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Sovereign Debt, Bail-Outs and Contagion in a Monetary Union
Eijffinger, Sylvester; Uras, Burak R.; Kobielarz, M.L. - Tilburg University, Center for Economic Research - 2015
Abstract: The European sovereign debt crisis is characterized by the simultaneous surge in borrowing costs in the GIPS countries after 2008. We present a theory, which can account for the behavior of sovereign bond spreads in Southern Europe between 1998 and 2012. Our key theoretical argument is...
Persistent link: https://www.econbiz.de/10011199228
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Stability of Monetary Unions : Lessons from the Break-Up of Czechoslovakia
Fidrmuc, J.; Horváth, J. - Tilburg University, Center for Economic Research - 1998
In 1993, Czechoslovakia experienced a two-fold break-up: On January 1st, the country disintegrated as a political union, while preserving an economic and monetary union. Then, the Czech-Slovak monetary union collapsed on February 8th. We analyze the economic background of the two break-ups, and...
Persistent link: https://www.econbiz.de/10011092912
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier; Banerjee, Anindya; Kozluk, Tomasz - Institut für Weltwirtschaft (IfW) - 2007
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a long-run Engle and Granger cointegrating...
Persistent link: https://www.econbiz.de/10005083403
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Finding communities in credit networks
Bargigli, Leonardo; Gallegati, Mauro - Institut für Weltwirtschaft (IfW) - 2012
likelihood of intracommunity default contagion is expected to be high. …
Persistent link: https://www.econbiz.de/10010956113
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Contagion effect of financial crisis on OECD stock markets
Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - Institut für Weltwirtschaft (IfW) - 2011
In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …
Persistent link: https://www.econbiz.de/10009149314
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Contagion Between European and US Banks: Evidence from Equity Prices
Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …
Persistent link: https://www.econbiz.de/10008764567
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The Euro’s Trade Effect under Cross-Sectional Heterogeneity and Stochastic Resistance
Herwartz, Helmut; Weber, Henning - Institut für Weltwirtschaft (IfW) - 2010
This paper investigates if the euro's effect on euro-area trade differs across trade sectors and across country pairs, and to what degree heterogeneity matters for estimating the aggregate euro effect. Time-varying latent variables, which are specific to each sector in each country pair, control...
Persistent link: https://www.econbiz.de/10008550503
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Money, Fiscal Defecits and Government Debt in a Monetary Union
Bovenberg, A.L.Bovenberg; van Aarle, B.; Raith, M. - Tilburg University, Center for Economic Research - 1996
The replacement of national currencies by a common currency in the EMU causes a monetary externality if the European Central Bank is inclined to monetize part of outstanding government debt in the community.High government debt in one part of the EU then increases the common inflation rate.We...
Persistent link: https://www.econbiz.de/10011092899
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An Analysis of the Stability Pact
Uhlig, H.F.H.V.S.; Beetsma, R.M.W.J. - Tilburg University, Center for Economic Research - 1997
We analyse the proposed "Stability Pact" for countries joining a European Monetary Union (EMU). In an EMU shortsighted governments fail to fully internalise the inflationary consequences of their debt policies. This results in excessive debt accumulation. Therefore, while in the absence of EMU...
Persistent link: https://www.econbiz.de/10011092348
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Should the core fear the outs? Price setting practices and international monetary transmission
Friberg, Richard - Economics Institute for Research (SIR), … - 1997
This paper examines the response of national consumption, production and welfare to asymmetric monetary shocks. We do so in a two-country model (country
Persistent link: https://www.econbiz.de/10005190906