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A single composite financial stress indicator and its real impact in the euro area
Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - 2013
In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...
Persistent link: https://www.econbiz.de/10009792981
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Lucas paradox and allocation puzzle : is the euro area different?
Herrmann, Sabine; Kleinert, Jörn - 2014
This paper examines the Lucas Paradox and the Allocation Puzzle of international capital flows referring to a panel data set of EMU countries and major industrialized and emerging economies. Overall, the results do not provide evidence in favour of the Lucas Paradox and the Allocation Puzzle....
Persistent link: https://www.econbiz.de/10010249651
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Household saving behavior and credit constraints in the Euro area
Le Blanc, Julia; Porpiglia, Alessandro; Teppa, Federica; … - 2014
than households living in Continental Europe. Household characteristics and institutional macroeconomic variables are …
Persistent link: https://www.econbiz.de/10010388544
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Current account adjustment in EU countries : does euro-area membership make a difference?
Herrmann, Sabine; Jochem, Axel - 2013
hampered in countries that are members of a monetary union. This holds particularly in comparison with floating exchange rate …
Persistent link: https://www.econbiz.de/10010211960
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Monetary and macroprudential policy in an estimated DSGE model of the euro area
Quint, Dominic; Rabanal, Pau - 2014
always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In …
Persistent link: https://www.econbiz.de/10010258716
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Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - 2014
We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...
Persistent link: https://www.econbiz.de/10010415789
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The impact of the European Monetary Union on inflation persistence in the euro area
Meller, Barbara; Nautz, Dieter - 2009
This paper uses the European Monetary Union (EMU) as a natural experiment to investigate whether more effective monetary policy reduces the persistence of inflation. Taking into account the fractional integration of inflation, we confirm that inflation dynamics differed considerably across Euro...
Persistent link: https://www.econbiz.de/10003875991
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
sovereign CDSs of 10 eurozone countries to test the evidence of long memory behavior during the financial crisis. Our analysis … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk … ; eurozone economies ; FIGARCH ; dynamic conditional correlation …
Persistent link: https://www.econbiz.de/10009731982
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Effects of the ECB's communication on government bond spreads
Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and...
Persistent link: https://www.econbiz.de/10014330976
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Institutionalizing eurozone exit : a modified NEWNEY approach
Huck, Steffen; Valasek, Justin Mattias - 2012
In this note, we argue that the Eurozone needs an institutional exit mechanism to enhance Eurozone stability, and … incentives for intra-Eurozone capital flight and maintaining Eurozone price stability. Our modifications eliminate moral hazard …Wir befürworten einen institutionellen Exit-Mechanismus für die Eurozone, nicht zuletzt um die Stabilität der Eurozone …
Persistent link: https://www.econbiz.de/10009683328