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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

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

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 … worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …

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

Monetary policy shocks in the euro area and global liquidity spillovers

Sousa, João; Zaghini, Andrea - 2004

including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area 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

Investing in the future of jobs and skills : Financial services - Final report

Kaisergruber, Danielle; Vogler-Ludwig, Kurt; … - 2009

In 2007, 5.6 million persons were employed in EU27 financial services. 65% of these worked in banks, 20% in the insurance industry and 15% for intermediaries. The sector represented 2.7% of total employment in Europe. Between 2000 and 2006, data from the Labour Force Survey shows a shift of...

Persistent link: https://www.econbiz.de/10011998838

Dexia Bank (Belgium)

Juravle, Carmen; Weber, Tina; Servagnat, Sophie - 2010

This report focuses on how Dexia Bank Belgium has responded to the considerable challenges resulting from the financial and economic crisis, and how the transformation of its workforce has been managed under these circumstances. It specifically emphasises the role of the social partner...

Persistent link: https://www.econbiz.de/10011998840

The euro area financial system

Hartmann, Philipp; Maddaloni, Angela; Manganelli, Simone - 2003

Four years after the introduction of the euro, this paper provides an overview of the current structure and integration of the euro area financial systems and related policy initiatives. We first compare the euro area financial structure with that of the United States and Japan. Using new and...

Persistent link: https://www.econbiz.de/10009635984

Liberalisation and development of the Czech financial sector: more to come

Kay, Neil - 2007

The Czech financial sector has changed dramatically since transition. In fifteen years, it has developed from a state-owned mono-bank into a privatised bank-based financial system with developing capital and private equity markets. This country focus analyses the development of the financial...

Persistent link: https://www.econbiz.de/10009641248