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Euro Area Banks' Sensitivity to Changes in Carbon Price
Belloni, Marco; Kuik, Friderike; Mingarelli, Luca - 2022
price on the European banking system. We assess this climate change transition risk through a banking sector contagion model …
Persistent link: https://www.econbiz.de/10013297413
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Benefits and Costs of the ETS in the EU, a Lesson Learned for the CBAM Design
Böning, Justus; Di Nino, Virginia; Folger, Till - 2023
CBAM to a restricted list of imports while expanding the ETS coverage puts the EU at greater risk of carbon leakages …
Persistent link: https://www.econbiz.de/10014263037
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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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Interest Rate Expectations and Uncertainty During ECB Governing Council Days : Evidence From Intraday Implied Densities of 3-Month EURIBOR
Vergote, Olivier - 2011
. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …
Persistent link: https://www.econbiz.de/10013119936
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Economic Policy Uncertainty in the Euro Area : An Unsupervised Machine Learning Approach
Azqueta-Gavaldon, Andres - 2020
We model economic policy uncertainty (EPU) in the four largest euro area countries by applying machine learning techniques to news articles. The unsupervised machine learning algorithm used makes it possible to retrieve the individual components of overall EPU endogenously for a wide range of...
Persistent link: https://www.econbiz.de/10012844456
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Risky Assets in Europe and the US : Risk Vulnerability, Risk Aversion and Economic Environment
Bekhtiar, Karim - 2019
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …
Persistent link: https://www.econbiz.de/10012871885
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Modeling Financial Sector Joint Tail Risk in the Euro Area
Lucas, Andre - 2015
We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors...
Persistent link: https://www.econbiz.de/10013016952
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Does Uncertainty Affect Participation in the European Central Bank's Survey of Professional Forecasters?
López-Pérez, Víctor - 2015
This paper explores how changes in macroeconomic uncertainty have affected the decision to participate in the European Central Bank's Survey of Professional Forecasters. Two different approaches are employed in order to address this question. First, a time-series analysis explores if changes in...
Persistent link: https://www.econbiz.de/10013020645
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Private and Public Risk Sharing in the Euro Area
Cimadomo, Jacopo - 2018
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over … estimating how risk sharing has evolved since the start of the EMU, and in particular during the recent crisis. Our results …
Persistent link: https://www.econbiz.de/10012920112
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Tracking Global Economic Uncertainty : Implications for the Euro Area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10013231373