Similar Search Results

Analyzing default risk and liquidity demand during a financial crisis : the case of Canada

Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - 2011

This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...

Persistent link: https://www.econbiz.de/10009260883

The welfare implications of fiscal dominance

De Resende, Carlos (contributor); Rebei, Nooman (contributor) - 2008

This paper studies the interdependence between fiscal and monetary policy in a DSGE model with sticky prices and non-zero trend inflation. We characterize the fiscal and monetary policies by a rule whereby a given fraction k of the government debt must be backed by the discounted value of...

Persistent link: https://www.econbiz.de/10003772978

Cross-country estimates of the degree of fiscal dominance and central bank independence

De Resende, Carlos (contributor) - 2007

This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. The government is characterized by a long-run fiscal policy rule whereby a given fraction of the outstanding debt, say , is backed by the present discounted...

Persistent link: https://www.econbiz.de/10003484267

Housing market dynamics and macroprudential policy

Bruneau, Gabriel; Christensen, Ian; Meh, Césaire Assah - 2016

We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation. To this end, we construct a New Keynesian model...

Persistent link: https://www.econbiz.de/10011517031

What drives exchange rates? : new evidence from a panel of US dollar bilateral exchange rates

Cayen, Jean-Philippe; Coletti, Donald; Lalonde, René; … - 2010

six quarterly U.S. bilateral real exchange rates Australia, Canada, the euro, Japan, New Zealand and the United Kingdom …

Persistent link: https://www.econbiz.de/10003933399

Macroeconomic experiences and risk taking of euro area households

Ampudia, Miguel; Ehrmann, Michael - 2014

follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro …

Persistent link: https://www.econbiz.de/10010254328

Household risk management and actual mortgage choice in the euro area

Ehrmann, Michael; Ziegelmeyer, Michael - 2014

the euro area. Our results support the hypothesis of Campbell and Cocco (2003) that the decision is best described as …

Persistent link: https://www.econbiz.de/10010235889

'Lean' versus 'rich' data sets : forecasting during the great moderation and the great recession

Lombardi, Marco; Maier, Philipp - 2010

We evaluate forecasts for the euro area in data-rich and 'data-lean' environments by comparing three different … approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a … dynamic factor model with data from the euro plus data from national economies (pseudo-real time data). We estimate backcasts …

Persistent link: https://www.econbiz.de/10008771575

Euro area government bonds : integration and fragmentation during the sovereign debt crisis

Ehrmann, Michael; Fratzscher, Marcel - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It … identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …

Persistent link: https://www.econbiz.de/10010508561

Exploring differences in household debt across euro area countries and the United States

Christelis, Dimitris; Ehrmann, Michael; Georgarakos, … - 2015

We use internationally comparable household-level data for ten euro area economies and the United States to investigate …

Persistent link: https://www.econbiz.de/10010526694