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The 2020-2022 Inflation Surge Across Europe : A Phillips-Curve-Based Dissection

Baba, Chikako; Duval, Romain; Lan, Ting; Topalova, Petia B. - 2023

In 2021-22, inflation in Europe soared to multidecade highs, consistently exceeding policymakers’ forecasts and surprising with its wide cross-country dispersion. This paper analyzes the key drivers of the inflation surge in Europe and its variation across countries. The analysis highlights...

Persistent link: https://www.econbiz.de/10014257255

A Bottom-Up Reduced Form Phillips Curve for the Euro Area

McGregor, Thomas; Toscani, Frederik - 2022

We develop a bottom-up model of inflation in the euro area based on a set of augmented Phillips curves for seven subcomponents of core inflation and auxiliary regressions for non-core items. We use the model’s disaggregated structure to explore which factors drove the deterioration in...

Persistent link: https://www.econbiz.de/10014264528

Dynamic spillovers of oil price shocks and policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - 2014

Persistent link: https://www.econbiz.de/10010360804

The financial connectedness between eurozone core and periphery: A disaggregated view

Magkonis, Georgios; Tsopanakis, Andreas - 2017

This paper examines the financial stress interconnectedness among GIIPS economies and Germany. Based on market level financial stress indices, it examines the stress transmission process as well as the causal network relationships in banking sector, bond, money and stock markets. The period...

Persistent link: https://www.econbiz.de/10011787159

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

Persistent link: https://www.econbiz.de/10003808130

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

Persistent link: https://www.econbiz.de/10003823970

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …

Persistent link: https://www.econbiz.de/10003963822

The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets

Asongu, Simplice A. - 2011

Purpose - Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis. Design/methodology/approach...

Persistent link: https://www.econbiz.de/10011410521

Interdependence and Contagion in Global Asset Markets

Beirne, John - 2012

This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism – both within and cross-market...

Persistent link: https://www.econbiz.de/10013100396

Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Bayoumi, Tamim - 2013

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area … reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers … to the U.S. from elsewhere are minimal. There is also evidence of two-way spillovers between the UK and Euro area …

Persistent link: https://www.econbiz.de/10013084151