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Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR
Semmler, Willi - 2012
This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector is exposed to instability due to adverse movements of asset prices and...
Persistent link: https://www.econbiz.de/10013110113
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Estimating a banking-macro model using a multi-regime VAR
Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014
Persistent link: https://www.econbiz.de/10010251591
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Holding the economy by the tail: analysis of short- and long-run macroeconomic risks
Franta, Michal; Libich, Jan - 2021
Persistent link: https://www.econbiz.de/10012618211
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Inflation expectations spillovers between the United States and euro area
Netšunajev, Aleksei; Winkelmann, Lars - 2014
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break …-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector … autoregressive (SVAR) model. The SVAR approach allows to identify US and EA specific inflation expectations shocks. By modeling the …
Persistent link: https://www.econbiz.de/10010255370
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Modelling short-term interest rate spreads in the euro money market
Cassola, Nuno; Morana, Claudio - 2008
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...
Persistent link: https://www.econbiz.de/10003826033
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Analyzing and forecasting economic crises with an agent-based model of the euro area
Hommes, Cars H.; Poledna, Sebastian - 2023
persistent rise in inflation following the COVID-19 recession. …
Persistent link: https://www.econbiz.de/10014233385
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(How) do the ECB and the Fed react to financial market uncertainty? : the Taylor rule in times of crisis
Belke, Ansgar; Klose, Jens - 2010
, interest rate spreads and asset price inflation should be added to the classical Taylor rule because these variables are … the Fed is concerned, the impact of consumer price inflation, and money and credit growth turns negative during the crisis … while the sign of the asset price inflation coefficient turns positive. Thus we are able to establish significant …
Persistent link: https://www.econbiz.de/10003931051
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(How) do the ECB and the Fed react to financial market uncertainty? : the Taylor rule in times of crisis
Belke, Ansgar; Klose, Jens - 2010
the Fed is concerned, the impact of consumer price inflation, and money and credit growth turns negative during the crisis … while the sign of the asset price inflation coefficient turns positive. Thus we are able to establish significant … price inflation becomes even stronger than before. Moreover we find evidence of a less inertial policy of both the Fed and …
Persistent link: https://www.econbiz.de/10003931391
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How do financial cycles interact? : evidence from the US and the UK
Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2015
Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the frequency domains, we find a strong relation between the financial cycles of...
Persistent link: https://www.econbiz.de/10010529345
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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858