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How to Capture Macro-Financial Spillover Effects in Stress Tests?
Hesse, Heiko; Salman, Ferhan; Schmieder, Christian - International Monetary Fund (IMF) - 2014
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of...
Persistent link: https://www.econbiz.de/10011142079
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Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers
Heinz, Frigyes F; Sun, Yan - International Monetary Fund (IMF) - 2014
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative...
Persistent link: https://www.econbiz.de/10011142168
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External Imbalances in the Euro Area
Chen, Ruo; Milesi-Ferretti, Gian-Maria; Tressel, Thierry - International Monetary Fund (IMF) - 2012
-à-vis the rest of the world –in particular vis-à-vis China, Central and Eastern Europe, and oil exporters- on the external …
Persistent link: https://www.econbiz.de/10011123828
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Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies
Poghosyan, Tigran - International Monetary Fund (IMF) - 2012
We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term...
Persistent link: https://www.econbiz.de/10011123833
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Dealing with Private Debt Distress in the Wake of the European Financial Crisis A Review of the Economics and Legal Toolbox
Liu, Yan; Rosenberg, Christoph B. - International Monetary Fund (IMF) - 2013
The private non-financial sector in Europe is facing increased challenges in meeting its debt servicing obligation. In …
Persistent link: https://www.econbiz.de/10011123879
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Rebalancing; Evidence from Current Account Adjustment in Europe
Atoyan, Ruben; Manning, Jonathan F; Rahman, Jesmin - International Monetary Fund (IMF) - 2013
in Europe with a focus on these two groups, looking at contributions from cyclical and other factors, and seeking to draw …
Persistent link: https://www.econbiz.de/10011242288
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Bank Debt in Europe; “Are Funding Models Brokenâ€
Lesle, Vanessa Le - International Monetary Fund (IMF) - 2012
The crisis in Europe has underscored the vulnerability of European bank funding models compared to international peers … Europe. We argue that cyclical and structural factors have altered the structure, cost, and composition of funding for …
Persistent link: https://www.econbiz.de/10011242310
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Cross-Country Linkages in Europe; A Global VAR Analysis
Sun, Yan; Heinz, Frigyes F; Ho, Giang - International Monetary Fund (IMF) - 2013
countries with the advanced Europe countries. The results show strong co-movements in output growth and interest rates but … weaker linkages bewteen inflation and real credit growth within Europe. While the euro area is the dominant source of … small but notable impact of CESEE countries on the rest of the Europe. …
Persistent link: https://www.econbiz.de/10011242313
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Dismal Employment Growth in EU Countries; The Role of Corporate Balance Sheet Repair and Dual Labor Markets
Bakker, Bas B.; Zeng, Li - International Monetary Fund (IMF) - 2013
This paper argues that the large differences among EU countries in post-crisis employment performance are to a large extent driven by the need to adjust corporate balance sheets, which had greatly deteriorated during the boom years in some countries but not in others. To close the large gaps...
Persistent link: https://www.econbiz.de/10011242321
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Risk Exposures and Financial Spillovers in Tranquil and Crisis Times; Bank-Level Evidence
Poirson, Hélène; Schmittmann, Jochen M. - International Monetary Fund (IMF) - 2013
U.K. and U.S. banks, with little evidence of direct spillover effects to other regions. …
Persistent link: https://www.econbiz.de/10011242342