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What drives EU banks' stock returns? : bank-level evidence using the dynamic dividend-discount model

Castrén, Olli (contributor); … - 2006

a decomposition of EU banks.stock returns to cash-flow and expected return news components. The main findings are that … while the bulk of the variability of EU banks.stock returns is due to cash flow shocks, the expected return shocks are … explain a higher share of the cash-flow component of the total excess returns for smaller than for larger EU banks. This …

Persistent link: https://www.econbiz.de/10003375090

Unconventional monetary policy and the great recession : estimating the impact of a compression in the yield spread at the zero lower bound

Baumeister, Christiane; Benati, Luca - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a 'pure' spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10008688522

Explaining the money demand of non-financial corporations in the Euro area : a macro and a micro view

Martínez-Carrascal, Carmen; Landesberger, Julian von - 2010

This paper analyses euro area non-financial corporations (NFC) money demand, both from a macro and a microeconomic point of view. At a macro level, money holdings are modelled as a function of real gross added value, the price level, the long-term interest rate on bank lending to non-financial...

Persistent link: https://www.econbiz.de/10008688524

EMU and the adjustment to asymmetric shocks : the case of Italy

Amisano, Gianni; Giammarioli, Nicola; Stracca, Livio - 2009

In this paper we address the question on whether EMU has amplified or dampened intra euro area divergencies, by looking at a time-varying VAR model of Italy's relative performance compared with the rest of the euro area, spanning from 1976 to 2009. Our main result is that EMU does not appear to...

Persistent link: https://www.econbiz.de/10003969277

Housing, consumption and monetary policy : how different are the US and the euro area?

Musso, Alberto; Neri, Stefano; Stracca, Livio - 2010

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/10003971203

Forecasting with DSGE models

Christoffel, Kai; Coenen, Günter; Warne, Anders - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10003972991

Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR

Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011

This paper provides evidence on whether the creation of the euro has changed the way global turbulences affect euro area and other economies. Specifically, it considers the impact of global shocks on the competitiveness of individual euro area countries and assesses whether their responses to...

Persistent link: https://www.econbiz.de/10008901483

Trusting the bankers : a new look at the credit channel of monetary policy

Ciccarelli, Matteo; Maddaloni, Angela; Peydró, José-Luis - 2010

Any empirical analysis of the credit channel faces a key identification challenge: changes in credit supply and demand are difficult to disentangle. To address this issue, we use the detailed answers from the US and the confidential and unique Euro area bank lending surveys. Embedding this...

Persistent link: https://www.econbiz.de/10003993969

Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - 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/10003993972

Transmission of government spending shocks in the euro area : time variation and driving forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010

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/10003986626