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Loan Supply Shocks During the Financial Crisis : Evidence for the Euro Area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershaeuser, Timo - 2021

This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which...

Persistent link: https://www.econbiz.de/10013316038

Loans, Insurance and Failures in the Credit Market for Students

Del Rey, Elena - 2011

order to provide a rationale for these observations, we present a model with perfectly competitive banks and risk averse … default penalties increase, the level of student risk aversion proves crucial in determining the market outcome. If risk … student risk aversion is high, high ability students are separated and student loan contracts involve a limited amount of …

Persistent link: https://www.econbiz.de/10013127182

Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Houssa, Romain - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10013080004

Regional Implications of Financial Market Development : Credit Rationing, Trade, and Location

von Ehrlich, Maximilian - 2013

We develop a heterogeneous-firms model with trade in goods, labor mobility and credit constraints due to moral hazard. Mitigating financial frictions reduces the incentive of high-skilled workers to migrate to one region such that an unequal distribution of industrial activity becomes less...

Persistent link: https://www.econbiz.de/10013088130

Basel Accord and Financial Intermediation : The Impact of Policy

Berka, Martin - 2013

This paper studies loan activity in a context where banks must follow Basel Accord-type rules and acquire financing from households. Loan activity typically decreases when entrepreneurs' investment returns decline, and we study which type of policy could revigorate an economy in a trough. We...

Persistent link: https://www.econbiz.de/10013091686

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...

Persistent link: https://www.econbiz.de/10013065379

Identifying Uncertainty Shocks Using the Price of Gold

Piffer, Michele - 2017

We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The variations in the price of gold around the events...

Persistent link: https://www.econbiz.de/10012961957

Uncertainty Across Volatility Regimes

Angelini, Giovanni - 2018

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

Persistent link: https://www.econbiz.de/10012927574

Inter-Temporal Savings, Current Account Dynamics and Asymmetric Shocks in a Heterogeneous European Monetary Union

Schnabl, Gunther - 2013

theory of optimum currency areas. We show that the asymmetric shock of the German unification can be seen not only as the … financial risk, but would also impose austerity on the rest of Europe. The resulting new wave of crisis could trigger a new …

Persistent link: https://www.econbiz.de/10013094029

Tests of Policy Ineffectiveness in Macroeconometrics

Pesaran, M. Hashem - 2014

This paper proposes tests of policy ineffectiveness in the context of macroeconometric rational expectations models. It is assumed that there is a policy intervention that takes the form of changes in the parameters of a policy rule, and that there are sufficient observations before and after...

Persistent link: https://www.econbiz.de/10013050473

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