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Causality and Contagion in Peripheral EMU Public Debt Markets : A Dynamic Approach

Gómez Puig, Marta; Sosvilla-Rivero, Simón - 2011

the possible time-varying causal relationship. This approach allows us to detect episodes of contagion between yields on … bonds issued by different countries. In the second step, we study the determinants of these contagion episodes, analyzing …

Persistent link: https://www.econbiz.de/10014177329

Medium-Term Asymmetric Fluctuations and EMU as an Optimum Currency Area

Hessel, Jeroen - 2019

Recent studies find that short-term fluctuations in EMU have been symmetric. This finding leads to benign views on the functioning of EMU as an optimum currency area (OCA), that are difficult to reconcile with the sovereign debt crisis. We try to solve this puzzle by looking at medium-term...

Persistent link: https://www.econbiz.de/10012865689

Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations

Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022

We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...

Persistent link: https://www.econbiz.de/10013453687

Dynamic Forecasting of Banking Crises With a Qual VAR

du Plessis, Emile - 2022

This paper applies a Qual VAR approach to generate a continuous banking crisis indicator from an underlying latent variable using a Markov Chain Monte Carlo algorithm. Four decades of banking crises are assessed by accounting for the evolutionary nature of precursors, as measured through...

Persistent link: https://www.econbiz.de/10014235526

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011597973

Macroprudential Policy in a Monetary Union with Cross-Border Banking

Darracq Pariès, Matthieu - 2019

We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and Spain),...

Persistent link: https://www.econbiz.de/10012889411

Interbank market frictions and unconventional policy in a currency union

Swarbrick, Jonathan; Blattner, Tobias - 2017

In this paper we show how interbank market frictions can play an important role in propagating and enhancing the effects of shocks in a currency union, and discuss the efficacy of two unconventional policy measures; multi-period central bank refinance operations and large scale asset purchases....

Persistent link: https://www.econbiz.de/10011653062

Housing Market Heterogeneity in a Monetary Union

Rubio, Margarita - 2013

This paper studies the implications of cross-country housing market heterogeneity for a monetary union, also comparing the results with a flexible exchange rate and independent monetary policy setting. I develop a two-country new Keynesian general equilibrium model with housing and collateral...

Persistent link: https://www.econbiz.de/10013095691

Limited Participation, Nominal Volatility, and Risk Sharing : Monetary Union and Financial Development

Gaytan, Alejandro - 2006

This paper explores the effects of nominal volatility and limited participation in asset markets on the risk sharing possibilities available to agents. When the set of financial assets is a decision of agents and is constrained by the resources available for investment, limited participation and...

Persistent link: https://www.econbiz.de/10014058402

A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model

Ge, Shuyi - 2022

another country. Using this new approach, I revisit the sovereign risk contagion in the euro area. I find striking shifts in … market pricing functions for the sovereign bond spreads. Multi-country contagion plays a dominant role in driving such shifts …

Persistent link: https://www.econbiz.de/10013491593