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Regional integration and the euro crisis : problems and solutions
Pessoa, Argentino - 2013
Along time the European Union (EU) has been pointed as the most succeeded example of regional integration. Now, this example has been cruelly shaken by the EZ (Euro Zone) crisis, originating increasing doubts about the integration process. It is evident that the proposed solutions for attacking...
Persistent link: https://www.econbiz.de/10011515832
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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
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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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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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Persistent unemployment, sovereign debt crises, and the impact of haircuts
Prein, Timm M. - 2019
After 2008, the Southern European economies suffered a strong and persistent increase in unemployment. Rising government bond spreads necessitated the implementation of austerity policies. Austerity however, may increase unemployment. If workers lose human capital during unemployment spells, the...
Persistent link: https://www.econbiz.de/10012317627
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Sudden stops and reserve accumulation in the presence of international liquidity risk
Lutz, Flora; Zessner-Spitzenberg, Leopold - 2020
We propose a small open economy model where agents borrow internationally and invest in liquid foreign assets to insure against liquidity shocks, which temporarily shut out the economy of short-term credit markets. Due to the presence of a pecuniary externality individual agents borrow too much...
Persistent link: https://www.econbiz.de/10012425195
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Multinational banking : the crisis and its policy response
Muting, Miriam - 2019
Stylized data shows a structural break in the integration of lending markets which coincides with the global financial crisis. During and after the crisis, banks actively reduced their share of foreign relative to domestic banking activity and lending in particular. This increase in lending...
Persistent link: https://www.econbiz.de/10012317329
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Information Effects of Euro Area Monetary Policy : new evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are...
Persistent link: https://www.econbiz.de/10012265893
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Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020
We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...
Persistent link: https://www.econbiz.de/10012424954
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Domestic and foreign demand for euro banknotes issued in Germany
Bartzsch, Nikolaus; Uhl, Matthias - 2017
To facilitate a more detailed study of the volume of euro banknotes in circulation issued by the Deutsche Bundesbank, it is broken down into the components of foreign demand, domestic hoarding and domestic transaction balances. These banknote demand components are estimated using the direct...
Persistent link: https://www.econbiz.de/10011731481