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Did the introduction of the euro have an impact on inflation uncertainty? : an empirical assessment

Hartmann, Matthias; Herwartz, Helmut - In: Macroeconomic dynamics 18 (2014) 6, pp. 1313-1325

Persistent link: https://www.econbiz.de/10010467980

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Bernoth, Kerstin - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10012891675

Drivers of Structural Change in Cross-Border Banking Since the Global Financial Crisis

Bremus, Franziska - 2014

banks has risen sharply, especially among banks in the euro area. Our results suggest that expansionary monetary policy in …, both in euro area and non-euro area countries. Regarding regulatory policy, increases in financial supervisory power or … importance of regulatory arbitrage as a driver of cross-border bank flows since the global financial crisis. However, in the euro …

Persistent link: https://www.econbiz.de/10013046446

Did the FED respond to liquidity shortage episodes during the Great Depression?

Damette, Olivier; Parent, Antoine - In: Macroeconomic dynamics 22 (2018) 7, pp. 1727-1749

Persistent link: https://www.econbiz.de/10011918165

Nonlinearity, cyclicity, and persistence in consumption and income relationships : research in honor of Melvin J. Hinich

Jawadi, Fredj; Leoni, Patrick Lucien - In: Macroeconomic dynamics 16 (2012), pp. 376-393

Persistent link: https://www.econbiz.de/10009746015

In-Sample and Out-of-Sample Prediction of Stock Market Bubbles : Cross-Sectional Evidence

Herwartz, Helmut - 2012

We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these...

Persistent link: https://www.econbiz.de/10013112839

The Nexus between Loan Portfolio Size and Volatility : Does Banking Regulation Matter?

Bremus, Franziska - 2019

Since the global financial crisis and the related restructuring of banking systems, bank concentration is on the rise in many countries. Consequently, bank size and its role for macroeconomic volatility (or: stability) is the subject of intense debate. This paper analyzes the effects of...

Persistent link: https://www.econbiz.de/10012861638

Big Banks and Macroeconomic Outcomes : Theory and Cross-Country Evidence of Granularity

Bremus, Franziska - 2014

Does the mere presence of big banks affect macroeconomic outcomes? In this paper, we develop a theory of granularity (Gabaix, 2011) for the banking sector, introducing Bertrand competition and heterogeneous banks charging variable markups. Using this framework, we show conditions under which...

Persistent link: https://www.econbiz.de/10013059846

Inflation targeting under inflation uncertainty : multi-economy evidence from a stochastic volatility model

Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren - In: Macroeconomic dynamics 26 (2022) 5, pp. 1302-1337

Persistent link: https://www.econbiz.de/10013270236

Mixture distribution hypothesis and the impact of a Tobin tax on exchange rate volatility : a reassessment

Damette, Olivier - In: Macroeconomic dynamics 20 (2016) 6, pp. 1600-1622

Persistent link: https://www.econbiz.de/10011623396