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Euro Area and U.S. External Adjustment: The Role of Commodity Prices and Emerging Market Shocks

Giovannini, Massimo; Kollmann, Robert; Ratto, Marco; … - 2018

The trade balances of the Euro Area (EA) and of the US have improved markedly after the Global Financial Crisis. This paper quantifies the drivers of EA and US economic fluctuations and external adjustment, using an estimated (1999-2017) three-region (US, EA, rest of world) DSGE model with trade...

Persistent link: https://www.econbiz.de/10011892052

Structural change in times of increasing openness: Assessing path dependency in European economic integration

Gräbner, Claudius; Heimberger, Philipp; Kapeller, Jakob; … - 2019

This paper analyzes the dynamics of structural polarization and macroeconomic divergence in the context of European integration, where the latter is understood primarily as an increase in economic and financial openness. In the process of estimating the dynamic effects of such an openness shock...

Persistent link: https://www.econbiz.de/10012099049

The Impact of Aid on Growth an aid disaggregation approach

Ouattara, Bazoumana; Strobl, Eric - 2008

This paper investigates the impact of aid on growth. A clear departure from the vast majority of the existing literature is that we a disaggregate aid by functional classification. Using the GMM SYS approach to dynamic panel estimator we test the three main competing specifications in the aid...

Persistent link: https://www.econbiz.de/10010301443

Contagious Policies: An Analysis of Spatial Interactions Among Countries' Capital Account Policies

Steiner, Andreas - 2010

Countries' capital account policies might be contagious in the sense that domestic policies are driven by other countries' policies. A model of strategic interactions is developed to show that countries' best response to policy changes elsewhere consists in imitating this policy. Using a spatial...

Persistent link: https://www.econbiz.de/10010301530

Avoiding the Fall into the Loop: Isolating the Transmission of Bank-to-Sovereign Distress in the Euro Area and its Drivers

Böhm, Hannes; Eichler, Stefan - 2019

We isolate the direct bank-to-sovereign distress channel within the Eurozone's sovereignbank-loop by exploiting the global, non-Eurozone related variation in stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone...

Persistent link: https://www.econbiz.de/10012099077

Information Frictions, Global Capital Markets, and the Telegraph

Wache, Benjamin - 2021

Do information frictions have a causal impact on the international flow of financial capital? Using the international rollout of telegraph cables in the 19th century, I show causal evidence that reductions in information frictions had a significant and positive impact on the bilateral...

Persistent link: https://www.econbiz.de/10012623190

Multivariate Wishart Stochastic Volatility Models

Gribisch, Bastian; Liesenfeld, Roman - 2010

We generalize the basic Wishart multivariate stochastic volatility model of Philipov and Glickmann (2006) to encompass regime switching behavior. The latent state variable is driven by a first-order Markov process. In order to estimate the proposed model we use Bayesian Markov Chain Monte Carlo...

Persistent link: https://www.econbiz.de/10010270133

Real Income Convergence between Central Eastern and Western Europe: Past, Present, and Prospects

Matkowski, Zbigniew; Prochniak, Mariusz; Rapacki, Ryszard - 2016

The paper presents an analysis of real income convergence between the 11 countries of Central Eastern Europe which have joined the European Union (EU11) and 15 countries of Western Europe (EU15) in the period 1993-2015. The evolution of the income gap between the two groups of countries in terms...

Persistent link: https://www.econbiz.de/10011546733

Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production

Wohlrabe, Klaus; Carstensen, Kai; Ziegler, Christina - 2010

to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing …

Persistent link: https://www.econbiz.de/10010270748

Forecasting with DSGE Models

Coenen, Günter; Christoffel, Kai; Warne, Anders - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM's forecasting performance. For example, the model is not able to explain the moderation in wage …

Persistent link: https://www.econbiz.de/10010273631