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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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Financial Stability in Europe : Banking and Sovereign Risk
Bruha, Jan - 2017
theoretically and empirically motivated banking sector characteristics, and a Bayesian inference in panel estimation as a …
Persistent link: https://www.econbiz.de/10012955275
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IMF Surveillance and Financial Markets - A Political Economy Analysis
Fratzscher, Marcel - 2014
The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...
Persistent link: https://www.econbiz.de/10013069721
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The European Central Bank : Lender of Last Resort in the Government Bond Markets?
De Grauwe, Paul - 2013
The sovereign debt crisis has made it clear that central banking is more than keeping inflation low. Central banks are also responsible for financial stability. An essential tool in maintaining financial stability is provided by the capacity of the central bank to be the lender of last resort in...
Persistent link: https://www.econbiz.de/10013092424
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A Fragile Eurozone in Search of a Better Governance
De Grauwe, Paul - 2013
self-fulfilling multiple equilibria arise.I analyze the implications of this fragility for the governance of the Eurozone …
Persistent link: https://www.econbiz.de/10013092900
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Fiscal Spillovers in the Euro Area
Caporale, Guglielmo Maria - 2012
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/10013112600
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Quantitative Easing in the Euro Area - An Event Study Approach
Urbschat, Florian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10012942366
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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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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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What Do We Really Know About Fiscal Sustainability in the EU? A Panel Data Diagnostic
Afonso, António; Rault, Christophe - 2021
, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also … apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion … panel set, and within some sub-periods …
Persistent link: https://www.econbiz.de/10013316576