Showing 1 - 10 of 37
We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other economic fundamentals over 2005-10. We measure how accurately the model predicts sovereign credit default swap (CDS) spreads, focusing in particular on the five countries in the...
Persistent link: https://www.econbiz.de/10010287785
We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and after the global financial crisis, based on fiscal space and other economic fundamentals. We measure how accurately the model predicts CDS spreads based on fundamentals, and...
Persistent link: https://www.econbiz.de/10010288119
We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using information on the vulnerability of a firm's value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor shifts...
Persistent link: https://www.econbiz.de/10014305706
We develop a dynamic general equilibrium model to analyze the effects of central bank purchases of government bonds by investigating the following three questions: Under what conditions are these purchases socially desirable, what incentive problems do they mitigate, and how large are these...
Persistent link: https://www.econbiz.de/10011420573
I build a general equilibrium model of the transmission of monetary policy on bank lending. Bank lending is done by individual banks that face random investment opportunities by creating inside money. Banks are subject to a reserve requirement and have access to the interbank money market. The...
Persistent link: https://www.econbiz.de/10012026514
This paper investigates the ability of the Federal Reserve to manipulate the overnight rate without open market operations (which Demiralp and Jorda (2000) term the announcement effect), using high-frequency, open-market-desk data. Using similar data, Hamilton (1997) takes advantage of forecast...
Persistent link: https://www.econbiz.de/10010318605
This study assesses the European Central Bank's (ECB) crisis management performance and potential for crisis resolution …. The study investigates the institutional and functional constraints that delineate the ECB's scope for policy action under … that the ECB may well stand out positively when compared to other important euro-area or national authorities involved in …
Persistent link: https://www.econbiz.de/10011545305
This paper assesses the contribution of the European Central Bank (ECB) to Germany's ongoing economic crisis, a vicious … circle of decline in which the country has become stuck since the early 1990s. It is argued that the ECB continues the … especially the ECB are firmly geared against it. The ECB's monetary policies have been biased against growth and have thus proved …
Persistent link: https://www.econbiz.de/10010266550
This paper attempts to empirically assess the impact of the ECB's quantitative easing policy on capital flows in the …, one should expect that the buoyant liquidity provided by the ECB might affect the size of the capital inflows. We test …. Contrary to the expected outcome, the results reveal either negative or insignificant impact of the change in the ECB balance …
Persistent link: https://www.econbiz.de/10012109771
This working paper looks at excess reserves in historical context and analyzes whether they constitute a monetary policy problem for the Federal Reserve System (the Fed) or a potentially inflationary problem for the rest of us. Generally, this analysis shows that both absolute and relative sizes...
Persistent link: https://www.econbiz.de/10010318619