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De Santis, Roberto A.; Zimic, Srečko - 2019

We show that medium-term interest rates in the euro area, Japan, UK and US are affected by domestic and foreign shocks. We find that US rates are the main source of spillovers globally and are less exposed to foreign shocks. Foreign spillovers to European rates were negligible only during the...

Persistent link: https://www.econbiz.de/10011959276

The pricing of sovereign risk and contagion during the European sovereign debt crisis

Beirne, John; Fratzscher, Marcel - 2013

Persistent link: https://www.econbiz.de/10010233234

Banks, low interest rates, and monetary policy transmission

Wang, Olivier - 2020

-run supply of bank credit. As U.S. bond rates have fallen, the pass-through of monetary shocks to loan and deposit rates has … weakened while the spread on U.S. bank loans has risen. I build a model in which banks earn deposit and loan spreads, deposits … dampened at low rates, because deposit spreads act as a better hedge for bank equity against unexpected monetary shocks. In the …

Persistent link: https://www.econbiz.de/10012316971

Global financial transmission of monetary policy shocks

Ehrmann, Michael (contributor); … - 2006

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10003320671

External shocks and international inflation linkages : a global VAR analysis

Galesi, Alessandro; Lombardi, Marco - 2009

Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...

Persistent link: https://www.econbiz.de/10003867024

Identifying the global transmission of the 2007 - 09 financial crisis in a GVAR Model

Chudik, Alexander; Fratzscher, Marcel - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10008901498

Modelling global trade flows : results from a GVAR model

Bussière, Matthieu; Chudik, Alexander; Sestieri, Giulia - 2009

This paper uses a Global Vector Auto-Regression (GVAR) model in a panel of 21 emerging market and advanced economies to investigate the factors behind the dynamics of global trade flows, with a particular view on the issue of global trade imbalances and on the conditions of their unwinding. The...

Persistent link: https://www.econbiz.de/10003963758

Macro-financial vulnerabilities and future financial stress : assessing systemic risks and predicting systemic events

Lo Duca, Marco; Peltonen, Tuomo - 2011

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of "stand alone" and composite indicators in predicting systemic events...

Persistent link: https://www.econbiz.de/10008935836

Home bias in global bond and equity markets : the role of real exchange rate volatility

Fidora, Michael (contributor); … - 2006

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a...

Persistent link: https://www.econbiz.de/10003396699

Technology and demand drivers of productivity dynamics in developed and emerging market economies

Dieppe, Alistair; Francis, Neville; Kindberg-Hanlon, Gene - 2021

Frequently, factors other than structural developments in technology and production effi- ciency drive changes in labor productivity in advanced and emerging market and developing economies (EMDEs). This paper uses a new method to extract technology shocks that ex- cludes these in uences,...

Persistent link: https://www.econbiz.de/10012499558

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