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Estimating the effects of coordinated fiscal actions in the euro area

Hebous, Shafik; Zimmermann, Tom - 2012

We estimate spillover effects of a fiscal shock in one member country in the euro area on outputs of the rest of the … members, using a Global Vector Autoregression (GVAR) model. We compare the effects of a domestic fiscal shock with those of a … similar size area-wide shock expressed as a weighted average of the fiscal shocks across all member countries. According to …

Persistent link: https://www.econbiz.de/10009581972

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

The interest rate pass-through in the Euro area during the global financial crisis : conference paper

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 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 is...

Persistent link: https://www.econbiz.de/10010338974

Effectiveness and transmission of the ECB's balance sheet policies

Boeckx, Jef; Bossche, Maarten; Peersman, Gert - 2014

crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …

Persistent link: https://www.econbiz.de/10010383862

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Neuenkirch, Matthias - 2020

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...

Persistent link: https://www.econbiz.de/10012383710

Coherence of output gaps in the euro area : the impact of the Covid-19 shock

Haan, Jakob de; Jacobs, Jan; Zijm, Renske - 2022

Using the measures proposed by Mink et al. (2012), we reexamine the coherence of business cycles in the euro area using a long sample period. We also analyze the impact of the COVID-19 pandemic on business cycle coherence and examine whether our measures for business cycle coherence indicate a...

Persistent link: https://www.econbiz.de/10013168003

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 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/10010417491

Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994 - 2013. The econometric analysis is based on the...

Persistent link: https://www.econbiz.de/10010383808

Euro area house prices and unconventional monetary policy surprises

Hülsewig, Oliver; Rottmann, Horst - 2021

This paper examines the reaction of house prices in a panel of euro area countries to monetary policy surprises over the period 2010-2019. Using Jordà’s (2005) local projection method, we find that real house prices rise in response to expansionary monetary policy shocks that can be related...

Persistent link: https://www.econbiz.de/10012509392

Output smoothing in EMU and OECD : can we forego government contribution? : a risk sharing approach

Marinheiro, Carlos Fonseca - 2003

This paper analyses the smoothing of asymmetric shocks to output for a sample of OECD countries. It also examines whether the private capital markets will be able to replace the government in providing output smoothing in the euro-area, in the near future. The research finds no evidence of large...

Persistent link: https://www.econbiz.de/10011509508

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