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Externe Monographien
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard ...
London:
CEPR,
2015,
49 S.
(Discussion Paper Series / Centre for Economic Policy Research ; 10370)
| Marcel Fratzscher, Malte Rieth
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DIW Roundup 55 / 2015
The question of whether monetary policy should target asset prices remains a contentious issue. Prior to the 2007/08 financial crisis, central banks opted for a wait-and-see approach, remaining passive during the build-up of asset price bubbles but actively seeking to stabilize prices and output after they burst. The macroeconomic and financial turbulence that followed the subprime housing bubble has ...
2015| Philipp König, David Pothier
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Diskussionspapiere 1448 / 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard ...
2015| Marcel Fratzscher, Malte Rieth
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DIW Economic Bulletin 5 / 2014
Inflation in the euro area has been below the European Central Bank's target for almost a year now and it is also expected to remain at a very low level in the near future. On the one hand, such a low level of inflation is not in line with the ECB's objective. On the other hand, there is the risk that this situation will lead to a slide into deflation. In view of the ECB's historically low policy rates, ...
2014| Kerstin Bernoth, Marcel Fratzscher, Philipp König
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Diskussionspapiere 1436 / 2014
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...
2014| Philipp Engler, Christoph Große Steffen
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Diskussionspapiere 1395 / 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is non-stationary and non-mean-reverting, the null hypotheses of I(0), I(1) and I(2) being rejected in favour of fractional ...
2014| Guglielmo Maria Caporale, Marinko Skare
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Refereed essays Web of Science
This paper examines the stability of money demand and the forecasting performances of a broad monetary aggregate (M3), excess liquidity and excess inflation in predicting euro area inflation. The out-of sample forecasting performances are compared to a widely used alternative, the spread of interest rates. The results indicate that the evolution of M3 is still in line with money demand, even when observations ...
In:
International Journal of Forecasting
30 (2014), 2, S. 303-312
| Christian Dreger, Jürgen Wolters
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Externe Monographien
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...
Berlin:
Freie Univ. Berlin, FB Wirtschaftswiss.,
2014,
56 S.
(Discussion Paper / School of Business & Economics ; 2014,35)
| Philipp Engler, Christoph Große Steffen
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Externe Monographien
This paper explores the long run relationship between public and private investment in the euro area in terms of capital stocks and gross investment flows. Panel techniques accounting for international spillovers are employed. While private and public capital stocks are cointegrated, the evidence is quite fragile for public and private investment flows. They enter a long run relationship only after ...
Bonn:
IZA,
2014,
18 S.
(Discussion Paper Series / Forschungsinstitut zur Zukunft der Arbeit ; 8002)
| Christian Dreger, Hans-Eggert Reimers
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Diskussionspapiere 1365 / 2014
This paper explores the long run relationship between public and private investment in the euro area in terms of capital stocks and gross investment flows. Panel techniques accounting for international spillovers are employed. While private and public capital stocks are cointegrated, the evidence is quite fragile for public and private investment flows. They enter a long run relationship only after ...
2014| Christian Dreger, Hans-Eggert Reimers