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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Diebold, Francis X. - 2010
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …
Persistent link: https://www.econbiz.de/10012759516
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Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2006
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …
Persistent link: https://www.econbiz.de/10012783833
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Jump Starting the Euro Area Recovery : Would a Rise in Core Fiscal Spending Help the Periphery?
Blanchard, Olivier J. - 2015
We show that a fiscal expansion by the core economies of the euro area would have a large and positive impact on periphery GDP assuming that policy rates remain low for a prolonged period. Under our preferred model specification, an expansion of core government spending equal to one percent of...
Persistent link: https://www.econbiz.de/10013018304
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Towards a Common European Monetary Union Risk Free Rate
Mayordomo, Sergio - 2009
A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the...
Persistent link: https://www.econbiz.de/10013156250
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How Has the Euro Changed the Monetary Transmission?
Boivin, Jean; Mojon, Benoit; Giannoni, Marc P. - 2021
This paper characterizes the transmission mechanism of monetary shocks across countries of the euro area, documents how this mechanism has changed with the introduction of the euro, and explores some potential explanations. The factor-augmented VAR (FAVAR) framework used is sufficiently rich to...
Persistent link: https://www.econbiz.de/10013233890
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Money and Inflation in the Euro Area : A Case for Monetary Indicators?
Gerlach, Stefan; Svensson, Lars E. O. - 2021
This paper studies the relationship between inflation, output, money and interest rates in the euro area, using data spanning 1980 2000. The P* model is shown to have considerable empirical support. Thus, the price gap' or, equivalently, the real money gap' (the gap between current real balances...
Persistent link: https://www.econbiz.de/10013312477
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What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility
Reinhart, Carmen M.; Reinhart, Vincent R. - 2021
With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing...
Persistent link: https://www.econbiz.de/10013230967
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Balance Sheet Effects on Monetary and Financial Spillovers : The East Asian Crisis Plus 20
Aizenman, Joshua - 2016
We study how the financial conditions in the Center Economies [the U.S., Japan, and the Euro area] impact other countries over the period 1986 through 2015. Our methodology relies upon a two-step approach. We focus on five possible linkages between the center economies (CEs) and the non-Center...
Persistent link: https://www.econbiz.de/10012981103
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The International Transmission of Credit Bubbles : Theory and Policy
Ventura, Jaume - 2015
We live in a new world economy characterized by financial globalization and historically low interest rates. This environment is conducive to countries experiencing credit bubbles that have large macroeconomic effects at home and are quickly propagated abroad. In previous work, we built on the...
Persistent link: https://www.econbiz.de/10013028542
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Insulation Impossible : Fiscal Spillovers in a Monetary Union
Cooper, Russell - 2010
This paper studies fiscal spillovers in a monetary union. The focus of the analysis is on the interaction between the fiscal policy of member countries (regions) and the central monetary authority. When capital markets are integrated, the fiscal policy of one country will influence equilibrium...
Persistent link: https://www.econbiz.de/10013151966