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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013094544
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The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis
Hristov, Nikolay - 2013
This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro–area banks to the global financial crisis. We focus on their interest–rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding...
Persistent link: https://www.econbiz.de/10013089850
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Self-Fulfilling Crises in the Eurozone : An Empirical Test
De Grauwe, Paul - 2013
We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self … countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios and fiscal space … argue that this can drive member countries of the Eurozone into bad equilibria. We also find evidence that after years of …
Persistent link: https://www.econbiz.de/10013090949
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Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...
Persistent link: https://www.econbiz.de/10013045338
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Does the Euro-Zone Diverge? A Stress Indicator for Analyzing Trends and Cycles in Real GDP and Inflation
Flaig, Gebhard; Wollmershaeuser, Timo - 2021
This paper presents a stress indicator for the eurozone that summarizes developments of trends and cycles in real GDP … that stress in the eurozone is mainly due to different trend growth rates and that for most of the Euro-zone countries …
Persistent link: https://www.econbiz.de/10013317182
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Trade Intensity and Output Synchronisation : On the Endogeneity Properties of EMU
Caporale, Guglielmo Maria - 2013
Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results...
Persistent link: https://www.econbiz.de/10013083873
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Forecasting Euro Area Real GDP : Optimal Pooling of Information
Hülsewig, Oliver - 2013
This paper proposes a new method of forecasting euro area quarterly real GDP that uses areawide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...
Persistent link: https://www.econbiz.de/10012753479
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Climate Change and Long-Run Discount Rates : Evidence from Real Estate
Giglio, Stefano - 2015
The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the … investment's uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits … accrue and the riskiness of the investment. In this paper, we estimate the term structure of discount rates for an important …
Persistent link: https://www.econbiz.de/10013009875
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On the Roles of Different Foreign Currencies in European Bank Lending
Krogstrup, Signe - 2015
We draw on a new data set on the use of Swiss francs and other currencies by European banks to assess the patterns of foreign currency bank lending. We show that the patterns differ sharply across foreign currencies. The Swiss franc is used predominantly for lending to residents, especially...
Persistent link: https://www.econbiz.de/10013013086
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The Positive Border Effect of EU Integration
Brakman, Steven - 2011
Distance related variables typically vary in a cross-section dimension but less so in a time dimension across cities, regions, or countries. The enlargement of the EU or the introduction of the euro, however, can be looked upon as integration shocks that are informative of the consequences of...
Persistent link: https://www.econbiz.de/10013130414