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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 countries and take further precautions to remove any Eurozone crisis …
Persistent link: https://www.econbiz.de/10012265559
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Monetary policy and banks in the Euro Area : the tale of two crises
Reichlin, Lucrezia - In: Journal of macroeconomics 39 (2014) 2, pp. 387-400
Persistent link: https://www.econbiz.de/10010496447
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Measuring systemic risk in dual banking system : the case of Malaysia
Manap, Turkhan Ali Abdul - In: Islamic finance, risk-sharing and macroeconomic stability, (pp. 151-170). 2019
Persistent link: https://www.econbiz.de/10012098473
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Credit risk in the Romanian banking system : evidence from an ARDL model
Nikolaidou, Eftychia; Vogiazas, Sofoklis D. - In: Balkan and Eastern European countries in the midst of …, (pp. 87-101). 2013
Persistent link: https://www.econbiz.de/10010425819
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Banks' holdings of risky sovereign bonds in the absence of the nexus : yield seeking with central bank funding or de-risking?
Frey, Rainer; Weth, Mark - 2019
For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of high-yielding periphery bonds in the period from Q1 2008 to Q2 2011. This investment strategy is pursued by banks not subject to a bailout, banks characterised by high...
Persistent link: https://www.econbiz.de/10012268051
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Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - In: Journal of monetary economics 65 (2014), pp. 36-53
Persistent link: https://www.econbiz.de/10010485270
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Measuring redenomination risks in the Euro area : new evidence from survey data
Klose, Jens - 2019
This article introduces a new indicator to measure redenomination risks in Euro area countries. The measure is based on survey data. The influence of this indicator in determining sovereign bond yield spreads is tested using an ARDL-approach. The results for ten EMU countries in the period June...
Persistent link: https://www.econbiz.de/10012230969
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Trade imbalances within the Euro Area : two regions, two demand regimes
Covi, Giovanni - In: Empirica : journal of european economics 48 (2021) 1, pp. 181-221
Persistent link: https://www.econbiz.de/10012487647
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Inflation: failures of inflation targeting : a European perspective
Springler, Elisabeth - In: Frontiers of heterodox macroeconomics, (pp. 173-221). 2019
Monetary policy became the major tool of economic policy to counteract the financial crisis of 2008/2009. The underlying macroeconomic consensus is that inflation rates of 2% are consistent with a stable rise of economic growth. While most central banks follow this guideline, which is widely...
Persistent link: https://www.econbiz.de/10012195547
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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