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Global macro-financial shocks and expected default frequencies in the euro area
Castrén, Olli (contributor); Dées, Stéphane (contributor) - 2008
Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level...
Persistent link: https://www.econbiz.de/10003748979
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Changing the structure of minimum wages : firm adjustment and wage spillovers
Giupponi, Giulia; Machin, Stephen - 2018
Persistent link: https://www.econbiz.de/10011881974
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The COVID-19 insolvency gap : first-round effects of policy responses on SMEs
Dörr, Julian Oliver; Murmann, Simona; Licht, Georg - 2021
COVID-19 placed a special role to fiscal policy in rescuing companies short of liquidity from insolvency. In the first … focusing on firms’ pre-crisis financial standing, we estimate the extent to which the policy response induced an insolvency gap … measures being focused on smaller firms, we also examine whether this insolvency gap differs with respect to firm size. Based …
Persistent link: https://www.econbiz.de/10012434436
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The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector
Lo Duca, Marco; Moccero, Diego; Parlapiano, Fabio - 2024
We analyse the impact of macroeconomic and monetary policy shocks on corporate credit risk as measured by firms' probabilities of default (PDs) for the four largest euro area countries. We estimate the impact of shocks on one-year PDs using local projections (LP). For the period 2014-19, we find...
Persistent link: https://www.econbiz.de/10014484468
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(Un)Predictability and macroeconomic stability
D'Agostino, Antonello (contributor);  … - 2006
This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Greenbook and the Survey of Professional Forecasters, we show...
Persistent link: https://www.econbiz.de/10003310819
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The timing of monetary policy shocks
Olivei, Giovanni P. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003335381
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Towards a monetary policy evaluation framework
Adjemian, Stéphane (contributor);  … - 2008
Advances in the development of Dynamic Stochastic General Equilibrium (DSGE) models towards medium-scale structural frameworks with satisfying data coherence have considerably enhanced the range of analytical tools well-suited for monetary policy evaluation. The present paper intends to make a...
Persistent link: https://www.econbiz.de/10003790949
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The returns to temporary migration to the United States : evidence from the Mexican urban employment survey
Alemán Castilla, Benjamín (contributor) - 2007
Persistent link: https://www.econbiz.de/10003485147
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Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions
Andersson, Magnus (contributor) - 2007
This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies' monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US and euro area bond and stock markets are...
Persistent link: https://www.econbiz.de/10003422693
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Maintaining low inflation : money, interest rates, and policy stance
Reynard, Samuel (contributor) - 2007
This paper presents a systematic empirical relationship between money and subsequent prices and output, using US, euro area and Swiss data since the 1960-70s. Monetary developments, unlike interest rate stance measures, are shown to provide qualitative and quantitative information on subsequent...
Persistent link: https://www.econbiz.de/10003473013