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Sectoral exchange rate pass-through in the euro area

Osbat, Chiara; Sun, Yiqiao; Wagner, Martin - 2021

We study exchange rate pass-through (ERPT), i.e., the impact of exchange rate movements on inﬂation, focusing on euro area import prices at a sectorally disaggregated level. Our estimation strategy is based on VAR-X models, thus incorporating both endogenous and exogenous explanatory...

Persistent link: https://www.econbiz.de/10012745349

Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach

Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021

We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...

Persistent link: https://www.econbiz.de/10012705396

Central bank digital currency in an open economy

Ferrari, Massimo Minesso; Mehl, Arnaud; Stracca, Livio - 2020

We examine the open-economy implications of the introduction of a central bank digital currency (CBDC). We add a CBDC to the menu of monetary assets available in a standard two-country DSGE model with financial frictions and consider a broad set of alternative technical features in CBDC design....

Persistent link: https://www.econbiz.de/10012317001

No country is an island : international cooperation and climate change

Ferrari, Massimo; Pagliari, Maria Sole - 2021

In this paper we explore the cross-country implications of climate-related mitigation policies. Specifically, we set up a two-country, two-sector (brown vs green) DSGE model with negative production externalities stemming from carbon-dioxide emissions. We estimate the model using US and euro...

Persistent link: https://www.econbiz.de/10012547574

Managing the transition to central bank digital currency

Assenmacher-Wesche, Katrin; Ferrari, Massimo Minesso; … - 2024

We develop a two-country DSGE model with financial frictions to study the transition from a steady-state without CBDC to one in which the home country issues a CBDC. The CBDC provides households with a liquid, convenient and storage-cost-free means of payments which reduces the market power of...

Persistent link: https://www.econbiz.de/10014490399

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

Persistent link: https://www.econbiz.de/10009635881

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov … not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from … structural breaks. It can be used to investigate positive as well as negative contagion. The proposed measure appears to work …

Persistent link: https://www.econbiz.de/10009635914

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of...

Persistent link: https://www.econbiz.de/10009635970

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal …. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify …

Persistent link: https://www.econbiz.de/10009636520