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Fratzscher, Marcel; Große Steffen, Christoph; Rieth, Malte - 2018

We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting...

Persistent link: https://www.econbiz.de/10011790769

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...

Persistent link: https://www.econbiz.de/10012180848

Viral shocks to the world economy

Cholodilin, Konstantin Arkadʹevič; Rieth, Malte - 2020

We construct a news-based viral disease index and study the dynamic impact of epidemics on the world economy, using … countries and on world output. The shocks lead to a signiﬁcant fall in global trade, employment, and consumer prices for three …

Persistent link: https://www.econbiz.de/10012197902

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10009741957

Big banks and macroeconomic outcomes : theory and cross-country evidence of granularity

Bremus, Franziska; Buch, Claudia M.; Russ, Katheryn Niles; … - 2013

Does the mere presence of big banks affect macroeconomic outcomes? In this paper, we develop a theory of granularity …

Persistent link: https://www.econbiz.de/10010225567

Global risk and the dollar

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023

transmission of global risk to the world economy within a Bayesian proxy structural vectorautoregressive model. We identify global …, the contractionary impact of a global risk shock is much weaker, both in the rest of the world and the US. For the rest of … the world, contractionary financial channels thus dominate expansionary expenditure switching when global risk rises and …

Persistent link: https://www.econbiz.de/10014438127

Integrating out natural disaster shocks

Bremus, Franziska; Rieth, Malte - 2023

We study the role of international financial integration in buffering natural disaster shocks, using a large sample of advanced and emerging economies. Conditioning on such exogenous events addresses the endogeneity between financial structures and economic conditions. We document that...

Persistent link: https://www.econbiz.de/10014468927

Have the effects of shocks to oil price expectations changed? : evidence from heteroskedastic proxy vector autoregressions

Bruns, Martin; Lütkepohl, Helmut - 2023 - This version: April 21, 20231

Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope...

Persistent link: https://www.econbiz.de/10014305728

Measuring income risk

Burgess, Simon M.; Gardiner, Karen; Jenkins, Stephen; … - 2000

We provide a critique of the methods that have been used to derive measures of income risk and draw attention to the importance of demographic factors as a source of income risk. We also propose new measures of the contribution to total income risk of demographic and labour market factors....

Persistent link: https://www.econbiz.de/10011433584

Is there a "dead-anyway" effect in willingness to pay for risk reduction?

Breyer, Friedrich; Grabka, Markus M. - 2001

In a recent paper, Pratt and Zeckhauser (JPE, 1996) discuss the measure of individuals' willingness to pay (WTP) for the reduction of risks to their lives which should be used for public decisions on risk-reducing projects. They suggest to correct observed WTP for the "dead-anyway" effect, which...

Persistent link: https://www.econbiz.de/10011434254