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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10013130602
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Identifying SVARS from Sparse Narrative Instruments : Dynamic Effects of U.S. Macroprudential Policies
Budnik, Katarzyna Barbara - 2020
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...
Persistent link: https://www.econbiz.de/10012844716
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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …
Persistent link: https://www.econbiz.de/10013060040
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Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010
Abildgren, Kim - 2012
a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …
Persistent link: https://www.econbiz.de/10013102102
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Transmission of Government Spending Shocks in the Euro Area : Time Variation and Driving Forces
Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2021
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...
Persistent link: https://www.econbiz.de/10013316199
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The Impact of Credit Supply Shocks in the Euro Area : Market-Based Financing Versus Loans
Barauskaitė, Kristina; Nguyen, Anh D.M; Fache … - 2022
Using a novel quarterly dataset on debt financing of non-financial corporations, this paper provides the first empirical evaluation of the relative importance of loan and market-based finance (MBF) supply shocks on business cycles in the euro area as a whole and in its five largest countries. In...
Persistent link: https://www.econbiz.de/10013405076
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Monetary Policy, Asset Prices and Consumption in China
Koivu, Tuuli - 2010
This paper studies the wealth channel in China. Using the structural vector autoregression method, we find that a loosening of China's monetary policy indeed leads to higher asset prices, which in turn are linked to household consumption. However, the importance of the wealth channel as a part...
Persistent link: https://www.econbiz.de/10013138816
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Trusting the Bankers : A New Look at the Credit Channel of Monetary Policy
Ciccarelli, Matteo - 2010
monetary policy shock on GDP and inflation; (3) for business loans, the impact through the (supply) bank lending channel is …
Persistent link: https://www.econbiz.de/10013141032
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Fiscal Developments and Financial Stress : A Threshold VAR Analysis
Afonso, António - 2011
economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative … shock is mainly associated with different behaviour across regimes; (v) the size of the fiscal multipliers is higher than …
Persistent link: https://www.econbiz.de/10013128285
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Deflationary Financial Shocks and Inflationary Uncertainty Shocks : An SVAR Investigation
De Santis, Roberto A.; Van der Veken, Wouter - 2022
What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to un-certainty shocks, firms increase their markups,...
Persistent link: https://www.econbiz.de/10014076665