a political union, while preserving an economic and monetary union. Then, the Czech-Slovak monetary union collapsed on February 8th. We analyze the economic background of the two break-ups, and...
Persistent link: https://www.econbiz.de/10011092912
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Systemic sovereign risk: macroeconomic implications in the euro area
Bahaj, Saleem A. - London School of Economics (LSE) - 2014
What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel identification strategy coupled with a new dataset for the Euro Area to answer this question. I show that exogenous innovations in sovereign risk premia were an important driver of the...
Persistent link: https://www.econbiz.de/10011126365
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Early warning for currency crises: what is the role of financial openness?
Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013
constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …
Persistent link: https://www.econbiz.de/10010757284
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Measuring Stock Market Contagion with an Application to the Sub-prime Crisis
Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009
We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …
Persistent link: https://www.econbiz.de/10004963328
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Bubbles and capital flows
Ventura, Jaume - Society for Economic Dynamics - SED - 2004
This paper presents a stylized model of international trade and asset price bubbles. Its central insight is that bubbles tend to appear and expand in countries where productivity is low relative to the rest of the world. These bubbles absorb local savings, eliminating inefficient investments and...
Persistent link: https://www.econbiz.de/10005090899
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Can Open Capital Markets Help Avoid Currency Crises?
Garita, Gus; Zhou, Chen - de Nederlandsche Bank - 2009
currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of … measure, we test for contagion and conclude that contagion only exists regionally. Furthermore, we construct a â …€œcross-market rebalancing variable based on the regional CPJF. By employing a probit model to compare our new variable with a regular contagion …
Persistent link: https://www.econbiz.de/10005101790
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Currency Crises Models for Emerging Markets
Vlaar, P.J.G. - de Nederlandsche Bank - 1999
In this paper, a new method is introduced to predict currency crises. The method models a continuous crisis index, based on depreciations and reserve losses. The fact that during currency crises, the behaviour of market participants differs from normal circumstances is modelled by means of model...
Persistent link: https://www.econbiz.de/10005030240
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Inside the Impossible Triangle:Monetary Policy Autonomy in a Credible Target Zone
Jansen, W. Jos - de Nederlandsche Bank - 2003
This paper examines the trade-off between exchange rate stability and monetary autonomy for a target zone. Using the guilder-mark target zone in the pre-EMU period as a case study, we empirically estimate how much policy discretion the Dutch central bank still enjoyed and how much had been ceded...
Persistent link: https://www.econbiz.de/10005106747
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Money, Fiscal Defecits and Government Debt in a Monetary Union
Bovenberg, A.L.Bovenberg; van Aarle, B.; Raith, M. - Tilburg University, Center for Economic Research - 1996
The replacement of national currencies by a common currency in the EMU causes a monetary externality if the European Central Bank is inclined to monetize part of outstanding government debt in the community.High government debt in one part of the EU then increases the common inflation rate.We...
Persistent link: https://www.econbiz.de/10011092899