Spillovers From The Euro Area Sovereign Debt Crisis A Macroeconometric Model Based Analysis

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Spillovers From The Euro Area Sovereign Debt Crisis A Macroeconometric Model Based Analysis

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Author : Francis Vitek
language : en
Publisher:
Release Date : 2011

Spillovers From The Euro Area Sovereign Debt Crisis A Macroeconometric Model Based Analysis written by Francis Vitek and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Sovereign Rating News And Financial Markets Spillovers

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Author : Mr.Rabah Arezki
language : en
Publisher: International Monetary Fund
Release Date : 2011-03-01

Sovereign Rating News And Financial Markets Spillovers written by Mr.Rabah Arezki and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-01 with Business & Economics categories.

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.

A Model Based Analysis Of Spillovers

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Author : Michal Andrle
language : en
Publisher: International Monetary Fund
Release Date : 2014-10-17

A Model Based Analysis Of Spillovers written by Michal Andrle and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-17 with Business & Economics categories.

This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.

Spillovers To And From The Nordic Economies

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Author : Francis Vitek
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05

Spillovers To And From The Nordic Economies written by Francis Vitek and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-05 with Business & Economics categories.

This paper analyzes the transmission of shocks and policies among and across the Nordic economies and the rest of the world. This spillover analysis is based on a pair of estimated structural macroeconometric models of the world economy, disaggregated into thirty five national economies. We find that the Nordic economies are heavily exposed to external macroeconomic and financial shocks, but have significant scope to mitigate their domestic macroeconomic impacts through coordinated policy responses, given their high degree of regional integration.

Sovereign Risk And Belief Driven Fluctuations In The Euro Area

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Author : Giancarlo Corsetti
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-06

Sovereign Risk And Belief Driven Fluctuations In The Euro Area written by Giancarlo Corsetti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-06 with Business & Economics categories.

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The model provides an argument in favor of coordinated, asymmetric fiscal stances as a way to prevent selffulfilling debt crises.

Fiscal Spillovers In The Euro Area

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Author :
language : en
Publisher:
Release Date : 2017

Fiscal Spillovers In The Euro Area written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

The fiscal consolidation measures adopted in many euro area countries over 2010-13 reduced excessive domestic fiscal imbalances, but came at the cost of short-term output losses. This simultaneous tightening of fiscal policy raised concerns that such output losses might be exacerbated by negative spillovers from other countries. This paper presents some model-based simulations for the euro area with a view to gauge the cross-country impact of the fiscal measures adopted over 2010-13. The paper finds that the output effects of the fiscal consolidation were heterogeneous across countries, reflecting the different amounts and composition of fiscal measures adopted. We find that the trade channel is able to generate sizeable cross-border fiscal spillovers in the euro area. However, once the analysis takes into account the remaining channels (e.g. monetary policy reaction, exchange rate, and risk premium) total spillovers are estimated to be relatively small. In general, when compared to the growth fallout of domestic fiscal policies, negative fiscal spillovers do not seem to have added much to the economic growth woes of vulnerable countries.

Banking And Sovereign Risk In The Euro Area

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Author : Stefan Gerlach
language : en
Publisher:
Release Date : 2016

Banking And Sovereign Risk In The Euro Area written by Stefan Gerlach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of national banking sectors. When aggregate risk increases, countries with large banking sectors and low equity ratios in the banking sector experience greater widening in yield spreads, suggesting that financial markets perceive a larger risk that governments will have to rescue banks, increasing public debt and therefore sovereign risk. Moreover, government debt levels and forecasts of future fiscal deficits are also significant determinants of sovereign spreads.

Managing The Sovereign Bank Nexus

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Author : Mr.Giovanni Dell'Ariccia
language : en
Publisher: International Monetary Fund
Release Date : 2018-09-07

Managing The Sovereign Bank Nexus written by Mr.Giovanni Dell'Ariccia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-07 with Business & Economics categories.

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

The World Scientific Handbook Of Futures Markets

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Author : Anastasios G. E. T. Al MALLIARIS
language : en
Publisher: World Scientific
Release Date : 2015-08-06

The World Scientific Handbook Of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-06 with Business & Economics categories.

"The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.

Spillovers To And From The Nordic Economies

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Author : Francis Vitek
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05

Spillovers To And From The Nordic Economies written by Francis Vitek and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-05 with Business & Economics categories.

This paper analyzes the transmission of shocks and policies among and across the Nordic economies and the rest of the world. This spillover analysis is based on a pair of estimated structural macroeconometric models of the world economy, disaggregated into thirty five national economies. We find that the Nordic economies are heavily exposed to external macroeconomic and financial shocks, but have significant scope to mitigate their domestic macroeconomic impacts through coordinated policy responses, given their high degree of regional integration.