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Credit, asset prices and business cycles at the global level

Dées, Stéphane - 2015

This paper assesses the role of financial variables in real economic fluctuations, in view of analysing the link between financial cycles and business cycles at the global level. A Global VAR modelling approach, which has been proved suitable for modelling country or regional linkages, is used...

Persistent link: https://www.econbiz.de/10011476350

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - 2019 - Preliminary Draft

We propose a simple modification of the time series filter by Hamilton (2018b) that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8-quarter ahead forecasts errors of an autoregression. While this approach yields a cyclical component of...

Persistent link: https://www.econbiz.de/10012268018

The impact of uncertainty and financial shocks in recessions and booms

Salzmann, Leonard - 2020

prices in boom periods but have significantly contractionary effects in recessions. (ii) By comparison, adverse financial … shocks are contractionary both in recessions and boom periods. (iii) Identifying assumptions play a significant role in the … effect magnitudes, especially for uncertainty shocks and in recessions. (iv) Financial conditions are generally a key …

Persistent link: https://www.econbiz.de/10012429635

What drives regional business cycles? : the role of common and spatial components

Artis, Michael J.; Dreger, Christian; Cholodilin, … - 2010

The degree of comovement of economic activity across states or regions is an issue of utmost importance to policymakers. Asymmetric business cycles are often seen as an impediment to the formation of a common currency area. However, it has been argued that a common monetary policy in itself...

Persistent link: https://www.econbiz.de/10012608343

Indicator-based estimates of the output gap in the euro area

Weiske, Sebastian - 2019

The output gap is a key variable of business cycle analysis and policy. Obtaining reliable estimates for it, is very difficult, though. Most real-time estimates are frequently revised over time. The idea of this paper is to use various indicators, for example from business surveys, that (i) were...

Persistent link: https://www.econbiz.de/10012309596

Lending organization and credit supply during the crisis

Del Prete, Silvia; Pagnini, Marcello; Rossi, Paola; … - 2013

Using a unique dataset, which combines bank organizational variables, information on lending techniques, firms' credit demand and others balance sheet indicators, we investigate the impact of lending organization on credit dynamics during the crisis period. Our main findings suggest that the...

Persistent link: https://www.econbiz.de/10011544613

Banking crises under a Central Bank Digital Currency (CBDC)

Bitter, Lea - 2020

One of the main concerns when considering Central Bank Digital Currency (CBDC) is the disintermediating effect on the banking sector in normal times, and even more the risk of a bank run in times of crisis. This paper extends the bank run model of Gertler and Kiyotaki (2015) by analyzing the...

Persistent link: https://www.econbiz.de/10012431527

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 - This Version: January 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/10012265559

Bank runs, bank competition and opacity

Ahnert, Toni; Martinez-Miera, David - 2021

We model asset opacity and deposit rate choices of banks who imperfectly compete for uninsured deposits, are subject to runs, and face a threat of entry. Higher competition increases deposit rates and bank fragility, resulting in an intermediate socially optimal level of bank competition. We...

Persistent link: https://www.econbiz.de/10013329652

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...

Persistent link: https://www.econbiz.de/10013328355

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