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Financial cycles in Europe : dynamics, synchronicity and implications for business cycles and macroeconomic imbalances
Adarov, Amat - 2019
Using dynamic factor models and state-space techniques we quantify financial cycles for twenty European countries over the period 1960Q1–2015Q4 capturing imbalances across credit, housing, bond and equity markets. The paper documents the existence of slow-moving and persistent financial cycles...
Persistent link: https://www.econbiz.de/10012153925
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The impact of credit supply shocks in the euro area : market-based financing versus loans
Barauskaite, Kristina; Nguyen, Anh D. M.; Rousová, Linda; … - 2022
Using a novel quarterly dataset on debt financing of non-financial corporations, this paper provides the first empirical evaluation of the relative importance of loan and market-based finance (MBF) supply shocks on business cycles in the euro area as a whole and in its five largest countries. In...
Persistent link: https://www.econbiz.de/10013265943
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Financial cycles in euro area economies : a cross-country perspective
Kunovac, Davor; Mandler, Martin; Scharnagl, Michael - 2018
We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...
Persistent link: https://www.econbiz.de/10011809188
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The synchronization of European credit cycles
Meller, Barbara; Metiu, Norbert - 2015
We study the synchronization of credit booms and busts among 12 major European economies and the United States between 1972-2011. We propose a regression-based procedure to test whether boom-bust phases of credit cycles coincide across countries and to cluster countries with positively...
Persistent link: https://www.econbiz.de/10011299045
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Financial cycles in Europe : dynamics, synchronicity and implications for business cycles and macroeconomic imbalances
Adarov, Amat - In: Empirica : journal of european economics 50 (2023) 2, pp. 551-583
Persistent link: https://www.econbiz.de/10014251829
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Financial Cycles in Euro Area Economies : A Cross-Country Perspective
Kunovac, Davor - 2018
We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...
Persistent link: https://www.econbiz.de/10012923486
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Spillover effects of the European Central Bank's Expanded Asset Purchase Program to non-eurozone countries in Central and Eastern Europe
Antal, Mark; Kaszab, Lorant - 2021
spillovers induced sovereign bond yields to drop by around 1-6 basis points in a two-day time window in response to the Public …
Persistent link: https://www.econbiz.de/10012422943
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Money, Credit, Monetary Policy and the Business Cycle in the Euro Area : What Has Changed since the Crisis?
Giannone, Domenico - 2019
establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis … the financial and sovereign debt crisis …
Persistent link: https://www.econbiz.de/10012893985
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Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area : What Has Changed Since the Crisis?
Giannone, Domenico - 2019
establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis … the financial and sovereign debt crisis …
Persistent link: https://www.econbiz.de/10012871932
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Credit Supply Dynamics and Economic Activity in Euro Area Countries : A Time-Varying Parameter VAR Analysis
Bijsterbosch, Martin - 2014
This paper aims to shed light on the role of credit supply shocks in euro area countries during the recent pre-crisis …, bust, and post-crisis periods. A time-varying parameter vector autoregression (TVP-VAR) with stochastic volatility à la … economy have generally increased since the recent crisis. Moreover, we report evidence that credit supply shocks contributed …
Persistent link: https://www.econbiz.de/10013049850