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Heterogeneous Transmission Mechanism : Monetary Policy and Financial Fragility in the Euro Area

Ciccarelli, Matteo - 2013

The Euro area economic activity and banking sector have shown substantial fragility over the last years with remarkable country heterogeneity. Using detailed data on lending conditions and standards, we analyse how financial fragility has affected the transmission mechanism of the single Euro...

Persistent link: https://www.econbiz.de/10013085173

Is There a Single Frontier in a Single European Banking Market?

Bos, Jaap W. B.; Schmiedel, Heiko - 2021

This paper attempts to estimate comparable efficiency scores for European banks operating in the Single Market in the EU. Using a data set of more than 5000 large commercial banks from all major European banking markets over the period 1993-2004, the application of meta-frontiers enables us to...

Persistent link: https://www.econbiz.de/10013317337

What Drives Euro Area Financial Market Developments? The Role of US Spillovers and Global Risk

Brandt, Lennart; Saint-Guilhem, Arthur; Schröder, … - 2021

Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to...

Persistent link: https://www.econbiz.de/10013225754

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

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

European Competitiveness - A Semiparametric Stochastic Metafrontier Analysis at the Firm Level

Verschelde, Marijn - 2014

In this paper a semiparametric stochastic metafrontier approach is used to obtain insight into firm-level competitiveness in Europe. We differ from standard TFP studies at the firm level as we simultaneously allow for inefficiency, noise and do not impose a functional form on the input-output...

Persistent link: https://www.econbiz.de/10013051166

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

International Medium-Term Business Cycles

Hirschbühl, Dominik; Spitzer, Martin - 2021

Foreign driven medium-term oscillations that originate from fluctuations in technological frontier countries gained widespread attention among policymakers. To study this phenomenon in the context of domestic and other foreign drivers of the euro area business cycle, we develop a medium-scale,...

Persistent link: https://www.econbiz.de/10013233525

Systemic Risk Diagnostics : Coincident Indicators and Early Warning Signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 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

Monetary Policy and Capital Regulation in the US and Europe

Cohen-Cole, Ethan - 2010

From the onset of the 2007-2009 crisis, the Federal Reserve and the European Central Bank have aggressively lowered interest rates. Both sets of changes are at odds with an anti-inflationary stance of monetary policy; indeed, as the crisis began in August 2007 inflation expectations were high...

Persistent link: https://www.econbiz.de/10013141874