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Public and private inputs in aggregate production and growth: a cross-country efficiency approach

Afonso, António; St. Aubyn, Miguel - 2010

frontier, TFP being the composite effect of efficiency scores and possibility frontier changes. We consider, for the periods …

Persistent link: https://www.econbiz.de/10011605200

Efficiency and risk in european banking

Fiordelisi, Franco; Marqués-Ibáñez, David; Molyneux, Phil - 2010

We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this … relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks … supporting the bad management and efficiency version of the moral hazard hypotheses. In contrast, bank efficiency improvements …

Persistent link: https://www.econbiz.de/10011605257

Fiscal policy and growth: do financial crises make a difference?

Afonso, António; Grüner, Hans Peter; Kolerus, Christina - 2010

In this paper we assess to what extent in the existence of a financial crisis, government spending can contribute to mitigate economic downturns in the short run and whether such impact differs in crisis and non crisis times. We use panel analysis for a set of OECD and non-OECD countries for the...

Persistent link: https://www.econbiz.de/10011605263

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - 2014

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...

Persistent link: https://www.econbiz.de/10011605711

Fiscal reaction function and fiscal fatigue: Evidence for the euro area

Checherita-Westphal, Cristina; Žďárek, Václav - 2017

This paper estimates a fiscal reaction function (FRF) framework for euro area countries and derives a novel approach to measure fiscal fatigue. As in previous studies, we find evidence that euro area sovereigns abide, on average, by (weak) sustainability constraints. The primary balance improves...

Persistent link: https://www.econbiz.de/10011667204

Managing the sovereign-bank nexus

Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

Persistent link: https://www.econbiz.de/10011916881

Fiscal Developments and Financial Stress : A Threshold VAR Analysis

Afonso, António - 2011

We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress...

Persistent link: https://www.econbiz.de/10013128285

Fiscal policy and the Great Recession in the Euro Area

Coenen, Günter - 2012

How much did fiscal policy contribute to euro area real GDP growth during the Great Recession? We estimate that discretionary fiscal measures have increased annualized quarterly real GDP growth during the crisis by up to 1.6 percentage points. We obtain our result by using an extended version of...

Persistent link: https://www.econbiz.de/10013108718

Signalling Fiscal Stress in the Euro Area -- A Country-Specific Early Warning System

de Cos, Pablo Hernández - 2014

The sovereign debt crisis in the euro area has increased the interest in early warning indicators, with the aim to indicate the build up of fiscal stress early on and to facilitate crisis prevention by a timely counteraction of fiscal and macroeconomic policies. This paper presents possible...

Persistent link: https://www.econbiz.de/10013049852

Government Bond Risk Premiums in the EU Revisited : The Impact of the Financial Crisis

Schuknecht, Ludger - 2010

This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of...

Persistent link: https://www.econbiz.de/10013148704

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