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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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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 Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to …-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 …
Persistent link: https://www.econbiz.de/10013060040
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Housing, Consumption and Monetary Policy : How Different are the US and the Euro Area?
Musso, Alberto - 2012
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10013116395
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Profit Dynamics Across the Largest Euro Area Countries and Sectors
Maurin, Laurent - 2011
(a demand shock, an employment shock, a wage and price mark-up shocks). In addition, it provides the shock decomposition …
Persistent link: https://www.econbiz.de/10013117688
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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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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria - 2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main...
Persistent link: https://www.econbiz.de/10013141028
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Exchange Rate Shocks and Inflation Comovement in the Euro Area
Leiva‐Leon, Danilo - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012838756
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The Impact of Exchange Rate Shocks on Sectoral Activity and Prices in the Euro Area
Hahn, Elke - 2021
activity and prices. According to our results, among the main euro area sectors an exchange rate shock has the strongest impact … supply, and in line with this producer prices in MIG energy are most sensitive to an exchange rate shock …
Persistent link: https://www.econbiz.de/10013316897
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Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery
Schnabl, Gunther - 2008
accelerating growth. Panel estimations reveal a robust negative relationship between exchange rate volatility and growth for …
Persistent link: https://www.econbiz.de/10012773503