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Exposure to international crises : trade vs. financial contagion

Grant, Everett - 2016

I identify new patterns in countries' economic performance over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country variation, I develop an open economy model with...

Persistent link: https://www.econbiz.de/10011975657

Agency costs, risk shocks and international cycles

Letendre, Marc-André; Wagner, Joel - 2016

We add agency costs as in Carlstrom and Fuerst (1997) into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously. Despite the fact that technology shocks are uncorrelated across countries, the relative price of...

Persistent link: https://www.econbiz.de/10011415163

International transmission of credit shocks in an equilibrium model with production heterogeneity

Imura, Yuko; Thomas, Julia K. - 2015

beyond as a global phenomenon. Some have argued that this global recession has a common source: the U.S. financial crisis …, whereas the resulting recession in the economy of its trading partner is quantitatively minor. Transmission through goods … trade is limited by the calibrated average trade share, which we find insufficient to deliver a sizable recession abroad …

Persistent link: https://www.econbiz.de/10011280030

The impacts of credit standards on aggregate fluctuations in a small open economy : the role of monetary policy

Le, Hai - In: Economies : open access journal 9 (2021) 4, pp. 1-26

Empirical evidence demonstrates that credit standards, including lending margins and collateral requirements, move in a countercyclical direction. In this study, we construct a small open economy model with financial frictions to generate the countercyclical movement in credit standards. Our...

Persistent link: https://www.econbiz.de/10012800343

Financial integration and international shock transmission : the terms-of-trade effect

Krenz, Johanna - 2023

What are the effects of financial integration on global comovement? Using a standard two-country DSGE model, I show that in response to country-specific supply shocks higher exposure to foreign assets leads to lower cross-country output correlations, while the opposite is true for...

Persistent link: https://www.econbiz.de/10014463371

Persistent Slumps : Innovation & the Credit Channel of Monetary Policy

Beqiraj, Elton; Cao, Qingqing; Minetti, Raoul; … - 2023

What are the long-run aggregate effects of monetary shocks displaying throughthe credit channel of monetary policy? We address this question by investigatingthe transmission mechanism and estimating the dynamic behaviour of variablesrelated to credit and innovation. Then, we develop a DSGE model...

Persistent link: https://www.econbiz.de/10014355554

The Shifts and the Shocks : Bank Risk, Leverage, and the Macroeconomy

Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2021

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

Persistent link: https://www.econbiz.de/10013322444

The Shifts and the Shocks : Bank Risk, Leverage, and the Macroeconomy

Kuvshinov, Dmitry; Zimmermann, Kaspar; Richter, Björn - 2022

Persistent link: https://www.econbiz.de/10013405230

The shifts and the shocks : bank risk, leverage, and the macroeconomy

Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022

Persistent link: https://www.econbiz.de/10013265941

Untangling crises : GFC and COVID-19 through the lens of a DSGE model

Peña, Rogelio De la; García, Ignacio - In: Latin American journal of central banking : LAJCB 4 (2023) 2, pp. 1-29

In this paper, we aim to compare the anatomy of the impact of the COVID-19 outbreak and the Great Financial Crisis (GFC) in the context of an emerging market economy. To this end, we develop a small open economy DSGE model with the Bernanke-Gertler-Gilchrist financial accelerator that features...

Persistent link: https://www.econbiz.de/10014382934