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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to … increase a sector’s vulnerability to shocks and contagion. …

Persistent link: https://www.econbiz.de/10009640455

Finance and diversification

Manganelli, Simone; Popov, Alexander - 2010

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

Persistent link: https://www.econbiz.de/10009640281

Financial factors in economic fluctuations

Christiano, Lawrence; Motto, Roberto; Rostagno, Massimo - 2010

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10009640348

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - 2010

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10009640363

Macro-financial vulnerabilities and future financial stress

Lo Duca, Marco; Peltonen, Tuomas A. - 2011

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...

Persistent link: https://www.econbiz.de/10009640687

The great inflation, limited asset markets participation and aggregate demand

Bilbiie, Florin O. - 2004

When enough agents do not participate in asset markets, the slope of the aggregate demand curve is reversed. Monetary policy should be passive, to ensure equilibrium determinacy and to minimize variations in output and inflation. This paper presents evidence that asset markets participation in...

Persistent link: https://www.econbiz.de/10009639468

Trusting the bankers

Ciccarelli, Matteo; Maddaloni, Angela; Peydró, José-Luis - 2010

Any empirical analysis of the credit channel faces a key identification challenge: changes in credit supply and demand are difficult to disentangle. To address this issue, we use the detailed answers from the US and the confidential and unique Euro area bank lending surveys. Embedding this...

Persistent link: https://www.econbiz.de/10009640312

Credit supply

Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - 2010

To identify credit availability we analyze the extensive and intensive margins of lending with loan applications and all loans granted in Spain. We find that during the period analyzed both worse economic and tighter monetary conditions reduce loan granting, especially to firms or from banks...

Persistent link: https://www.econbiz.de/10009640362

Corporate bond spreads and real activity in the euro area

Buchmann, Marco - 2011

This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds’ quality , their term to...

Persistent link: https://www.econbiz.de/10009640612

Business cycle synchronisation

Dées, Stéphane; Zorell, Nico - 2011

Drawing on a large sample of countries, this paper explores whether closer economic ties between countries foster business cycle synchronisation and disentangles the role of the various channels, including trade and financial linkages as well as the similarity in sectoral specialisation....

Persistent link: https://www.econbiz.de/10009640698