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The impact of macroprudential policies on capital flows in CESEE

Eller, Markus; Hauzenberger, Niko; Huber, Florian; … - 2021

In line with the recent policy discussion on the use of macroprudential measures to respond to crossborder risks arising from capital flows, this paper tries to quantify to what extent macroprudential policies (MPPs) have been able to stabilize capital flows in Central, Eastern and Southeastern...

Persistent link: https://www.econbiz.de/10012510734

How does risk flow in the credit default swap market?

D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomo; … - 2016

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...

Persistent link: https://www.econbiz.de/10011975749

Mapping the interconnectedness between EU banks and shadow banking entities

Abad, Jorge; D'Errico, Marco; Killeen, Neill; Luz, Vera; … - 2017

This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global … challenging when shadow banking entities are domiciled in different jurisdictions. The analysis shows that many of the EU banks …' exposures are towards non-EU entities, particularly US-domiciled shadow banking entities. At the individual level, banks …

Persistent link: https://www.econbiz.de/10011976217

Implications of macroeconomic volatility in the Euro area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of...

Persistent link: https://www.econbiz.de/10011978764