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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858
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Transmission of global financial shocks to EMU member states : the role of monetary policy and national factors
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2016
The paper analyses the transmission of global financial shocks to individual member states of the European Monetary Union (EMU), in which monetary policy is delegated to the ECB and financial markets are fully integrated. Using a panel VAR model, we show that the asymmetric effects of global...
Persistent link: https://www.econbiz.de/10011495568
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Cross-border banking and business cycles in asymmetric currency unions
Dräger, Lena; Proaño Acosta, Christian - 2015
this paper the macroeconomic consequences of cross-border banking in monetary unions such as the euro area. For this … financial sector may have exacerbated the emergence of macroeconomic imbalances within the euro area. Additionally, we show the …
Persistent link: https://www.econbiz.de/10011299044
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The effect of conventional and unconventional euro area monetary policy on macroeconomic variables
Halberstadt, Arne; Krippner, Leo - 2016
We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...
Persistent link: https://www.econbiz.de/10011578396
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Distributional consequences of asset price inflation in the euro area
Adam, Klaus; Tzamourani, Panagiota - 2015
We study the distributional consequences of housing price, bond price and equity price increases for Euro Area … Euro Area countries. …
Persistent link: https://www.econbiz.de/10011316626
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Inflation anchoring in the euro area
Speck, Christian - 2016
de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the … in the euro area. Compared to the pre-crisis period, surprises have a much stronger effect on spot ILS rates during the …
Persistent link: https://www.econbiz.de/10011456474
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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 … options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …
Persistent link: https://www.econbiz.de/10010415789
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Money growth and consumer price inflation in the euro area : a wavelet analysis
Mandler, Martin; Scharnagl, Michael - 2014
Our paper studies the relationship between money growth and consumer price inflation in the euro area using wavelet …
Persistent link: https://www.econbiz.de/10010433361
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Below the zero lower bound : a shadow-rate term structure model for the euro area
Lemke, Wolfgang; Vladu, Andreea L. - 2016
We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid …
Persistent link: https://www.econbiz.de/10011532627
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Spillover effects of credit default risk in the euro area and the effects on the euro : a GVAR approach
Bettendorf, Timo - 2016
those of bailouts. Furthermore, we demonstrate that the Euro depreciates significantly against the Yen and US Dollar … following general risk shocks in the euro area and only to a small extent following bailout shocks. The Pound Sterling is not … affected by any of these shocks. The Euro variability is, from the EMU perspective, mainly driven by shocks stemming from large …
Persistent link: https://www.econbiz.de/10011549749