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The Resilience of Central, Eastern and Southeastern Europe (CESEE) Countries During ECB's Monetary Cycles
Aizenman, Joshua; Saadaoui, Jamel - National Bureau of Economic Research - 2024
variables for financial development, central bank independence, and the inflation rate preceding the cycles. These findings may …
Persistent link: https://www.econbiz.de/10015072898
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Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts
Delatte, Anne-Laure - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10012458679
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Incentive-Compatible Unemployment Reinsurance for the Euro Area
Karajvanov, Alexander K.; Mojon, Benoît; Silva, Luiz … - National Bureau of Economic Research - 2024
We model a reinsurance mechanism for the national unemployment insurance programs of euro area member states. The risk-sharing scheme we analyze is designed to smooth country-level unemployment risk and expenditures around each country's median level, so that participation and contributions...
Persistent link: https://www.econbiz.de/10014544675
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Do Investor Differences Impact Monetary Policy Spillovers to Emerging Markets?
Faia, Ester; Lewis, Karen K.; Zhou, Haonan - National Bureau of Economic Research - 2024
We re-examine monetary policy spillovers to Emerging Market Economies (EME) in the form of capital flow reversals, using sectoral-level securities holdings data for Euro Area investors. In response to a surprise monetary tightening, active investors such as investment funds re-balance their...
Persistent link: https://www.econbiz.de/10015072927
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Political Credit Cycles : The Case of the Euro Zone
Fernandez-Villaverde, Jesus - 2013
process in Greece, Spain, Ireland, and Portugal and, by way of contrast, in Germany, a country that did experience a reform …
Persistent link: https://www.econbiz.de/10012459762
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H. - 2005
econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions …
Persistent link: https://www.econbiz.de/10012467213
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Modest Policy Interventions
Leeper, Eric M. - 2002
We present a framework for computing and evaluating linear projections of macro variables conditional on hypothetical paths of monetary policy. A modest policy intervention is a change in policy that does not significantly shift agents' beliefs about policy regime and does not generate...
Persistent link: https://www.econbiz.de/10012469518
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10012470341
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MPC Heterogeneity in Europe : Sources and Policy Implications
Ampudia, Miguel - 2018
. The estimation of key parameters uses a simulated method of moments approach to match moments related to asset market … estimation are used to characterize the distributions of the marginal propensity to consume across households for each of the … policy-induced variations in stock returns. Finally, monetary contractions have a larger impact on consumption in Germany and …
Persistent link: https://www.econbiz.de/10012480733
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An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk
Bonaldi, Pietro - 2015
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10012457206