Showing 1 - 10 of 9,159
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...
Persistent link: https://www.econbiz.de/10013459721
This study examines the monetary policy effectiveness of five major Asian countries (China, Hong Kong, India, Japan, and South Korea) using a quantile vector autoregression (QVAR) model-based spillover estimation approach of Balcilar et al. (2020b) at different quantile paths. To do this, we...
Persistent link: https://www.econbiz.de/10012549189
We estimate a time-varying parameter vector autoregression to examine the evolution of international spillovers of U … effects of a U.S. tightening have substantially increased over the past three decades, peaking during the Great Recession …
Persistent link: https://www.econbiz.de/10015141894
This paper examines the role of monetary policy (MP) as a driver of connectedness patterns in speculative activities in financial markets. Examining measures of speculation in four major markets including gold, equities, Treasury bonds and crude oil, we show that speculative activities can spill...
Persistent link: https://www.econbiz.de/10012836728
financial cycles, intensifying during financial crisis episodes. This finding underscores that there are significant contagion … overall financial system, especially during times of crisis. The study looked at how different financial cycles connect over …
Persistent link: https://www.econbiz.de/10015393859
We set up an agent-based model that generates realistic credit cycles. Using artificial data sets, we show that fluctuations in the implicit measures of the natural rate of interest (obtained using a conventional model) may occur in the vicinity of credit cycle peaks without any underlying...
Persistent link: https://www.econbiz.de/10012908138
We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on...
Persistent link: https://www.econbiz.de/10012805934
Are unregulated capital flows excessive during a stagflation episode? We argue that they likely are, owing to a macroeconomic externality operating through the economy's supply side. Inflows raise domestic wages through a wealth effect on labor supply and cause unwelcome upward pressure on...
Persistent link: https://www.econbiz.de/10013462700
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
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