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Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

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

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 ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

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

Inflation and relative price asymmetry

Ratfai, Attila - 2004

. Robustly to alternative definitions of the relative price, identification schemes dictated by two-sided (S,s) pricing theory …

Persistent link: https://www.econbiz.de/10009636524

Equilibrium unemployment, job flows and inflation dynamics

Trigari, Antonella - 2004

general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price …

Persistent link: https://www.econbiz.de/10009636527

Monetary policy shocks in the euro area and global liquidity spillovers

Sousa, João; Zaghini, Andrea - 2004

money ("global liquidity") on the euro area. We estimate structural VAR models for the euro area and the global economy … including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity … temporary appreciation of the real effective exchange rate of the euro. Moreover, we find that innovations in global liquidity …

Persistent link: https://www.econbiz.de/10009636532

What are the spill-overs from fiscal shocks in Europe?

Giuliodori, Massimo; Beetsma, Roel - 2004

We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski...

Persistent link: https://www.econbiz.de/10009636548