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Externe referierte Aufsätze

The Dynamic Impact of FX Interventions on Financial Markets

Evidence on the effectiveness of foreign exchange (FX) interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and ...

In: The Review of Economics and Statistics 103 (2021), 5, S. 939–953 | Lukas Menkhoff, Malte Rieth, Tobias Stöhr
Externe referierte Aufsätze

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) and conditional on data from 10/2004 through 12/2016. We apply a novel data-based identification approach of the structural shocks that allows to account for the complex interrelations within the triad of exchange rates, ...

In: Journal of International Money and Finance 117 (2021), 102454 | Kerstin Bernoth, Helmut Herwatz
Externe Monographien

Common Ownership Patterns in the European Banking Sector –The Impact of the Financial Crisis

Leuven: KU Leuven, [2021], 25 S.
(MSI Discussion Papers ; 2109)
| Albert Banal-Estañol, Nuria Boot, Jo Seldeslachts
Schumpeter BSE Macro Seminar

The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework"

05.07.2022| Kirsten Hubrich, Federal Reserve Board
Schumpeter BSE Macro Seminar

"Macroprudential Policy and Financial Crises"

19.07.2022| Johanna Krenz, Universität Hamburg
Schumpeter BSE Macro Seminar

Foreign Currency Debt and Expectations

26.04.2022| Kenza Benhima, University of Lausanne
Seminar of the Macro Department

Frugal fatalities? A narrative assessment of the cost of austerity

26.04.2022| Katharina Schramm
Externe referierte Aufsätze

What Goes around Comes around: How Large Are Spillbacks from US Monetary Policy?

Spillovers from US monetary policy entail spillbacks to the domestic economy. Applying counterfactual analyses in a Bayesian proxy structural vector-autoregressive model we find that spillbacks account for a non-trivial share of the slowdown in domestic real activity following a contractionary US monetary policy shock. Spillbacks materialise as a monetary policy tightening depresses foreign sales and ...

In: Journal of Monetary Economics im Ersch. (2022) | Max Breitenlechner, Georgios Georgiadis, Ben Schumann
Externe referierte Aufsätze

Dominant-Currency Pricing and the Global Output Spillovers from US Dollar Appreciation

We test for the empirical relevance of partial and asymmetric dominant-currency pricing (DCP), the hypothesis that large but not necessarily identical shares of economies’ export and import prices are sticky in US dollar. We first set up a structural three-country New Keynesian dynamic stochastic general equilibrium model which nests DCP, producer-currency pricing and local-currency pricing. Under ...

In: Journal of International Economics 133 (2021), 103537 | Georgios Georgiadis, Ben Schumann
Diskussionspapiere 2015 / 2022

Common Ownership: Europe vs. the US

Common ownership - when an investor holds shares in two or more companies - has recently attracted significant attention from policy-makers and researchers, studying mainly US firms. European firms, however, are different as top investors with large stakes, like governments, founding families and foundations are much more prevalent. This paper takes a well-known common ownership with micro-economic ...

2022| Nuria Boot, Jo Seldeslachts, Albert Banal Estanol
840 results, from 1