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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis

Alter, Adrian - 2013

functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign …

Persistent link: https://www.econbiz.de/10013081460

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Ciccarelli, Matteo - 2012

, spillovers across countries and between real and financial variables are found to matter: A shock to a variable in a given …

Persistent link: https://www.econbiz.de/10013097758

Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling : Tales from 1001 Shocks

Georgiadis, Georgios - 2017

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …

Persistent link: https://www.econbiz.de/10012953383

International Trade, Technological Shocks and Spillovers in the Labour Market : A GVAR Analysis of the US Manufacturing Sector

Vansteenkiste, Isabel - 2007

We empirically analyse the response of US manufacturing labour market variables to various shocks, notably to trade openness and technology. The econometric approach involves an application of the recently developed global VAR (GVAR) methodology of Dees, DiMauro, Pesaran, and Smith (2005) to 12...

Persistent link: https://www.econbiz.de/10012777698

Policy Spillovers and Synergies in a Monetary Union

Arce, Oscar - 2016

We provide a general equilibrium framework for analyzing the effects of supply and demand side policies, and the potential synergies between them, in an asymmetric monetary union that faces a liquidity trap and a slow deleveraging process in its 'periphery'. We find that the joint implementation...

Persistent link: https://www.econbiz.de/10012984386

Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe

Claeys, Peter - 2014

significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to …

Persistent link: https://www.econbiz.de/10013056837

Keynesian Government Spending Multipliers and Spillovers in the Euro Area

Cwik, Tobias J. - 2010

The global financial crisis has lead to a renewed interest in discretionary fiscal stimulus. Advocates of discretionary measures emphasize that government spending can stimulate additional private spending — the Keynesian multiplier effect. Thus, we investigate whether the spending package...

Persistent link: https://www.econbiz.de/10013136289

Subsidising Car Purchases in the Euro Area : Any Spill-Over on Production?

Paredes, Joan - 2017

Due to input-output linkages, an industry level shock can widely transmit to the rest of the economy. We identify …

Persistent link: https://www.econbiz.de/10012949115

Spillovers from the ECB's Non-Standard Monetary Policy Measures on South-Eastern Europe

Moder, Isabella - 2018

each country, as well as to shed more light on potential shock transmission channels. The results suggest that the ECB …

Persistent link: https://www.econbiz.de/10012933044

Bank to Sovereign Risk Spillovers Across Borders : Evidence from the ECB's Comprehensive Assessment

Breckenfelder, Johannes; Schwaab, Bernd - 2021

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed...

Persistent link: https://www.econbiz.de/10013315389