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Capital flows in the euro area and TARGET2 balances

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2018

We estimate a panel VAR model for the euro area to quantitatively asses the contribution of the TARGET2 system to the propagation of different types of structural economic shocks as well as to the historical evolution of aggregate economic activity in euro area member countries. Our results...

Persistent link: https://www.econbiz.de/10011793977

Inter-temporal savings, current account dynamics and asymmetric shocks in a heterogeneous European Monetary Union

Schnabl, Gunther; Zemanek, Holger - 2010

theory of optimum currency areas. We show that the asymmetric shock of the German unification can be seen not only as the … round of monetary expansion in the EMU. -- monetary union ; German unification ; asymmetric shock ; current account …

Persistent link: https://www.econbiz.de/10008798227

Inter-temporal savings, current account dynamics and asymmetric shocks in a heterogeneous European monetary union

Schnabl, Gunther; Zemanek, Holger - 2011

Persistent link: https://www.econbiz.de/10009356814

Loan supply shocks during the financial crisis : evidence for the Euro Area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2011

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/10009012054

Shadow banks and the risk-taking channel of monetary policy transmission in the Euro Area

Wischnewsky, Arina; Neuenkirch, Matthias - 2018 - First Draft: June 11, 2018

In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard...

Persistent link: https://www.econbiz.de/10011864635

Estimating the macroeconomic effects of oil supply news

Mori, Lorenzo; Peersman, Gert - 2024

A common approach for estimating the macroeconomic effects of oil supply news employs SVAR-IV models identified using changes in oil futures prices around OPEC quota announcements as an instrument. However, we show that the reduced-form oil price innovations, structural shocks, and the...

Persistent link: https://www.econbiz.de/10015145023

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017

Country-specific oil supply shocks and the global economy : a counterfactual analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on … contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that … supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging …

Persistent link: https://www.econbiz.de/10010528313

Structural interpretation of vector autoregressions with incomplete information : revisiting the role of oil supply and demand shocks : comment

Kilian, Lutz; Zhou, Xiaoqing - 2018

Recently, Baumeister and Hamilton (henceforth: BH) have argued that existing studies of the global oil market fail to account for uncertainty about their identifying assumptions. They recommend an alternative econometric approach intended to address this concern by formulating priors on the...

Persistent link: https://www.econbiz.de/10011882307

Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018

The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia,...

Persistent link: https://www.econbiz.de/10011897569