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Economic spillovers from the euro area to the CESEE region via the financial channel : a GVAR approach

Backé, Peter; Feldkircher, Martin; Slačik, Tomáš - In: Focus on European economic integration (2013) 4, pp. 50-64

Persistent link: https://www.econbiz.de/10010211285

International effects of euro area forward guidance

Böck, Maximilian; Feldkircher, Martin; Siklos, Pierre L. - 2020

Persistent link: https://www.econbiz.de/10012225241

International effects of a compression of euro area yield curves

Feldkircher, Martin; Gruber, Thomas; Huber, Florian - In: Journal of banking & finance 113 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012226140

Macro stress testing credit risk : case of Madagascar banking sector

Rakotonirainy, Miora; Razafindravonona, Jean; … - In: Journal of central banking theory and practice 9 (2020) 2, pp. 199-218

evaluate its impact on banking system capitalization. Our method uses the Global Vector Autoregressive (GVAR) Model to generate … adverse macroeconomic scenarios. The GVAR model is combining by the satellite credit risk equation to find the non …-performing loan under stress conditions. The advantage of using GVAR model is that on the one hand, it captures the transmission of …

Persistent link: https://www.econbiz.de/10012306632

Country-level effects of the ECB's expanded asset purchase programme

Zlobins, Andrejs - In: Baltic journal of economics 20 (2020) 2, pp. 187-217

This paper evaluates the macroeconomic effects of the European Central Bank's (ECB) Expanded asset purchase programme (APP) on Latvia and other euro area jurisdictions and investigates the cross-border transmission mechanism. To that end, we employ two different vector autoregressive (VAR)...

Persistent link: https://www.econbiz.de/10012296198

The beggar thy neighbor effects of weak Japanese yen : a GVAR approach

Choi, Doo-yull; Park, Seung-rok - In: Korea and the world economy 20 (2019) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10012299338

The risk-taking channel in the US : a GVAR approach

Alzuabi, Raslan; Caglayan, Mustafa; Muratidēs, Kōstas - 2017

Persistent link: https://www.econbiz.de/10011631343

Bank fragility and contagion : evidence from the bank CDS market

Ballester, Laura; Casu, Barbara; González-Urteaga, Ana - In: Journal of empirical finance 38 (2016), pp. 394-416

Persistent link: https://www.econbiz.de/10011664775

Weathering global shocks and macrofinancial vulnerabilities in emerging Europe : comparing Turkey and Poland

Eller, Markus; Huber, Florian; Schuberth, Helene - In: Focus on European economic integration (2016) 1, pp. 46-65

Persistent link: https://www.econbiz.de/10011669506

Bayesian GVAR with k-endogenous dominants & input-output weights : financial and trade channels in crisis transmission for BRICs

Tsionas, Efthymios G.; Konstantakis, Konstantinos N.; … - In: Journal of international financial markets, … 42 (2016), pp. 1-26

Persistent link: https://www.econbiz.de/10011673401