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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

The impact of the crisis and unconventional monetary policy on European inflation dynamics : evidence from a three-period structural model and six countries

Schäfer, Benjamin - In: Review of economics 69 (2018) 2, pp. 87-110

Persistent link: https://www.econbiz.de/10012010186

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

Assessing monetary policies in the Eurozone, U.S., U.K. and Japan : new evidence from the post-crisis period

Salachas, Evangelos; Laopodis, Nikiforos; Kouretas, … - In: Applied economics 50 (2018) 59, pp. 6481-6500

Persistent link: https://www.econbiz.de/10012063438

Volatility spillover effects of the US, European and Chinese financial markets in the context of the Russia-Ukraine conflict

Beraich, Mohamed; Amzile, Karim; Laamire, Jaouad; … - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-18

The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia-Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukraine on the transmission of volatility...

Persistent link: https://www.econbiz.de/10013459985

To sign or not to sign? : on the response of prices to financial and uncertainty shocks

Meinen, Philipp; Röhe, Oke - 2018

Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their effects on prices. While our results confirm that such disturbances are important drivers of output...