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Macroprudential policy in a monetary union with cross-border banking

Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2019

We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with ﬁnancial frictions and cross-border spillover eﬀects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and Spain),...

Persistent link: https://www.econbiz.de/10011996735

Regulating the doom loop

Alogoskoufis, Spyros; Langfield, Sam - 2019

Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by banks in response to regulatory reform....

Persistent link: https://www.econbiz.de/10012061145

Introducing dominant currency pricing in the ECB's global macroeconomic model

Georgiadis, Georgios; Mösle, Saskia - 2019

A large share of global trade being priced and invoiced primarily in US dollar rather than the exporter's or the importer's currency has important implications for the transmission of shocks. We introduce this "dominant currency pricing" (DCP) into ECB-Global, the ECB's macroeconomic model for...

Persistent link: https://www.econbiz.de/10012107938

Trade in value added : do we need new measures of competitiveness?

Lommatzsch, Kirsten; Silgoner, Maria Antoinette; … - 2016

Persistent link: https://www.econbiz.de/10011618751

A global trade model for the euro area

D'Agostino, Antonello; Modugno, Michele; Osbat, Chiara - 2016

Persistent link: https://www.econbiz.de/10011619965

Trade, finance or policies : what drives the cross-border spill-over of business cycles?

Montinari, Letizia; Stracca, Livio - 2017

In this paper we investigate how income growth rates in one country are affected by growth rates in partner countries, testing for the importance of pairwise country links as well as characteristics of the receiving country (trade and financial open- ness, exchange rate regime, fiscal...

Persistent link: https://www.econbiz.de/10011636280

International capital flows at the security level : evidence from the ECB's Asset Purchase Programme

Bergant, Katharina; Fidora, Michael; Schmitz, Martin - 2020

We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Pro- gramme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital ows into individual securities, cleaned from valuation effects. Our...

Persistent link: https://www.econbiz.de/10012197845

Macroeconomic stabilisation properties of a euro area unemployment insurance scheme

Kaufmann, Christoph; Attinasi, Maria Grazia; … - 2020

In this paper we use a medium-scale DSGE model to quantitatively assess the macroeconomic stabilisation properties of a supranational unemployment insurance scheme. The model is calibrated to the euro area's core and periphery and features a rich fiscal sector, sovereign risk premia and labour...

Persistent link: https://www.econbiz.de/10012241162

Real exchange rate misalignments in the euro area

Fidora, Michael; Giordano, Claire; Schmitz, Martin - 2017

Building upon a Behavioural Equilibrium Exchange Rate (BEER) model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses whether both the size and the persistence of real effective exchange rate misalignments from the levels implied by economic...

Persistent link: https://www.econbiz.de/10011745793

Macroprudential regulation in the European Union in 1995-2014 : introducing a new data set on policy actions of a macroprudential nature

Budnik, Katarzyna; Kleibl, Johannes - 2018

the 28 member states of the European Union (EU) between 1995 and 2014. The Macroprudential Policies Evaluation Database … banks and supervisory authorities of all EU member states. This paper describes the design and structure of the new data set … and presents the first descriptive analysis of the use of policy measures with a macroprudential nature in the EU over the …

Persistent link: https://www.econbiz.de/10011779845