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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065408
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Cyclical Systemic Risk and Downside Risks to Bank Profitability
Lang, Jan Hannes - 2020
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012834322
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The Fundamentals of Safe Assets
Habib, Maurizio Michael - 2020
changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good … on whether the change in global risk is driven by financial shocks rather than by US monetary policy …
Persistent link: https://www.econbiz.de/10012844631
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Financial Conditions, Business Cycle Fluctuations and Growth at Risk
Falconio, Andrea - 2020
We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector … risk, but have limited impact on upside potential. The impact of financial shocks is explained away after controlling for … economic risk (measured by the interquantile range). The effects are economically relevant. Bad economic environment …
Persistent link: https://www.econbiz.de/10012822485
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Uncertainty Shocks, Banking Frictions and Economic Activity
Bonciani, Dario - 2015
In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty...
Persistent link: https://www.econbiz.de/10013019593
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The Effect of Macroeconomic Uncertainty on Household Spending
Coibion, Olivier; Georgarakos, Dimitris; Gorodnichenko, … - 2021
Using a new survey of European households, we study how exogenous variation in the macroeconomic uncertainty perceived by households affects their spending decisions. We use randomized information treatments that provide different types of information about the first and/or second moments of...
Persistent link: https://www.econbiz.de/10013225751
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More than a Feeling : Confidence, Uncertainty and Macroeconomic Fluctuations
Nowzohour, Laura - 2017
Economists, observers and policy-makers often emphasize the role of sentiment as a potential driver of the business cycle. In this paper we provide three contributions to this debate. First, we critically survey the existing literature on sentiment (considering both confidence and uncertainty)...
Persistent link: https://www.econbiz.de/10012947849
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Can EU Bonds Serve as Euro-Denominated Safe Assets?
Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022
and NGEU initiatives helped improve EU bonds' market liquidity from previously low levels, also reducing liquidity risk …
Persistent link: https://www.econbiz.de/10013492670
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The Impact of Disasters on Inflation
Parker, Miles - 2017
This paper studies how disasters affect consumer price inflation, one of the main remaining gaps in our understanding of the impact of disasters. There is a marked heterogeneity in the impact between advanced economies, where the impact is negligible, and developing economies, where the impact...
Persistent link: https://www.econbiz.de/10012963906
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The Impact of Extreme Weather Events on Budget Balances and Implications for Fiscal Policy
Lis, Eliza M. - 2009
. Based on these findings, we discuss implications for fiscal policy and publicly-provided disaster insurance. Our policy …
Persistent link: https://www.econbiz.de/10013159926