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Financial Integration, Specialization and Systemic Risk
Fecht, Falko - 2012
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...
Persistent link: https://www.econbiz.de/10013110784
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Financial Factors in Economic Fluctuations
Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2021
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10013316211
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Bridging the Banking Sector with the Real Economy : A Financial Stability Perspective
Costeiu, Adrian - 2013
This paper builds a macro-prudential tool designed to assess whether the banking sector is adequately prepared to orderly withstand losses resulting from normal or stressed macroeconomic and micro-economic scenarios. The link between the banking sector and the real sector is established via the...
Persistent link: https://www.econbiz.de/10013075928
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Sovereign Credit Ratings and Financial Markets Linkages : Application to European Data
Afonso, António - 2011
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...
Persistent link: https://www.econbiz.de/10013124928
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Endogenous TFP, Business Cycle Persistence and the Productivity Slowdown in the Euro Area
Spitzer, Martin - 2020
This paper analyses the endogeneity of euro area total factor productivity and its role in business cycle amplification … by estimating a medium-scale DSGE model with endogenous productivity mechanism on euro area data. In this framework …, total factor productivity evolves endogenously as a consequence of costly investment in R&D and adoption of new technologies …
Persistent link: https://www.econbiz.de/10012834776
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The Cost-Efficiency and Productivity Growth of Euro Area Banks
Huljak, Ivan; Martin, Reiner; Moccero, Diego - 2021
We use an industrial organisation approach to quantify the size of Total Factor Productivity Growth (TFPG) for euro … period. In addition, we observe that Total Factor Productivity growth for the median euro area bank decreased from around 2 …. Given the need to boost productivity and enhance profitability in the euro area banking sector, these findings suggests that …
Persistent link: https://www.econbiz.de/10013315354
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Systemic Risk Diagnostics : Coincident Indicators and Early Warning Signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - 2021
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
Persistent link: https://www.econbiz.de/10013316033
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Financial Frictions in the Euro Area : A Bayesian Assessment
Villa, Stefania - 2013
This paper compares from a Bayesian perspective three dynamic stochastic general equilibrium models in order to analyse whether financial frictions are empirically relevant in the Euro Area (EA) and, if so, which type of financial frictions is preferred by the data. The models are: (i) Smets and...
Persistent link: https://www.econbiz.de/10013086371
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Asset Purchase Programmes and Financial Markets : Lessons from the Euro Area
Altavilla, Carlo - 2016
We evaluate the effects on asset prices of the ECB asset purchase program (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...
Persistent link: https://www.econbiz.de/10013001152
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Does it Pay to Have the Euro? Italy's Politics and Financial Markets under the Lira and the Euro
Fratzscher, Marcel - 2009
There is a broad consensus that the quality of the political system and its institutions are fundamental for a country's prosperity. The paper focuses on political events in Italy over the past 35 years and asks whether the adoption of the euro in 1999 has helped insulate Italy's financial...
Persistent link: https://www.econbiz.de/10013159357