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An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk
Bonaldi, Pietro - 2015
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10012457206
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Financial Spillovers and Macroprudential Policies
Aizenman, Joshua - 2017
policies. From the estimation exercise, we find that a more extensive implementation of macroprudential policies would lead PHs …
Persistent link: https://www.econbiz.de/10012453608
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Granular Instrumental Variables
Gabaix, Xavier - 2020
"sovereign yield shocks" transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers …
Persistent link: https://www.econbiz.de/10012482423
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Insulation Impossible : Fiscal Spillovers in a Monetary Union
Cooper, Russell - 2009
This paper studies fiscal spillovers in a monetary union. The focus of the analysis is on the interaction between the fiscal policy of member countries (regions) and the central monetary authority. When capital markets are integrated, the fiscal policy of one country will influence equilibrium...
Persistent link: https://www.econbiz.de/10012463473
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Jump Starting the Euro Area Recovery : Would a Rise in Core Fiscal Spending Help the Periphery?
Blanchard, Olivier - 2015
We show that a fiscal expansion by the core economies of the euro area would have a large and positive impact on periphery GDP assuming that policy rates remain low for a prolonged period. Under our preferred model specification, an expansion of core government spending equal to one percent of...
Persistent link: https://www.econbiz.de/10012457242
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Information Spillovers and Sovereign Debt : Theory Meets the Eurozone Crisis
Cole, Harold L.; Neuhann, Daniel; Ordoñez, Guillermo - National Bureau of Economic Research - 2022
primary and secondary market yields, market segmentation, and measures of information acquisition during the Eurozone …
Persistent link: https://www.econbiz.de/10013334434
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Global Supply Chain Pressures, International Trade, and Inflation
Di Giovanni, Julian; Kalemli-Ozcan, Sebnem; Silva, Álvaro - National Bureau of Economic Research - 2022
We study the impact of the Covid-19 pandemic on Euro Area inflation and how it compares to the experiences of other countries, such as the United States, over the two-year period 2020-21. Our model-based calibration exercises deliver four key results: 1) Compositional effects - the switch from...
Persistent link: https://www.econbiz.de/10013334457
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10012470341
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A Phillips Curve for the Euro Area
Ball, Laurence M. - 2019
This paper asks whether a textbook Phillips curve can explain the behavior of core inflation in the euro area. A critical feature of the analysis is that we measure core inflation with the weighted median of industry inflation rates, which is less volatile than the common measure of inflation...
Persistent link: https://www.econbiz.de/10012480393
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MPC Heterogeneity in Europe : Sources and Policy Implications
Ampudia, Miguel - 2018
. The estimation of key parameters uses a simulated method of moments approach to match moments related to asset market … estimation are used to characterize the distributions of the marginal propensity to consume across households for each of the …
Persistent link: https://www.econbiz.de/10012480733