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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

During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world-wide exchange rates. This paper aims to analyze these dynamics empirically. We...

Persistent link: https://www.econbiz.de/10011549749

Asymmetric credit growth and current account imbalances in the euro area

Unger, Robert - 2015

The euro area crisis is often linked to the emergence of current account imbalances. As most of the deficit countries experienced pronounced credit booms at the same time that these imbalances were building up, this paper investigates the link between domestic credit developments and the current...

Persistent link: https://www.econbiz.de/10011373649

Cross-border banking and business cycles in asymmetric currency unions

Dräger, Lena; Proaño Acosta, Christian - 2015

Against the background of the recent housing boom and bust in countries such as Spain and Ireland, we investigate in this paper the macroeconomic consequences of cross-border banking in monetary unions such as the euro area. For this purpose, we incorporate in an otherwise standard two-region...

Persistent link: https://www.econbiz.de/10011299044

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

Soft budget constraints, European Central Banking and the financial crisis

Jäger, Jannik; Grigoriadis, Theocharis - 2016

measures. We argue that these unconventional monetary policy measures created soft budget constraints for the Eurozone …

Persistent link: https://www.econbiz.de/10011456884

The synchronization of European credit cycles

Meller, Barbara; Metiu, Norbert - 2015

We study the synchronization of credit booms and busts among 12 major European economies and the United States between 1972-2011. We propose a regression-based procedure to test whether boom-bust phases of credit cycles coincide across countries and to cluster countries with positively...

Persistent link: https://www.econbiz.de/10011299045

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 households using data from the Household Finance and Consumption Survey (HFCS). The capital gains from bond price and equity price increases turn out to be concentrated among relatively...

Persistent link: https://www.econbiz.de/10011316626

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

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

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-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall...

Persistent link: https://www.econbiz.de/10011532627

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