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Schüler, Yves S. - 2018

I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business...

Persistent link: https://www.econbiz.de/10011813473

Prudential policies in the eurozone : a propensity score matching approach

Hafemann, Lucas - 2021

This paper studies the effectiveness of micro- and macroprudential policy tools in the euro area. The established empirical literature on macroprudential policy generally considers panel estimations that suffer from two estimation biases, i.e., a selection bias and a time bias. We control for...

Persistent link: https://www.econbiz.de/10012543390

Reforming the architecture of EMU: Ensuring stability in Europe

Haan, Jakob de; Hessel, Jeroen; Gilbert, Niels - de Nederlandsche Bank - 2014

This paper analyses the reforms in the architecture of EMU since the eruption of the euro crisis in 2010. We describe major weaknesses in the original set-up of EMU, such as lack of fiscal discipline, diverging financial cycles and competitiveness positions, and a lack of crisis instruments....

Persistent link: https://www.econbiz.de/10010945595

Le problème de la coordination dans la controverse Hayek-Keynes

ZOUACHE, Abdallah - Institut de Recherche Économique et Sociale (IRES), … - 2004

Notre analyse de la coordination inter-individuelle dans la controverse Hayek-Keynes nous permet de distinguer deux … types de problème de coordination. Le problème de coordination au sens de Hayek est temporaire. Il est la conséquence de …. Le problème de coordination au sens de Keynes est permanent. Il est le résultat endogène des interactions entre les …

Persistent link: https://www.econbiz.de/10004985453

Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies

Adarov, Amat - 2017

The study estimates aggregate financial cycles and segment-specific cycles for credit, equity, bond and housing markets of the USA, the UK, Germany and Japan over the period 1960-2015 using dynamic factor models with state-space techniques based on a range of variables conveying market price,...

Persistent link: https://www.econbiz.de/10012099969

Dynamic Interactions Between Financial and Macroeconomic Imbalances: A Panel VAR Analysis

Adarov, Amat - 2019

We use Bayesian and GMM panel VAR frameworks to study interactions between financial cycles and macroeconomic imbalances based on a global sample of 24 countries spanning the period 1998‑2012. We find that financial cycles play an important role in shaping macroeconomic imbalances with...

Persistent link: https://www.econbiz.de/10012099991

Financial cycles in Europe: Dynamics, synchronicity and implications for business cycles and macroeconomic imbalances

Adarov, Amat - 2019

Using dynamic factor models and state-space techniques we quantify financial cycles for twenty European countries over the period 1960Q1-2015Q4 capturing imbalances across credit, housing, bond and equity markets. The paper documents the existence of slow-moving and persistent financial cycles...

Persistent link: https://www.econbiz.de/10012262778

Liquidity and leverage

Adrian, Tobias; Shin, Hyun Song - 2008

In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is...

Persistent link: https://www.econbiz.de/10010283554

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...

Persistent link: https://www.econbiz.de/10011992406