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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

State-dependent transmission of monetary policy in the euro area

Burgard, Jan Pablo; Neuenkirch, Matthias; Nöckel, Matthias - 2018 - First Draft: December 21, 2016

In this paper, we estimate a logit mixture vector autoregressive (Logit-MVAR) model describing monetary policy transmission in the euro area over the period 1999-2015. MVARs allow us to differentiate between different states of the economy. In our model, the time-varying state weights are...

Persistent link: https://www.econbiz.de/10011859492

The interest rate pass-through in the Euro area during the global financial crisis : conference paper

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2013

This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro area banks to the global financial crisis. We focus on their interest rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding is...

Persistent link: https://www.econbiz.de/10010338974

Interpreting fiscal accounting rules in the European Union

Gandrud, Christopher; Hallerberg, Mark - 2016

, especially when in the eurozone, and prior to elections. Financial crises heighten the number of policies needing interpretation …. We find debts are revised upwards more for eurozone countries with higher debt levels and years with unscheduled …

Persistent link: https://www.econbiz.de/10011571456

The euro crisis and economic growth : a novel counterfactual approach

Terzi, Alessio - 2019 - This Draft: 25 June 2019

warranted. To make this claim, this paper uses a Propensity Score Matching Model to produce counterfactuals for the Eurozone … more in the Eurozone periphery than in the standard counterfactual scenario. These results are not dictated by any specific … Eurozone’s specificity, which is instead to be traced back to a sharper-than-expected contraction in investment and fiscal …

Persistent link: https://www.econbiz.de/10012033212

A new two-pillar strategy for the ECB

De Grauwe, Paul; Gros, Daniel - 2009

The ECB has been arguing in the past that since there is no trade-off between price stability and financial stability, the pursuit of price stability is the best a central bank can do to also maintain financial stability. We argue that there is a potential trade-off between price stability and...

Persistent link: https://www.econbiz.de/10003888991

Banking and debt crisis in Europe : the dangerous liaisons?

Candelon, Bertrand; Palm, Franz C. - 2010

The potential mutation of the Sub-Prime banking crisis into a sovereign debt one in Euro area countries is investigated. After reviewing the criteria used to measure the debt vulnerability, the balance sheet approach (BSA) is presented in order to illustrate the potential connections between...

Persistent link: https://www.econbiz.de/10003951604

Loan supply shocks during the financial crisis : evidence for the Euro Area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2011

This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which...

Persistent link: https://www.econbiz.de/10009012054

Sovereign default risk and banks in a monetary union

Uhlig, Harald - 2013 - This revision: August 12, 2013

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...

Persistent link: https://www.econbiz.de/10009786077

The macroeconomic policy challenges of balance sheet recession : lessons from Japan for the European crisis

Schnabl, Gunther - 2013

The paper compares the boom-and-bust cycles in Japan and Europe with respect to the reasons for excessive booms, the characteristics of the crises, and the (potential) effects of the crisis therapies. As in Japan the consequence of expansionary monetary and fiscal policies is the hysteresis of...

Persistent link: https://www.econbiz.de/10009743745