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The role of systemic risk spillovers in the transmission of Euro area monetary policy
Skouralis, Alexandros - 2021
model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the …
Persistent link: https://www.econbiz.de/10012704731
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The role of systemic risk spillovers in the transmission of Euro Area monetary policy
Skouralis, Alexandros - In: Open economies review 34 (2023) 5, pp. 1079-1106
Persistent link: https://www.econbiz.de/10014443848
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Monetary policy and systemic risk-taking in the Euro area investment fund industry : a structural factor-augmented vector autoregression analysis
Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of financial stability 49 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012391875
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Inflation expectations spillovers between the United States and euro area
Netšunajev, Aleksei; Winkelmann, Lars - 2014
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector autoregressive (SVAR) model. The SVAR approach allows to...
Persistent link: https://www.econbiz.de/10010255370
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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
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Do the ECB's monetary policies benefit emerging market economies? : a GVAR analysis on the crisis and post-crisis period
Colabella, Andrea - 2019
Persistent link: https://www.econbiz.de/10012017913
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International financial stress spillovers during times of unconventional monetary policy interventions
Apostolakis, George N.; Giannellis, Nikolaos - In: Journal of financial stability 72 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10014565254
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International spillovers of (un)conventional monetary policy : the effect of the ECB and US fed on non-euro EU countries
Hajek, Jan; Horváth, Roman - 2017
We estimate a global vector autoregression model to examine the effects of euro area and US monetary policy stances, together with the effect of euro area consumer prices, on economic activity and prices in non-euro EU countries using monthly data from 2001-2016. Along with some standard...
Persistent link: https://www.econbiz.de/10011729621
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International spillovers of (un)conventional monetary policy : the effect of the ECB and the US Fed on non-euro EU countries
Hajek, Jan; Horváth, Roman - In: Economic systems 42 (2018) 1, pp. 91-105
Persistent link: https://www.econbiz.de/10012126048
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International spillovers of (un)conventional monetary policy: the effect of the ECB and US fed on non-Euro EU countries
Hájek, Jan; Horváth, Roman - 2017
Persistent link: https://www.econbiz.de/10011778745