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We explore the reaction of the euro area periphery sovereigns' fiscal positions to an unconventional monetary policy shock. We estimate panel vector autoregressive (VAR) models over the period 2010-2018, and identify the shock by imposing sign restrictions. Our results suggest that the...
Persistent link: https://www.econbiz.de/10012843420
This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield … news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …
Persistent link: https://www.econbiz.de/10012892159
particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond …
Persistent link: https://www.econbiz.de/10012838235
contrast, banks in the core countries expand their loan portfolios, rather than adjusting their domestic sovereign bond …
Persistent link: https://www.econbiz.de/10013324211
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012867012
ideas: (1) to create multitranche "sovereign bond-backed securities" (SBBS), of which the senior tranche would constitute a … safe asset; (2) to create a senior, publicly owned financial intermediary that would issue a bond backed by a diversified … diversified pool of senior sovereign bonds ("multitranche national bond issuance"). Public attention (including public criticism …
Persistent link: https://www.econbiz.de/10012865169
We assess public finances solvency for Euro Area countries using quarterly data between 1999Q1 and 2020Q4. Through a country-by-country analysis, the answer to the title question is true. For most countries, (i) the primary budget balance reacts positively to the lagged public debt ratio and...
Persistent link: https://www.econbiz.de/10014076999
provided to non-financial corporations (NFCs) during the last three decades in four Eurozone countries, namely Germany, France …
Persistent link: https://www.econbiz.de/10013315007
European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis … covering the entire timeline of the Eurozone crisis, I first re-confirm that the crisis led to the reallocation of sovereign …
Persistent link: https://www.econbiz.de/10012859050
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...
Persistent link: https://www.econbiz.de/10010280818