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Sovereign Bond Market Spillovers from Crisis-Time Developments in Greece

Clancy, Daragh - 2020

, such as Germany gradually becoming a safe haven from Greece. We confirm that developments in Greece drive our tail … intuitive quantification of the spillovers emanating from Greece. Taken together, our findings demonstrate that developments in … Greece significantly affected other euro area sovereign bond markets over and beyond global, euro area and country …

Persistent link: https://www.econbiz.de/10012826620

Testing the Kumara Swamy Theorem of Inflationary Gap in the Cypriot and Greek Economies – Research Findings

Lazaridis, Ioannis - 2010

Due to the international crisis in the global economy the Euro zone economy is expected to grow with significantly lower rates. Moreover, inflation is accelerated internationally, due to increases in oil prices and food prices. In this paper we have attempted to investigate if the Kumara Swamy...

Persistent link: https://www.econbiz.de/10013137253

When domestic and foreign QE overlap: evidence from Sweden

Di Casola, Paola; Stockhammar, Pär - 2021

We estimate the effects of domestic and foreign quantitative easing (QE) programmes on a small open economy, Sweden, using a structural BVAR model. Domestic QE raised GDP, lowered unemployment and depreciated the currency, while effects on in ation are less clear. The ECB QE had large positive...

Persistent link: https://www.econbiz.de/10012520274

How Can a Small Country Affect the European Economy? The Greek Contagion Phenomenon

Samitas, Aristeidis - 2013

markets' fluctuation. Thus, Greek government's debt should not influence the other European markets. However, Greece is a …

Persistent link: https://www.econbiz.de/10013089927

The Federal Reserve's Portfolio and its Effects on Mortgage Markets

Hancock, Diana - 2012

We provide an empirical analysis of the effects of the Federal Reserve's asset holdings on MBS yields and mortgage rates. We argue that understanding the particulars of the U.S. mortgage markets, particularly the linkages between the secondary and primary mortgage markets, is important. We find...

Persistent link: https://www.econbiz.de/10013106785

Spillovers, Capital Flows and Prudential Regulation in Small Open Economies

Castillo, Paul - 2014

This paper extends the model of Aoki et al. (2009) considering a two sector small open economy. We study the interaction of borrowing, asset prices, and spillovers between tradable and non-tradable sectors. Our results suggest that when it is difficult to enforce debtors to repay their debt...

Persistent link: https://www.econbiz.de/10013047530

Household Credit, Global Financial Cycle, and Macroprudential Policies : Credit Register Evidence from an Emerging Country

Epure, Mircea - 2017

We analyze the effects of macroprudential policies on local bank credit cycles and interactions with international financial conditions. For identification, we exploit the comprehensive credit register containing all bank loans to individuals in Romania, a small open economy subject to external...

Persistent link: https://www.econbiz.de/10012946658

Cross-Border Claims and Banking Crises : An Early Warning System for Small Open Economies

Dieckelmann, Daniel - 2020

This paper presents an early warning system for predicting banking crises specifically tailored to developed small open economies. The model considers two sources of financial instability: Domestic macro-financial imbalances and exposure to foreign banking systems with high crisis risk. Exposure...

Persistent link: https://www.econbiz.de/10012849512

Defaultable Debt, Interest Rates, and the Current Account

Aguiar, Mark; Gopinath, Gita - 2008

World capital markets have experienced large-scale sovereign defaults on a number of occasions, the most recent being Argentina's default in 2002. In this paper, we develop a quantitative model of debt and default in a small open economy. We use this model to match four empirical regularities...

Persistent link: https://www.econbiz.de/10014028493

Transmission Channels of Systemic Risk and Contagion in the European Financial Network

Paltalidis, Nikos - 2017

We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual simulations to propagate shocks emerging from three...

Persistent link: https://www.econbiz.de/10012972798

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