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The financial market effects of the ECB's asset purchase programs
Lewis, Vivien; Roth, Markus - 2017
effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending …
Persistent link: https://www.econbiz.de/10011712553
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To sign or not to sign? : on the response of prices to financial and uncertainty shocks
Meinen, Philipp; Röhe, Oke - 2018
Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their effects on prices. While our results confirm that such disturbances are important drivers of output...
Persistent link: https://www.econbiz.de/10011897983
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The global financial cycle and macroeconomic tail risks
Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...
Persistent link: https://www.econbiz.de/10013459721
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Effectiveness and transmission of the ECB’s balance sheet policies
Boeckx, Jef; Dossche, Maarten; Peersman, Gert - 2014
crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial … banking system is less well-capitalized. …
Persistent link: https://www.econbiz.de/10011506795
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Effectiveness and transmission of the ECB's balance sheet policies
Boeckx, Jef; Bossche, Maarten; Peersman, Gert - 2014
crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial … member countries that have been more affected by the financial crisis, in particular those countries where the banking system …
Persistent link: https://www.econbiz.de/10010383862
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Uncertainty shocks and financial crisis indicators
Hristov, Nikolay; Roth, Markus - 2019
The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...
Persistent link: https://www.econbiz.de/10012103607
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Assessing the resilience of ASEAN banking systems : the case of the Philippines
Albert, Jose Ramon G.; Ng, Thiam Hee - 2012
Since the global financial crisis in 2008/09 there has been heightened concern about the resilience of banking systems … banking systems in member countries of the Association of Southeast Asian Nations. It then proceeds to apply this methodology … to examine the resilience of the Philippine banking system. Data on financial soundness in the Philippine banking system …
Persistent link: https://www.econbiz.de/10009768765
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The effect of a financial block on the identification of confidence shocks in a structural VAR model
Myohl, Christian - 2018
This paper studies the propagation and properties of a confidence shock in a structural vector autoregression (VAR … episodes, the inclusion of a financial block plays a role. In several recessions, the VAR with the financial block assigns a … in a structural VAR when financial variables are omitted. Further, I identify a financial channel by which the confidence …
Persistent link: https://www.econbiz.de/10011961326
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Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?
Boeckx, Jef - 2019
A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper,...
Persistent link: https://www.econbiz.de/10012867387
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The role of systemic risk spillovers in the transmission of Euro area monetary policy
Skouralis, Alexandros - 2021
This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR …
Persistent link: https://www.econbiz.de/10012704731