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ECB-Global : Introducing ECB's Global Macroeconomic Model for Spillover Analysis

Dieppe, Alistair - 2017

In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to … the domestic economy. We develop a semi-structural multi-country model with rich real and financial channels of …

Persistent link: https://www.econbiz.de/10012958272

Monetary Policy Spillovers, Capital Controls and Exchange Rate Flexibility, and the Financial Channel of Exchange Rates

Georgiadis, Georgios - 2019

economy with a flexible exchange rate is stronger when it exhibits negative foreign-currency exposures which stem from …

Persistent link: https://www.econbiz.de/10012872104

Determinants of Global Spillovers from US Monetary Policy

Georgiadis, Georgios - 2015

This paper assesses the global spillovers from identified US monetary policy shocks in a global VAR model. US monetary policy generates sizable output spillovers to the rest of the world, which are larger than the domestic effects in the US for many economies. The magnitude of spillovers depends...

Persistent link: https://www.econbiz.de/10013014615

Monetary Policy and its Transmission in a Globalised World

Ca'Zorzi, Michele - 2020

This paper estimates and compares the international transmission of European Central Bank (ECB) and Federal Reserve System monetary policy in a unified and methodologically consistent framework. It identifies pure monetary policy shocks by purging them of the bias stemming from contemporaneous...

Persistent link: https://www.econbiz.de/10012834227

Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling : Tales from 1001 Shocks

Georgiadis, Georgios - 2017

Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that...

Persistent link: https://www.econbiz.de/10012953383

Introducing Dominant Currency Pricing in the ECB's Global Macroeconomic Model

Georgiadis, Georgios; Mösle, Saskia - 2021

” (DCP) into ECB-Global, the ECB’s macroeconomic model for the global economy. To our knowledge, this is the first attempt to … a non-US economy that alters the value of its currency multilaterally, expenditure-switching occurs only through imports …

Persistent link: https://www.econbiz.de/10013315335

Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates

Dedola, Luca; Georgiadis, Georgios; Gräb, Johannes; … - 2021

We estimate the effects of quantitative easing (QE) measures by the ECB and the Federal Reserve on the US dollar-euro exchange rate at frequencies and horizons relevant for policymakers. To do so, we derive a theoretically-consistent local projection regression equation from the standard asset...

Persistent link: https://www.econbiz.de/10013315385

The Geography of the Great Rebalancing in Euro Area Bond Markets During the Sovereign Debt Crisis

Beck, Roland - 2015

During the sovereign debt crisis investors rebalanced out of stressed and into non-stressed euro area countries, thereby contributing to the tensions in euro area financial markets. This paper examines the geographical pattern of this great rebalancing. Specifically, we test whether euro area...

Persistent link: https://www.econbiz.de/10013016950

Growth, Real Exchange Rates and Trade Protectionism Since the Financial Crisis

Georgiadis, Georgios - 2013

vis-à-vis non-G20 economies. Our results suggest that — especially in light of the sluggish recovery — the global economy …

Persistent link: https://www.econbiz.de/10013072606

Dominant-Currency Pricing and the Global Output Spillovers from Us Dollar Appreciation

Georgiadis, Georgios; Schumann, Ben - 2021

US dollar multilaterally decline with an economy’s export-import US dollar pricing share differential, i.e. the … difference between the share of an economy’s exports and imports that are priced in the dominant currency. Underlying this … prediction is a change in an economy’s net exports in response to multilateral changes in the US dollar exchange rate that arises …

Persistent link: https://www.econbiz.de/10013315352