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Measuring Sovereign Contagion in Europe
Pelizzon, Loriana; Rigobon, Roberto; Caporin, Massimiliano - National Bureau of Economic Research (NBER) - 2013
eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …
Persistent link: https://www.econbiz.de/10010796746
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Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Wu, Jing Cynthia; Xia, Fan Dora - National Bureau of Economic Research (NBER) - 2014
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...
Persistent link: https://www.econbiz.de/10010821893
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The Long and the Short End of the Term Structure of Policy Rules
Taylor, John B.; Smith, Josephine M. - National Bureau of Economic Research (NBER) - 2007
We first document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States. The shift occurred in the early 1980s. We then derive an equation that links these responses to the coefficients of the central bank's...
Persistent link: https://www.econbiz.de/10005774435
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What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk
Aizenman, Joshua; Hutchison, Michael Mercier; Jinjarak, … - National Bureau of Economic Research (NBER) - 2011
, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing …
Persistent link: https://www.econbiz.de/10009294566
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Why Do Emerging Economies Borrow Short Term?
Broner, Fernando; Schmukler, Sergio; Lorenzoni, Guido - National Bureau of Economic Research (NBER) - 2007
We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing long-term debt, the...
Persistent link: https://www.econbiz.de/10005777359
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Target Loans, Current Account Balances and Capital Flows: The ECB's Rescue Facility
Sinn, Hans-Werner; Wollmershaeuser, Timo - National Bureau of Economic Research (NBER) - 2011
destroyed the Bretton Woods System. Greece, Ireland, Portugal, Spain and Italy have suffered from balance-of-payments deficits …
Persistent link: https://www.econbiz.de/10009372441
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Financial Intermediation, Exchange Rates, and Unconventional Policy in an Open Economy
Cespedes, Luis Felipe; Chang, Roberto; Velasco, Andrés - National Bureau of Economic Research (NBER) - 2012
This paper develops an open economy model in which financial intermediation is subject to occasionally binding collateral constraints, and uses the model to study unconventional policies such as credit facilities and foreign exchange intervention. The model highlights the interaction between the...
Persistent link: https://www.econbiz.de/10010796574
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Exit from a Monetary Union through Euroization: Discipline without Chaos
Cooper, Russell - National Bureau of Economic Research (NBER) - 2012
This paper studies the role of exit from a monetary union during a debt crisis. A monetary union, such as the European Monetary Union, needs to establish a procedure for exit as a tool to cope with debt default. The paper studies various forms of exit and argues that "Euroization" is both a...
Persistent link: https://www.econbiz.de/10009654197
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The Mystique Surrounding the Central Bank's Balance Sheet, Applied to the European Crisis
Reis, Ricardo - National Bureau of Economic Research (NBER) - 2013
In spite of the mystique behind a central bank's balance sheet, its resource constraint bounds the dividends it can distribute by the present value of seignorage, which is a modest share of GDP. Moreover, the statutes of the Federal Reserve or the ECB make it difficult for it to redistribute...
Persistent link: https://www.econbiz.de/10010785581
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Can Central Banks Target Bond Prices?
Kuttner, Kenneth Neil - National Bureau of Economic Research (NBER) - 2006
This paper addresses the possible role of bond prices as operating or intermediate targets for monetary policy. The paper begins with a brief review of the mechanisms through which a central bank could, in theory, influence long-term interest rates, and continues with a brief narrative overview...
Persistent link: https://www.econbiz.de/10005829397