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Loan supply shocks during the financial crisis : evidence for the Euro Area
Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2011
This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which...
Persistent link: https://www.econbiz.de/10009012054
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Micro responses to macro shocks
Almuzara, Martín; Sancibrián, Victor - 2024
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks …
Persistent link: https://www.econbiz.de/10014501208
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Are US-Dollar-Hedged-ETF Investors Aggressive on Exchange Rates? A Panel VAR Approach
Shank, Corey A. - 2017
Exchange traded funds (ETFs) are a multi-trillion dollar market that epitomizes financialization due to its recent growth. This study examines the behavior of U.S. listed currency hedged ETF investors towards changes in the underlying benchmark and foreign exchange rate from July 2011 to...
Persistent link: https://www.econbiz.de/10012969245
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Monetary policy transmission over the leverage cycle : evidence for the euro area
Bräuer, Leonie; Rünstler, Gerhard - 2020
We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find that monetary policy shocks trigger a smaller...
Persistent link: https://www.econbiz.de/10012241107
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The international dimension of an incomplete EMU
Ioannou, Demosthenes; Pagliari, Maria Sole; Stracca, Livio - 2020
This paper quantifies the economic influence that shocks to EMU cohesion, which in turn reflect the incomplete nature of the monetary union, have on the rest of the world. Disentangling euro area stress shocks and global risk aversion shocks based on a combination of sign, magnitude and...
Persistent link: https://www.econbiz.de/10012263010
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Disentangling Covid-19, economic mobility, and containment policy shocks
Camehl, Annika; Rieth, Malte - 2021
We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...
Persistent link: https://www.econbiz.de/10012434050
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Disentangling Covid-19, economic mobility, and containment policy shocks
Camehl, Annika; Rieth, Malte - 2021
We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...
Persistent link: https://www.econbiz.de/10012549582
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Disentangling Covid-19, economic mobility, and containment policy shocks
Camehl, Annika; Rieth, Malte - 2021
We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...
Persistent link: https://www.econbiz.de/10012440388
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Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
Komarek, Lubos - 2016
of one to two hours in GIIPS countries. By using an exogenous macroeconomic news shock, we can show that, during the …
Persistent link: https://www.econbiz.de/10012986255
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Climate change and income inequality : an empirical analysis
Mumtaz, Haroon; Theophilopoulou, Angeliki - 2023
inequality measures for 153 countries spanning a long time period. The climate shock is identified as the disturbance that … explains the bulk of the climate fluctuations in the long run. Our findings suggest that an adverse climate shock is associated …-country income distribution. The impact of the shock is larger in magnitude for low income and hot on average countries with a …
Persistent link: https://www.econbiz.de/10014455410