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Sudden Stop of Capital Flows and the Consequences for the Banking Sector and the Real Economy

Neagu, Florian - 2013

The paper develops a macro-prudential liquidity stress-testing tool in order to capture the possible consequences of a capital outflow (including a run of deposits). The tool includes a feedback from the banking sector to the real economy, incorporates a link between liquidity risk and solvency...

Persistent link: https://www.econbiz.de/10013075929

Bank Contagion in General Equilibrium

Ferrari, Massimo Minesso - 2020

phase transition when the consequences of one single initial shock affect the entire population. I show that the size and …

Persistent link: https://www.econbiz.de/10012829647

Shocks and Frictions in Us Business Cycles : A Bayesian DSGE Approach

Smets, Frank; Wouters, Rafael - 2021

Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to...

Persistent link: https://www.econbiz.de/10013317250

The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions

Demian, Vlad - 2015

The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...

Persistent link: https://www.econbiz.de/10013020655

Can Non-Linear Real Shocks Explain the Persistence of PPP Exchange Rate Disequilibria?

Peltonen, Tuomo - 2011

A core stylized fact of the empirical exchange rate literature is that half-life deviations of equilibrium real exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this persistence typically proceed along two distinct paths,...

Persistent link: https://www.econbiz.de/10013134541

Global Commodity Cycles and Linkages : A FAVAR Approach

Lombardi, Marco - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10013146204

The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10013060040

What Explains Global Exchange Rate Movements during the Financial Crisis

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10013159289

Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR

Bussière, Matthieu - 2011

dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

Persistent link: https://www.econbiz.de/10013130602

Exchange Rate Shocks and Inflation Comovement in the Euro Area

Leiva‐Leon, Danilo - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...

Persistent link: https://www.econbiz.de/10012838756