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Fiscal reaction function and fiscal fatigue : evidence for the euro area

Checherita-Westphal, Cristina; Žďárek, Václav - 2017

This paper estimates a fiscal reaction function (FRF) framework for euro area countries and derives a novel approach to measure fiscal fatigue. As in previous studies, we find evidence that euro area sovereigns abide, on average, by (weak) sustainability constraints. The primary balance improves...

Persistent link: https://www.econbiz.de/10011637036

Managing the sovereign-bank nexus

Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

Persistent link: https://www.econbiz.de/10011901498

Government bond risk premiums in the EU revisited : the impact of the financial crisis

Schuknecht, Ludger; Hagen, Jürgen von; Wolswijk, Guido … - 2010

This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of...

Persistent link: https://www.econbiz.de/10003970438

Fiscal policy and growth : do financial crises make a difference?

Afonso, António; Grüner, Hans Peter; Kolerus, Christina - 2010

In this paper we assess to what extent in the existence of a financial crisis, government spending can contribute to mitigate economic downturns in the short run and whether such impact differs in crisis and non crisis times. We use panel analysis for a set of OECD and non-OECD countries for the...

Persistent link: https://www.econbiz.de/10003983667

Fiscal developments and financial stress : a threshold VAR analysis

Afonso, António; Baxa, Jaromír; Slavík, Michal - 2011

We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress...

Persistent link: https://www.econbiz.de/10008935826

Fiscal multipliers with financial fragmentation risk and interactions with monetary policy

Darracq Pariès, Matthieu; Müller, Georg; … - 2020

We quantify the size of fiscal multipliers under financial fragmentation risk and demonstrate how non-standard monetary policy can support the macroeconomic transmission of fiscal interventions. We employ a DSGE model with financial frictions whereby the interplay of corporate, banks and...

Persistent link: https://www.econbiz.de/10012241104

Fiscal competition over taxes and public inputs : theory and evidence

Hauptmeier, Sebastian; Mittermaier, Ferdinand; Rincke, … - 2009

We set up a model to characterize the reaction functions of governments competing for mobile capital by simultaneously setting both the business tax rate as well as the level of provision of a productive public input. Using a rich data set of local jurisdictions, we then test the predictions of...

Persistent link: https://www.econbiz.de/10003832371

Firms' investment decisions in response to demand and price uncertainty

Fuss, Catherine; Vermeulen, Philip - 2004

We estimate the effect of demand and price uncertainty on firms’ investment decisions from a panel of manufacturing firms. Uncertainty measures are derived from firms’ subjective qualitative expectations. They are close to their theoretical counterparts, the variances of future demand and...

Persistent link: https://www.econbiz.de/10009639401

Capital quality improvement and the sources of growth in the euro area

Sakellaris, Plutarchos; Vijselaar, Focco W. - 2004

Capital quality improvement is a general phenomenon. Therefore quality correction is needed in price indexes. There is substantial evidence of biases in the official price indexes of capital equipment. We apply to euro area statistics estimates of these biases based on US data thus deriving...

Persistent link: https://www.econbiz.de/10009639422

Efficiency and risk in european banking

Fiordelisi, Franco; Marques-Ibanez, David; Molyneux, Phil - 2010

We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this … relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks … supporting the bad management and efficiency version of the moral hazard hypotheses. In contrast, bank efficiency improvements …

Persistent link: https://www.econbiz.de/10009640329

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