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Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The...

Persistent link: https://www.econbiz.de/10011605699

Asymmetries in bank lending behaviour. Austria during the 1990s

Kaufmann, Sylvia - 2001

This paper investigates both cross-sectional asymmetry (related to bank-specific characteristics like size and … to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is …-sectional asymmetry. …

Persistent link: https://www.econbiz.de/10011604143

Instability and nonlinearity in the euro area Phillips curve

Musso, Alberto; Stracca, Livio; van Dijk, Dick - 2007

This paper provides a comprehensive analysis of the functional form of the euro area Phillips curve over the past three decades. In particular, compared to previous literature we analyse the stability of the relationship in detail, especially as regards the possibility of a time-varying mean of...

Persistent link: https://www.econbiz.de/10011604857

The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US

Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007

We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Persistent link: https://www.econbiz.de/10011604862

How wages respond to shocks: asymmetry in the speed of adjustment

Rõõm, Tairi; Dabusinskas, Aurelijus - 2011

The time series of various economic variables often exhibit asymmetry: decreases in the values tend to be sharp and … fast, whereas increases usually occur slowly and gradually. We detect signs of an analogous asymmetry in firms’ wage … shocks in the same variables. As well as describing the presence of asymmetry in the speed of wage adjustment, we investigate …

Persistent link: https://www.econbiz.de/10011605386

Is there a role for domestic demand pressure on export performance?

Soares Esteves, Paulo; Rua, António - 2013

Traditionally, exports behavior is modeled only as a function of the foreign demand and the real exchange rate. However, it is by now widely acknowledged that these variables are not able to fully explain exports developments. This paper suggests considering domestic demand pressure as an...

Persistent link: https://www.econbiz.de/10011605639

Exports and domestic demand pressure: a dynamic panel data model for the euro area countries

Bobeica, Elena; Soares Esteves, Paulo; Rua, António; … - 2015

The paper investigates the link between domestic demand pressure and exports by considering an error correction dynamic panel model for eleven euro area countries over the last two decades. The results suggest that there is a statistically significant substitution effect between domestic and...

Persistent link: https://www.econbiz.de/10011605822

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012142125

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - 2002

This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of eurodollar contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on...

Persistent link: https://www.econbiz.de/10011604213

Exchange rates and fundamentals

Engel, Charles; West, Kenneth D. - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates -- that is,...

Persistent link: https://www.econbiz.de/10011604294