MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO AREA

2013 ◽  
Vol 29 (3) ◽  
pp. 377-393 ◽  
Author(s):  
Mardi Dungey ◽  
Denise R. Osborn
Keyword(s):  
Euro Area ◽  
Open Economies ◽  
International Linkages ◽  
The Usa

scholarly journals Das Kaninchen vor der Schlange

2001 ◽  
Vol 31 (125) ◽  
pp. 637-648
Author(s):  
Hansjörg Herr
Keyword(s):  
Fiscal Policy ◽  
Euro Area ◽  
World Economy ◽  
Western World ◽  
Stability And Growth Pact ◽  
Growth Pact ◽  
Liberal Ideology ◽  
The Usa ◽  
The Stability ◽  
Monetary And Fiscal Policy

The terrorattack hit the western world in a situation of a sharp cyclical downturn in the USA, Europe and Japan. Mainly because of increased uncertainty the downturn will be intensified by the attack. Immediately after the attack US monetary and fiscal policy became even more expansive. In Europe monetary policy reacted very reluctantly. Active fiscal policy in the Euro-area is nearly not existing as the Stability and Growth Pact as well as neo-liberal ideology prevents fiscal measures. The inactive economic policy in the Euro-area is not only dangerous for Europe but also a depressing factor for the world economy.

scholarly journals Exploring the international linkages of the euro area: a global VAR analysis

2007 ◽  
Vol 22 (1) ◽  
pp. 1-38 ◽  
Author(s):  
Stephane Dees ◽  
Filippo di Mauro ◽  
M. Hashem Pesaran ◽  
L. Vanessa Smith
Keyword(s):  
Euro Area ◽  
Var Analysis ◽  
International Linkages ◽  
Global Var

scholarly journals A Multi-Country BVAR Model for the External Sector

2020 ◽  
Vol 79 (4) ◽  
pp. 98-112
Author(s):  
Olga Korotkikh ◽  
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Predictive Performance ◽  
Gdp Growth ◽  
Financial Indicators ◽  
Wide Range ◽  
The Usa ◽  
External Sector ◽  
Macro Variables ◽  
Growth Forecasts

This paper describes a multi-country BVAR model developed and used by the Monetary Policy Department of the Bank of Russia. The model makes it possible to build coordinated scenario forecasts for the main macro-variables of the USA, the euro area, and China. The simultaneous modelling for the three economies makes it possible to take into account multi-country interactions of the variables and, thus, improve the predictive performance of the model compared to VAR analogues intended for individual countries. The model is based on the deviations of the variables from their potential values, which enhances GDP growth forecasts compared to a non-detrended design. A wide range of macroeconomic and financial indicators in the model makes the forecast of overall inflation more accurate against simpler benchmarks.

scholarly journals Uncertainty, agency costs and investment behavior in the Euro area and in the USA

2018 ◽  
Vol 25 (1) ◽  
pp. 122-143
Author(s):  
Johannes Strobel ◽  
Kevin D. Salyer ◽  
Gabriel S. Lee
Keyword(s):  
Business Cycles ◽  
Euro Area ◽  
Risk Premium ◽  
Agency Cost ◽  
Investment Behavior ◽  
Credit Channel ◽  
Content Type ◽  
Uncertainty Shocks ◽  
The Us ◽  
The Usa

Purpose The purpose of this paper is to analyze the credit channel effects on investment behavior for the US and the Euro area. Design/methodology/approach This paper uses the dynamic stochastic general equilibrium model and calibrates a version of the Carlstrom and Fuerst’s (1997) agency cost model of business cycles with time-varying uncertainty in the technology shocks that affect capital production. To highlight the differences between the US and European financial sectors, the paper focuses on two key components of the lending channel: the risk premium associated with bank loans and the bankruptcy rates. Findings This paper shows that the effects of minor differences in the credit market translate into large, persistent and asymmetric fluctuations in real and financial variables and depend on the type of shocks. The results imply that the Euro areas supply elasticities for capital are less elastic than that of the USA following a technology shock. Finally, the authors find that the adverse impact of uncertainty shocks is heterogeneous across countries and amplified by the steady-state bankruptcy rate and risk premium. Originality/value This paper quantifies the effects of uncertainty shocks when there is a credit channel due to asymmetric information between lenders and borrowers for the Euro area countries, and then compares the results to that of the USA. This paper shows that financial accelerator mechanism could potentially play a significant role in business cycles in the Euro area. This result directly lends one to conclude the following: the credit channel that affects the financial sector does indeed matter for macroeconomic behavior, and that policy makers should be attentive in smoothing out uncertainties if the economic policies are to lower the business and financial cycle volatilities.

scholarly journals Financial repression and debt liquidation in the USA and the euro area

2012 ◽  
Vol 47 (6) ◽  
pp. 344-351 ◽  
Author(s):  
Andreas Hoffmann ◽  
Holger Zemanek
Keyword(s):  
Euro Area ◽  
Financial Repression ◽  
The Usa

scholarly journals How are interbank and sovereign debt markets linked? Evidence from 14 OECD countries, the Euro area and Russia

2014 ◽  
Vol 61 (3) ◽  
pp. 331-348 ◽  
Author(s):  
Mikhail Stolbov
Keyword(s):  
Euro Area ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Oecd Countries ◽  
Financial Contagion ◽  
International Banking ◽  
Volatility Spillovers ◽  
The Usa ◽  
The Uk ◽  
Sovereign Bond Markets

The paper explores causal linkages between interbank and sovereign bond markets in 14 OECD countries, the Euro area and Russia during the 2008-2009 crisis and post-crisis period. The analysis has been carried out for individual countries and in a multivariate framework. It enables to identify systemically important countries in both markets. The USA, Switzerland, Australia, South Korea and Russia are of particular significance in the interbank lending market. Switzerland, the UK, Poland, Australia and Canada play a pivotal role in the public debt market. The analysis under the multivariate framework reveals substantial heterogeneity in the network structure of both markets. Only 12% of causal relationships coincide, which may fuel financial contagion. Volatility spillovers underlie the causal linkages. They are estimated by means of dynamic volatility indices based on rolling correlation matrices and help identify the transformation of the international banking turmoil into the sovereign debt crisis.

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