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Spillover effects in international business cycles
Camacho, Maximo; Pacce, Matías; Pérez-Quirós, Gabriel - 2020
share of the world factor as a source of the international transmission of fluctuations is still significant, this is …
Persistent link: https://www.econbiz.de/10012305394
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The fundamentals of safe assets
Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020
We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...
Persistent link: https://www.econbiz.de/10012138612
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Large global volatility shocks, equity markets and globalisation : 1885 - 2011
Mehl, Arnaud - 2013
Persistent link: https://www.econbiz.de/10009766418
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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - 2011
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks - key crisis events as well as...
Persistent link: https://www.econbiz.de/10009238006
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The evolving impact of global, region-specific and country-specific uncertainty
Mumtaz, Haroon; Musso, Alberto - 2018
We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …
Persistent link: https://www.econbiz.de/10011856363
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Measuring contagion with a Bayesian, time-varying coefficient model
Ciccarelli, Matteo; Rebucci, Alessandro - 2003
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10009635914
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On the importance of sectoral and regional shocks for price-setting
Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2011
sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. We further …
Persistent link: https://www.econbiz.de/10009006626
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Financial frictions : micro vs macro volatility
Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021
We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...
Persistent link: https://www.econbiz.de/10012705511
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Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation
De Santis, Roberto A.; Van der Veken, Wouter - 2022
What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to uncertainty shocks, firms increase their markups,...
Persistent link: https://www.econbiz.de/10013373603
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Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks
Georgiadis, Georgios; Jančoková, Martina - 2017
Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that...
Persistent link: https://www.econbiz.de/10011664579