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Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

Persistent link: https://www.econbiz.de/10012455541

A HANK2 model of monetary unions

Bayer, Christian; Kriwoluzky, Alexander; Müller, Gernot J. - 2023

Persistent link: https://www.econbiz.de/10014326986

The exchange rate insulation puzzle

Corsetti, Giancarlo; Küster, Keith; Müller, Gernot J.; … - 2021

We confront the notion that flexible rates insulate a country from external disturbances with new evidence on spillovers from euro-area shocks to neighboring countries. We find that in response to euro-area shocks, spillovers are not smaller, and currency movements not significantly larger, in...

Persistent link: https://www.econbiz.de/10012705556

The exchange rate insulation puzzle

Corsetti, Giancarlo; Küster, Keith; Müller, Gernot J.; … - 2021

Persistent link: https://www.econbiz.de/10012417664

Risk sharing in currency unions : the migration channel

Kohler, Wilhelm; Müller, Gernot J.; Wellmann, Susanne - 2021

Persistent link: https://www.econbiz.de/10012515800

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Diebold, Francis X. - 2008

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10012464836

Multilateral Economic Cooperation and the International Transmission of Fiscal Policy

Corsetti, Giancarlo - 2011

During the global financial crisis 2007-2009 fiscal policy was widely used as a stabilization tool. Policymakers allowed a large build-up of public debt resulting from both automatic and discretionary expansionary measures. At the same time, calls for policy coordination stressed that...

Persistent link: https://www.econbiz.de/10012460949

The price of war

Federle, Jonathan; Meier, André; Müller, Gernot J.; … - 2024

In an integrated global economy, the economic fallout of war is not confined to the country where the conflict is fought but spills over to other countries. We study the economic effects of large interstate wars using a new data set spanning 150 years of data for more than 60 countries. War on a...

Persistent link: https://www.econbiz.de/10014481143

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts - indeed they …

Persistent link: https://www.econbiz.de/10012480620

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022

regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts …

Persistent link: https://www.econbiz.de/10012814410