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Melting down : systemic financial instability and the macroeconomy ; conference paper

Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

Persistent link: https://www.econbiz.de/10010336276

Unconventional monetary policy and bond market connectedness in the new normal

Akovalı, Umut; Yılmaz, Kamil - 2021

Tantrum of mid-2013 and the ECB’s policy convergence to other major central banks in 2015, the long-term return connectedness … across countries increased, overtaking the short-term connectedness and lowering the dispersion of connectedness measures … across maturities. Over the same period, net connectedness from short- to long-term maturities weakens, while net …

Persistent link: https://www.econbiz.de/10012495030

A risk management perspective on macroprudential policy

Chavleishvili, Sulkhan; Fahr, Stephan; Kremer, Manfred; … - 2021

Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews...

Persistent link: https://www.econbiz.de/10012519434

On the Interaction between Market and Credit Risk : A Factor-Augmented Vector Autoregressive (FAVAR) Approach

Fiori, Roberta - 2011

The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...

Persistent link: https://www.econbiz.de/10013128108

COVID-19 outbreak, social response, and early economic effects : a global VAR analysis of cross country interdependencies

Milani, Fabio - 2020

This paper studies the social and economic responses to the COVID-19 pandemic in a large sample of countries. I stress, in particular, the importance of countries' interconnections to understand the spread of the virus. I estimate a Global VAR model and exploit a dataset on existing social...

Persistent link: https://www.econbiz.de/10012262142

The macroeconomic cost of climate volatility

Alessandri, Piergiorgio; Mumtaz, Haroon - 2021

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate conditions less predictable across countries, with...

Persistent link: https://www.econbiz.de/10012608712

A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model

Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020

observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …

Persistent link: https://www.econbiz.de/10012293790

COVID-19 outbreak, social response, and early economic effects : a global VAR analysis of cross-country interdependencies

Milani, Fabio - 2020

This paper studies the social and economic responses to the COVID-19 pandemic in a large sample of countries. I stress, in particular, the importance of countries' interconnections to un-derstand the spread of the virus. I estimate a Global VAR model and exploit a dataset on existing social...

Persistent link: https://www.econbiz.de/10012263745

Monetary Policy in a Data-Rich Environment

Boivin, Jean; Bernanke, Ben S. - 2001

Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...

Persistent link: https://www.econbiz.de/10014128744

Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus

Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012197879

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