Narrow search
Showing 1 - 10 of 722
Cover Image
Exchange rate pass-through to consumer prices : a European perspective
Hüfner, Felix P.; Schröder, Michael - 2002
correction models for Germany, France, Italy, the Netherlands and Spain. Using the weights of the Harmonized Index of Consumer …
Persistent link: https://www.econbiz.de/10001657237
Cover Image
Sovereign risk, interbank freezes, and aggregate fluctuations
Engler, Philipp; Große Steffen, Christoph - 2014
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...
Persistent link: https://www.econbiz.de/10010457126
Cover Image
The fiscal footprint of macroprudential policy
Reis, Ricardo - 2020
Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...
Persistent link: https://www.econbiz.de/10012222608
Cover Image
Optimal sovereign default
Adam, Klaus; Grill, Michael - 2013
When is it optimal for a government to default on its legal repayment obligations? We answer this question for a small open economy with domestic production risk in which contracting frictions make it optimal for the government to finance itself by issuing non-contingent debt. We show that...
Persistent link: https://www.econbiz.de/10009733001
Cover Image
Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
Cover Image
Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
-parametric model imply persistent behavior in the volatility of changes for Greece, Portugal, Ireland, Italy, Spain, and Belgium … 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 …
Persistent link: https://www.econbiz.de/10009731982
Cover Image
The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?
Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016
Greece. Hence, we argue that the inclusion of the IMF in Europe’s crisis fighting did not completely deliver what had been …
Persistent link: https://www.econbiz.de/10011548057
Cover Image
Verschuldungsanreize in der Wirtschafts- und Währungsunion
Heinemann, Friedrich - 1994
Die Bestimmungen zur europäischen Wirtschafts- und Währungsunion (WWU) im Unionsvertrag haben die Anreize für öffentliche Verschuldung verändert. Die Analyse zeigt, daß trotz der Bemühungen, die nationale Eigenverantwortlichkeit zu bewahren, nicht mit einer effektiven Disziplinierung...
Persistent link: https://www.econbiz.de/10011621819
Cover Image
Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333