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Procyclical leverage in Europe and its role in asset pricing

Baltzer, Markus; Koehl, Alexandra; Reitz, Stefan - 2019

Broker-dealer leverage has recently proven to be strongly procyclical, exhibiting impressive explanatory power for a large cross-section of asset returns in the US. In this paper we add empirical evidence to this finding, showing that European and German broker-dealers actively manage their...

Persistent link: https://www.econbiz.de/10011987800

National economic impacts of an EU environmental policy : an applied general equilibrium analysis

Conrad, Klaus; Schmidt, Tobias F. N. - 1995

the European Union (EU). For this purpose we use linked applied general equilibrium models (AGE) for eleven EU member …, employment and inflation in member countries, and the cost and benefits of a cooperative approach to adhere to a EU target of … quantify the economic impact for the, EU by introducing a EU-wide tradable permit system, free of charge and based on the …

Persistent link: https://www.econbiz.de/10011620808

The effect of conventional and unconventional euro area monetary policy on macroeconomic variables

Halberstadt, Arne; Krippner, Leo - 2016

We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...

Persistent link: https://www.econbiz.de/10011578396

Below the zero lower bound : a shadow-rate term structure model for the euro area

Lemke, Wolfgang; Vladu, Andreea L. - 2016

We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall...

Persistent link: https://www.econbiz.de/10011532627

Cross-border banking and business cycles in asymmetric currency unions

Dräger, Lena; Proaño Acosta, Christian - 2015

Against the background of the recent housing boom and bust in countries such as Spain and Ireland, we investigate in this paper the macroeconomic consequences of cross-border banking in monetary unions such as the euro area. For this purpose, we incorporate in an otherwise standard two-region...

Persistent link: https://www.econbiz.de/10011299044

The (ir)relevance of the nominal lower bound for real yield curve analysis

Schupp, Fabian - 2020

I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...

Persistent link: https://www.econbiz.de/10012222610

The incidence of VAT evasion

Asatryan, Zareh; Gomtsyan, David - 2020

Who benefits from the evasion of value added taxes (VAT)? Using a reform that enforced VAT on previously non-compliant large retailers in Armenia, we estimate a onethird passthrough of the tax burden on prices. This suggests that pre-enforcement evasion rents were broadly shared with consumers...

Persistent link: https://www.econbiz.de/10012230854

Austerity and distributional policy

Alpino, Matteo; Asatryan, Zareh; Blesse, Sebastian; … - 2020

What are the effects of austerity on distributional policy? We exploit the autonomy of Italian municipalities in setting non-linear income taxes and the exogenous introduction of a fiscal rule to show that austerity increases income tax progressivity. Consistent with this evidence, we find that...

Persistent link: https://www.econbiz.de/10012232031

Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

Foos, Daniel; Lütkebohmert-Holtz, Eva; Markovych, Mariia; … - 2017

This paper investigates interest rate risk exposures of listed euro area banks which fall under the Single Supervisory Mechanism (SSM). We analyze the period 2005 to 2014, as it includes times of very low interest rates in which banks may have pursued a more risky maturity transformation...

Persistent link: https://www.econbiz.de/10011712563

Labor tax reductions in Europe : the role of property taxation

Bielecki, Marcin; Stähler, Nikolai - 2018

We use a New Keynesian DSGE model with search frictions on the housing market to evaluate how financing a labor tax reduction by higher property taxation affects the real economy and welfare. Search on the housing market enables us to explicitly model stocks and flows, which is necessary to...

Persistent link: https://www.econbiz.de/10011897973