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Answering the Queen : Machine Learning and Financial Crises
Fouliard, Jeremy; Howell, Michael J; Rey, Hélène - 2022
Financial crises cause economic, social and political havoc. Macroprudential policies are gaining traction but are still severely under-researched compared to monetary and "fiscal policy. We use the general framework of sequential predictions, also called online machine learning, to forecast...
Persistent link: https://www.econbiz.de/10014243066
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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
Persistent link: https://www.econbiz.de/10013045650
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Financial Dampening
Wieland, Johannes - 2016
monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank …
Persistent link: https://www.econbiz.de/10012995512
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Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?
Acharya, Viral V. - 2019
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period … from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central … bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it …
Persistent link: https://www.econbiz.de/10012858814
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Inspecting the Mechanism : Leverage and the Great Recession in the Eurozone
Martin, Philippe - 2014
We provide a comprehensive account of the dynamics of eurozone countries from 2000 to 2012. We analyze private leverage … government spending, and sudden stops. We then ask how eurozone countries would have fared with different policies. We find that … boom. Macro-prudential policies and an early intervention by the central bank to prevent market segmentation would also …
Persistent link: https://www.econbiz.de/10013045645
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ECB Policies Involving Government Bond Purchases : Impact and Channels
Krishnamurthy, Arvind - 2017
rates to understand the channels through which policies reduced sovereign bond yields. On average across Italy, Spain and …
Persistent link: https://www.econbiz.de/10012944157
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Market Response to Policy Initiatives During the Global Financial Crisis
Ait-Sahalia, Yacine - 2010
This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability...
Persistent link: https://www.econbiz.de/10013146945
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Jump Starting the Euro Area Recovery : Would a Rise in Core Fiscal Spending Help the Periphery?
Blanchard, Olivier J. - 2015
We show that a fiscal expansion by the core economies of the euro area would have a large and positive impact on periphery GDP assuming that policy rates remain low for a prolonged period. Under our preferred model specification, an expansion of core government spending equal to one percent of...
Persistent link: https://www.econbiz.de/10013018304
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Does Emigration Delay Political Change? Evidence from Italy During the Great Recession
Anelli, Massimo - 2016
, change. A significant episode of emigration took place between 2010 and 2014 from Italy following the deep economic recession … Italy. Combining administrative data on Italian citizens who reside abroad and data on characteristics of city councils …
Persistent link: https://www.econbiz.de/10012988512
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Relationship and Transaction Lending in a Crisis
Bolton, Patrick - 2013
We study how relationship lending and transaction lending vary over the business cycle. We develop a model in which relationship banks gather information on their borrowers, which allows them to provide loans for profitable firms during a crisis. Due to the services they provide, operating costs...
Persistent link: https://www.econbiz.de/10013075424