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Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10010493885

Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?

Horvath, Jaroslav - 2019

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

Persistent link: https://www.econbiz.de/10012902819

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

Imura, Yuko; Thomas, Julia K. - 2015

. This paper investigates the extent to which a credit shock in one country is transmitted to its trade partners. To this end … investment loans. We find that a negative credit shock to one country induces a sharp contraction in that country's economy …. The degree of credit-shock transmission depends on the home bias in international trade and the type of goods countries …

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

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

Financial Frictions and the International Transmission of Shocks

Park, Woong Yong - 2019

This study presents a two-good, two-country model with financial frictions, where banks facing a borrowing constraint intermediate funds between households and firms. The endogenous fluctuations of international relative prices increase the business cycle co-movement across countries when...

Persistent link: https://www.econbiz.de/10012858531

Causes of financial instability

Bezemer, Dirk Johan - 2011

Given the economy's complex behavior and sudden transitions as evidenced in the 2007-08 crisis, agent-based models are widely considered a promising alternative to current macroeconomic practice dominated by DSGE models. Their failure is commonly interpreted as a failure to incorporate...

Persistent link: https://www.econbiz.de/10008933468

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

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

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/10013265941

Financial Frictions and Global Spillovers

Metiu, Norbert - 2016

Persistent link: https://www.econbiz.de/10012988701

Financial shocks and the real economy in a nonlinear world : from theory to estimation

Silvestrini, Andrea; Zaghini, Andrea - 2015

financial shock are time-varying and contingent on the state of the economy. They are of negligible importance in normal times …

Persistent link: https://www.econbiz.de/10011279726

Ostensible Financial Stability Caused by Wealth Inequality

Choi, Youngna - 2018

This article investigates ostensible financial stability of an economic sector caused by wealth inequality. When a sector is decomposed into two subsectors that possess a severe wealth inequality, the sector in entirety can look financially stable while the two subsectors have opposite extreme...

Persistent link: https://www.econbiz.de/10012924072