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This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Despite the large size of shocks from euro area stressed countries,...
Persistent link: https://www.econbiz.de/10011647980
We show that medium-term interest rates in the euro area, Japan, UK and US are affected by domestic and foreign shocks. We find that US rates are the main source of spillovers globally and are less exposed to foreign shocks. Foreign spillovers to European rates were negligible only during the...
Persistent link: https://www.econbiz.de/10011959276
Persistent link: https://www.econbiz.de/10013348867
We show that medium-term interest rates in the euro area, Japan, UK and US are affected by domestic and foreign shocks. We find that US rates are the main source of spillovers globally and are less exposed to foreign shocks. Foreign spillovers to European rates were negligible only during the...
Persistent link: https://www.econbiz.de/10012142065
This paper explores empirically the role of noisy information in cyclical developments and aims at separating fluctuations that are due to genuine changes in fundamentals from those due to temporary animal spirits or expectational errors (noise shocks). Exploiting the fact that the...
Persistent link: https://www.econbiz.de/10011605998
This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...
Persistent link: https://www.econbiz.de/10012142159
This paper studies the macroeconomic consequences of the COVID-19 pandemic and makes a first step in adapting the central bank modelling apparatus to the new economic landscape. We augment the ECB-BASE model with the predictive dynamics of the SIR model in order to assess the interplay between...
Persistent link: https://www.econbiz.de/10012241217
Persistent link: https://www.econbiz.de/10012243215
Persistent link: https://www.econbiz.de/10011619389
Persistent link: https://www.econbiz.de/10014384173