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3-step analysis of public finances sustainability : the case of the European Union

Afonso, António (contributor); … - 2008

specific panel unit root test to investigate the meanreverting behaviour of general government expenditure and revenue ratios …. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross … and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal …

Persistent link: https://www.econbiz.de/10003782655

Monetary policy transmission over the leverage cycle : evidence for the euro area

Bräuer, Leonie; Rünstler, Gerhard - 2020

We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area … countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find …

Persistent link: https://www.econbiz.de/10012241107

Fiscal activism in the euro area and in other advanced economies : new evidence

Attinasi, Maria Grazia; Palazzo, Alessandra Anna; … - 2019

advanced economies during the past 20 years. This is done by estimating fiscal reaction functions using dynamic panel …

Persistent link: https://www.econbiz.de/10012135940

The predictive power of equilibrium exchange rate models

Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...

Persistent link: https://www.econbiz.de/10012139745

Did the crisis permanently scar the Portuguese labour market? : evidence from a Markov-switching Beveridge curve analysis

Vansteenkiste, Isabel - 2017

curve in a Markov-switching panel setting with time-varying transition probabilities for the US, Portugal and Spain using … structural indicators which could affect the matching efficiency in the labour market. The results show that the sharp outward …

Persistent link: https://www.econbiz.de/10011636179

Stress-testing net trading income : the case of European banks

Giglio, Carla; Shaw, Frances; Syrichas, Nicolas; … - 2021

Net trading income is an important but volatile source of income for many euro area banks, highly sensitive to changes in financial market conditions. Using a representative sample of European banks, we study the distribution of net trading income (normalized by total assets) conditional to...

Persistent link: https://www.econbiz.de/10012429194

What drives euro area financial market developments? : the role of US spillovers and global risk

Brandt, Lennart; Saint-Guilhem, Arthur; Schröder, … - 2021

Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to...

Persistent link: https://www.econbiz.de/10012519484

If the Fed sneezes, who catches a cold?

Dedola, Luca; Rivolta, Giulia; Stracca, Livio - 2017

This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. In most countries, a surprise US monetary tightening leads to depreciation against the dollar; industrial production and real...

Persistent link: https://www.econbiz.de/10011645922

Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - 2017

Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that...

Persistent link: https://www.econbiz.de/10011664579

Chronicle of currency collapses : re-examining the effects on output

Bussière, Matthieu; Saxena, Sweta Chaman; Tovar, … - 2010

The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in … growth and output trend. Our main finding is that currency collapses are associated with a permanent output loss relative to … the drop in the value of the currency, which suggests that the costs of a currency crash largely stem from the factors …

Persistent link: https://www.econbiz.de/10003986706