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Current Account Reversals in Industrial Countries : Does the Exchange Rate Regime Matter?

Pancaro, Cosimo - 2013

This paper studies current account reversals in industrial countries across different exchange rate regimes. There are two major findings which have important implications for industrial economies with external imbalances: first, triggers of current account reversals differ between exchange rate...

Persistent link: https://www.econbiz.de/10013082531

Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model

Chudik, Alexander - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10013131899

External Shocks and International Inflation Linkages : A Global VAR Analysis

Galesi, Alessandro - 2009

and food price shocks on a given set of countries. Secondly, we assess the importance of inflation linkages among …Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent … oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this …

Persistent link: https://www.econbiz.de/10013159237

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...

Persistent link: https://www.econbiz.de/10013061742

Technology and Demand Drivers of Productivity Dynamics in Developed and Emerging Market Economies

Dieppe, Alistair; Francis, Neville; Kindberg-Hanlon, Gene - 2021

Frequently, factors other than structural developments in technology and production efficiency drive changes in labor productivity in advanced and emerging market and developing economies (EMDEs). This paper uses a new method to extract technology shocks that excludes these influences, resulting...

Persistent link: https://www.econbiz.de/10013233716

Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events

Lo Duca, Marco - 2011

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...

Persistent link: https://www.econbiz.de/10013128992

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - 2021

, thus linking the strength of asset price transmission to underlying trade and asset holdings, and find that in particular …

Persistent link: https://www.econbiz.de/10013317648

Advanced Economy Inflation : The Role of Global Factors

Mikolajun, Irena - 2016

A number of studies document the prominent role of global factors in domestic inflation developments (e.g. Borio and … Filardo, 2007; Ciccarelli and Mojon, 2010). In this paper we investigate global dimensions of advanced economy inflation. We … inflation expectations and augment Phillips curves with global factors including global economic slack, global inflation and …

Persistent link: https://www.econbiz.de/10012984217

Sovereign to Corporate Risk Spillovers

Augustin, Patrick - 2016

Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These...

Persistent link: https://www.econbiz.de/10013001180

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147