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Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

to shocks. We use a stylised two-bloc, two-period model of the global economy, with a simple stochastic productivity … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

Persistent link: https://www.econbiz.de/10009635970

Monetary policy shocks in the euro area and global liquidity spillovers

Sousa, João; Zaghini, Andrea - 2004

money ("global liquidity") on the euro area. We estimate structural VAR models for the euro area and the global economy … including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity … temporary appreciation of the real effective exchange rate of the euro. Moreover, we find that innovations in global liquidity …

Persistent link: https://www.econbiz.de/10009636532

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

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

Persistent link: https://www.econbiz.de/10009636537

Government deficits, wealth effects and the price level in an optimizing model

Annicchiarico, Barbara - 2003

This paper investigates the in inflationary effects of fscal policy in an optimizing general equilibrium monetary model with capital accumulation, exible prices and wealth effects. The model is calibrated to Euro Area quarterly data. Simulation results show that government defcits, high debt...

Persistent link: https://www.econbiz.de/10009635879

The admission of accession countries to an enlarged monetary union

Ca' Zorzi, Michele; De Santis, Roberto A. - 2003

The enlargement of the European monetary union to include the accession countries (ACs) will not lead to higher average inflation in the enlarged euro area, but only to inflation redistribution across countries if continuity of the monetary policy framework is preserved. In the short term,...

Persistent link: https://www.econbiz.de/10009639851

The demand for euro area currencies

Fischer, Björn; Köhler, Petra; Seitz, Franz - 2004

The present paper analyses currency in circulation in the euro area since the beginning of the 1980s. After a comprehensive literature review on this topic we present some stylised facts on currency holdings in the euro area countries as well as at an aggregate euro area level. The next chapter...

Persistent link: https://www.econbiz.de/10009636553