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On the international dimension of fiscal policy
Benigno, Gianluca (contributor);  … - 2009
idiosyncratic shocks. Even when prices are flexible and inflation can costlessly act as a shock absorber to restore fiscal … economy, the introduction of sticky prices can reduce the optimal volatility of taxes. …
Persistent link: https://www.econbiz.de/10003867915
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Empirical evidence on the dynamics of investment under uncertainty in the U.S.
Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019
Persistent link: https://www.econbiz.de/10012208719
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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The impact of uncertainty and certainty shocks
Schüler, Yves S. - 2020
's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future … real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing … that the two shocks are different shocks. Each shock impacts the real economy uniquely. I support this with the underlying …
Persistent link: https://www.econbiz.de/10012180723
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Bank capital, the state contingency of banks’ assets and its role for the transmission of shocks
Kühl, Michael - 2014
The role of bank capital as a propagation channel of shocks is strongly pronounced in recent macroeconomic models. In this paper, we show how the evolution of bank capital depends on the share of non-state-contingent assets in banks’ balance sheets and present the consequences for...
Persistent link: https://www.econbiz.de/10010415785
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Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10010493885
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Fundamentals matter : idiosyncratic shocks and interbank relations
Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015
Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...
Persistent link: https://www.econbiz.de/10011414244
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Optimal liquidity control and systemic risk in an interbank network with liquidity shocks and regime-dependent interconnectedness
Chotipong Charoensom; Thaisiri Watewai - 2022
Persistent link: https://www.econbiz.de/10013259623
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Financial shocks and inflation dynamics
Abbate, Angela; Eickmeier, Sandra; Prieto, Esteban - 2016
We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a vector autoregressive model to US data and identify financial shocks through sign restrictions. Our main finding is that...
Persistent link: https://www.econbiz.de/10011546785
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407