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We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...
Persistent link: https://www.econbiz.de/10011809188
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
We introduce a Divisia monetary aggregate for the euro area that accounts for the heterogeneity across member countries both, in terms of interest rates and the decomposition of monetary assets. In most of the euro area countries, the difference between the growth rates of the country-specific...
Persistent link: https://www.econbiz.de/10012023395
are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions …
Persistent link: https://www.econbiz.de/10012018632
We investigate the pass-through of monetary policy to bank lending rates in the euro area during the sovereign debt crisis, in comparison to the pre-crisis period. We make the following contributions. First, we use a factor-augmented vector autoregression, which allows us to assess the responses...
Persistent link: https://www.econbiz.de/10011280074
In structural vector autoregressive models of United States and euro area manufacturing, we use sign restrictions to identify shocks that alter the frictions to Chinese supply chain trade. We find a quantitatively significant role of such shocks for the decline of US manufacturing output at the...
Persistent link: https://www.econbiz.de/10013459723
Nonresponse in surveys may result in a distortion of the distribution of interest. In a panel survey the participation behavior in later waves is different from the participation behavior at the start. With register data that cover also the information for non-respondents one can observe a fade...
Persistent link: https://www.econbiz.de/10011312698
Hamilton (2017) criticises the Hodrick and Prescott (1981, 1997) filter (HP filter) because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) and proposes a regression filter as an alternative. I demonstrate that Hamilton's...
Persistent link: https://www.econbiz.de/10011792295
We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...
Persistent link: https://www.econbiz.de/10012020175
The Basel III framework advises considering a reference indicator at the country level to guide the setting of the countercyclical capital buffer: the credit-to-GDP gap. In this paper, I provide empirical evidence suggesting that the credit-to-GDP gap is subject to spurious medium-term cycles,...
Persistent link: https://www.econbiz.de/10012216484