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Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …

Persistent link: https://www.econbiz.de/10011605699

Food price pass-through in the euro area The role of asymmetries and non-linearities

Ferrucci, Gianluigi; Jiménez-Rodríguez, Rebeca; … - 2010

In this paper we analyse the pass-through of a commodity price shock along the food price chain in the euro area. Unlike the existing literature, which mainly focuses on food commodity prices quoted in international markets, we use a novel database that accounts for the role of the Common...

Persistent link: https://www.econbiz.de/10011605214

Food Price Pass-Through in the Euro Area - The Role of Asymmetries and Non-Linearities

Ferrucci, Gianluigi; Jiménez-Rodríguez, Rebeca; … - 2021

Persistent link: https://www.econbiz.de/10013316224

Temporal networks in the analysis of financial contagion

Franch, Fabio; Nocciola, Luca; Vouldis, Angelos - 2022

This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic...

Persistent link: https://www.econbiz.de/10013367996

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011604242

Public finances and long-term growth in Europe - evidence from a panel data analysis

De Ávila, Diego Romero; Strauch, Rolf - 2003

In Lisbon the European Council proclaimed a European growth strategy. It considers an average economic growth rate of around 3 percent as a realistic prospect for the coming years and assigns public finances an important role in the process of achieving this goal. This paper addresses the...

Persistent link: https://www.econbiz.de/10011604292

Credit market competition and liquidity crises

Carletti, Elena; Leonello, Agnese - 2016

We develop a model where banks invest in reserves and loans, and trade loans on the interbank market to deal with liquidity shocks. Two types of equilibria emerge, depending on the degree of credit market competition and the level of aggregate liquidity risk. In one equilibrium, all banks keep...

Persistent link: https://www.econbiz.de/10011605977

Duration, volume and volatility impact of trades

Manganelli, Simone - 2002

This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an econometric reduced form that incorporates causal and feedback effects among these variables. We construct impulse-response functions that show how the system reacts to a...

Persistent link: https://www.econbiz.de/10011604171

The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?

Fratzscher, Marcel - 2002

The paper analyses the trade-off between exchange rate flexibility and monetary policy autonomy. It tests empirically the 'Possible Duality' hypothesis, i.e. whether countries with more flexible currency regimes are indeed able to exert more monetary policy autonomy than those with less flexible...

Persistent link: https://www.econbiz.de/10011604200

Sensitivity analysis of volatility: a new tool for risk management

Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - 2002

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …

Persistent link: https://www.econbiz.de/10011604240