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Financial Frictions : Micro vs Macro Volatility
Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021
aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces …
Persistent link: https://www.econbiz.de/10013312156
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2013
stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …
Persistent link: https://www.econbiz.de/10013080094
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Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages
Ciccarelli, Matteo - 2012
We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out...
Persistent link: https://www.econbiz.de/10013097758
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Heterogeneity and cross-country spillovers in macroeconomic-financial linkages
Ciccarelli, Matteo; Ortega, Eva; Valderrama, Maria Teresa - 2012
We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out...
Persistent link: https://www.econbiz.de/10011605543
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Asset Pricing and the Propagation of Financial Shocks
Jaccard, Ivan - 2018
eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …
Persistent link: https://www.econbiz.de/10012918412
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Financial Cycles Under Diagnostic Beliefs
Camous, Antoine; Van der Ghote, Alejandro - 2022
financial tensions and asset price volatility. We study the interactions of behavioral and financial frictions in an environment … with endogenous risk-taking and capital accumulation. Agents form diagnostic expectations about future stochastic outcomes …
Persistent link: https://www.econbiz.de/10013290326
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Sectoral Interlinkages in Lobal Value Chains : Spillovers and Network Effects
Frohm, Erik - 2019
This paper studies the role of global input-output linkages in transmitting economic disturbances in the international economy. Our empirical results suggest that these sectoral spillovers are both statistically significant and of economic importance. We also provide evidence that it is not the...
Persistent link: https://www.econbiz.de/10012871240
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From Cash- to Securities-Driven Euro Area Repo Markets : The Role of Financial Stress and Safe Asset Scarcity
Brand, Claus - 2019
Focusing on repo specialness premia, using ISIN-specific transaction-by-transaction data of one-day maturity repos, we document a gradual shift from cash- to securities-driven transactions in euro area repo markets over the period 2010-2018. Compared to earlier studies focusing only on specific...
Persistent link: https://www.econbiz.de/10012893730
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Financial Cycles, Credit Bubbles and Stabilization Policies
Schuler, Tobias - 2019
This paper analyzes the effects of several policy instruments for mitigating financial bubbles generated in the banking sector. We augment a New Keynesian macroeconomic framework by endogenizing boundedly-rational expectations on asset values of loan portfolios, allow for interbank trading and...
Persistent link: https://www.econbiz.de/10012858317
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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