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Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations

Maurin, Laurent; Minnella, Enrico; Lake, Alfred - In: The quarterly review of economics and finance 95 (2024), pp. 85-97

Persistent link: https://www.econbiz.de/10014631372

Financial integration and international shock transmission : the terms-of-trade effect

Krenz, Johanna - 2023

What are the effects of financial integration on global comovement? Using a standard two-country DSGE model, I show that in response to country-specific supply shocks higher exposure to foreign assets leads to lower cross-country output correlations, while the opposite is true for...

Persistent link: https://www.econbiz.de/10014463371

Estimating financial integration in Europe: How to separate structural trends from cyclical fluctuations

Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022

We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...

Persistent link: https://www.econbiz.de/10013460365

The Integration of Imperfect Financial Markets : Implications for Business Cycle Volatility

Buch, Claudia M.; Pierdzioch, Christian - 2004

frictions for business cycle volatility. In our empirical analysis, we demonstrate that stylised facts suggest that countries … with more developed financial systems have lower business cycle volatility. Financial openness has no strong impact on … business cycle volatility, in contrast. In our theoretical analysis, we use a dynamic general equilibrium model to study the …

Persistent link: https://www.econbiz.de/10014072512

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

Adarov, Amat - 2019

an important driver of business cycles and public debt dynamics, with much stronger shock transmission observed in the …

Persistent link: https://www.econbiz.de/10012153925

What has caused global business cycle decoupling : smaller shocks or reduced sensitivity?

Berger, Tino; Richter, Julia - 2017

According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...

Persistent link: https://www.econbiz.de/10011584095

Are all forms of financial integration equally risky in times of financial turmoil? : asset price contagion during the global financial crisis

Ahrend, Rudiger; Goujard, Antoine - 2012

Using the 2008-09 global financial crisis, this paper examines the role of different forms of international financial integration for asset price contagion in crisis times. Defining contagion as the transmission of financial market movements beyond the co-movements that would occur in...

Persistent link: https://www.econbiz.de/10009691012

News and uncertainty shocks

Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...

Persistent link: https://www.econbiz.de/10011967370

TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …

Persistent link: https://www.econbiz.de/10012181050

Financial linkages and sectoral business cycle synchronisation : evidence from Europe

Böhm, Hannes; Schaumburg, Julia; Tonzer, Lena - 2020

We analyse whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of...

Persistent link: https://www.econbiz.de/10012156982

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