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What goes around comes around : how large are spillbacks from US monetary policy?
Breitenlechner, Max; Georgiadis, Georgios; Schumann, Ben - 2021
We quantify spillbacks from US monetary policy based on structural scenario analysis and minimum relative entropy methods applied in a Bayesian proxy structural vector-autoregressive model estimated on data for the time period from 1990 to 2019. We find that spillbacks account for a non-trivial...
Persistent link: https://www.econbiz.de/10012705394
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Estimating the elasticity of consumer prices to the exchange rate : an accounting approach
Camatte, Hadrien; Daudin, Guillaume; Faubert, Violaine; … - 2021
We analyse the elasticity of the household consumption expenditure (HCE) deflator to the exchange rate, using world input-output tables (WIOT) from 1995 to 2019. In line with the existing literature, we find a modest output-weighted elasticity of around 0.1. This elasticity is stable over time...
Persistent link: https://www.econbiz.de/10012648943
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ECB-Global 2.0 : a global macroeconomic model with dominant-currency pricing, tariffs and trade diversion
Georgiadis, Georgios; Hildebrand, Sebastian; Ricci, Martino - 2021
domestic shocks affect the rest of the world, and how policy actions mitigate or amplify spillovers. For policy analysis in …
Persistent link: https://www.econbiz.de/10012438713
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The simpler the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2020
In this paper we assess the merits of financial condition indices constructed using simple averages versus a more sophisticated alternative that uses factor models with time varying parameters. Our analysis is based on data for 18 advanced and emerging economies at a monthly frequency covering...
Persistent link: https://www.econbiz.de/10012259350
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Sectoral interlinkages in global value chains : spillovers and network effects
Frohm, Erik; Gunnella, Vanessa - 2017
economy. Our empirical results suggest that these sectoral spillovers are both statistically significant and of economic … links between these sectors and the rest of the global value chain are severed, the spillovers diminish strongly and … spillovers and the prominent role played by hub sectors in the global economy. …
Persistent link: https://www.econbiz.de/10011647846
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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 … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates … imply implausibly similar estimates of the global output spillovers from monetary policy in the US and the euro area. None …
Persistent link: https://www.econbiz.de/10011664579
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Dominant-currency pricing and the global output spillovers from US dollar appreciation
Georgiadis, Georgios; Schumann, Ben - 2019
-currency pricing (PCP) and local-currency pricing (LCP). In the model, under DCP the output spillovers from shocks that appreciate the … prediction from DCP the output spillovers from US dollar appreciation correlate negatively with recipient economies' export …
Persistent link: https://www.econbiz.de/10012058993
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Whatever it takes : what's the impact of a major nonconventional monetary policy intervention?
Alcaraz, Carlo; Claessens, Stijn; Cuadra, Gabriel; … - 2019
We assess how a major, unconventional central bank intervention, Draghi's "whatever it takes" speech, affected lending conditions. Similar to other large interventions, it responded to adverse financial and macroeconomic developments that also influenced the supply and demand for credit. We...
Persistent link: https://www.econbiz.de/10011987129
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Introducing dominant currency pricing in the ECB's global macroeconomic model
Georgiadis, Georgios; Mösle, Saskia - 2019
affects in particular the role of expenditure-switching and the US dollar exchange rate for spillovers: In case of a shock in … dominant currency in global trade. According to ECB-Global, in such a scenario the global spillovers from US shocks are smaller …
Persistent link: https://www.econbiz.de/10012107938
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EME financial conditions : which global shocks matter?
Lodge, David; Manu, Ana-Simona - 2019
This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...
Persistent link: https://www.econbiz.de/10012009181