1,720,984 research outputs found
Interpreting aggregate fluctuations looking at sectors
Full text linkA dynamic factor model is used to investigate on the variability in labor productivity and hours across the 2-digit US manufacturing industries. Two kind of shocks emerge as quantitatively relevant during the postwar period. They can be reasonably interpreted as technology shocks to the production of equipment and economy-wide shocks. The former induces a positive correlation between productivity and hours growth rates in the durable-goods producing sector; the latter spurs a negative correlation in the nondurable-goods producing sector. Such evidence provides a novel interpretation of the aggregate near-zero correlation between the two variables
Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis
No full textSince 2008, euro-area sovereign yields have diverged sharply, and so have the corresponding CDS premia. At the same time, banks’ sovereign debt portfolios featured an increasing home bias. We investigate the relationship between these two facts, and its rationale. First, we inquire to what extent the dynamics of sovereign yield differentials relative to the swap rate and CDS premia reflect changes in perceived sovereign solvency risk or rather different responses to systemic risk due to the possible collapse of the euro. We do so by decomposing yield differentials and CDS spreads in a country-specific and a common risk component via a dynamic factor model. We then investigate how the home bias of banks’ sovereign portfolios responds to yield differentials and to their two components, by estimating a vector error-correction model on 2008-12 monthly data. We find that in most countries of the euro area, and especially in its periphery, banks’ sovereign exposures respond positively to increases in yields. When bank exposures are related to the country-risk and common-risk components of yields, it turns out that (i) in the periphery, banks increase their domestic exposure in response to increases in country risk, while in core countries they do not; (ii) in most euro area banks respond to an increase in the common risk factor by raising their domestic exposures. Finding (i) hints at distorted incentives in periphery banks’ response to changes in their own sovereign’s risk. Finding (ii) indicates that, when systemic risk increases, all banks tend to increase the home bias of their portfolios, making the euro-area sovereign market more segmented
International comovements, business cycle and inflation: A historical perspective
No full textUsing a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional comovements, however, has increased significantly. Second, the share of inflation variation due to a global factor has become larger since 1985. Third, over most of the post-WWII period, international comovements within regions have accounted for the bulk of fluctuations in business cycle and inflation. Fourth, prices have become significantly less countercyclical during the post-1984 sample, with the largest contribution due to external developments
Struttura sistemica, competitivita di prezzo e non di prezzo : criteri di analisi e risultati empirici
No full textI fattori su cui si fonda la competitività internazionale di un sistema economico avanzato sono numerosi e complessi e vanno da fattori istituzionali e macroeconomici a fattori più strettamente settoriali o microeconomici. Dalle relazioni tra queste due categorie hanno origine spillover, innovativi e di efficienza, determinanti per le innovazioni di prodotto, la crescita dell'efficienza e della produttività, dunque per la competitività in generale. Il lavoro ha come obiettivo l'analisi e la verifica degli effetti strutturali di spillover sulla competitivita' di prezzo e non di prezzo
Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States
Full text linkWe use a 12-dimensional VAR to examine the aggregate effects of two structural technology shocks and two policy shocks. For each shock, we examine the dynamic effects on the labor market, the importance of the shock for labor market volatility, and the comovement between labor market variables and other key aggregate variables in response to the shock. We document that labor market indicators display "hump-shaped" responses to the identified shocks. Technology shocks and monetary policy shocks are important for labor market volatility but the ranking of their importance is sensitive to the VAR specification. The conditional correlations at business cycle frequencies are similar in response to the four shocks, apart from the correlations between hours worked, labor productivity and real wages. To account for the unconditional correlations between these variables, a mixture of shocks is required. Copyright The editors of the "Scandinavian Journal of Economics" 2008 .
The Macroeconomic and Financial Landscape in the Aftermath of the 2007 Crisis: New Challenges and Perspectives
No full textOn 6 June 2011 the Global Governance Programme at the EUI hosted a High-Level Policy Seminar (HLPS) on the topic “The Macroeconomic and the Financial Landscape in the Aftermath of the 2007 Crisis: New Challenges and Perspectives”. The event consisted of a closed-door roundtable between the vice President of the European Central Bank, Vitor Costancio and a number of academics and policymakers.
The discussion centered around three themes: Sovereign debt problems, monetary and fiscal policies, and financial stability and macro prudential policies. In the first theme, the participants discussed various options to deal with the economic situation in Greece. These included the creation of a transfer union among Euro member states and the implications of a possible default for the functioning of the European Central Bank and the stability of the European banking system. In the second theme, it was discussed how to sustain and conduct a single monetary policy in heterogeneously growing countries, how to reach debt sustainability in a low growth environment and the desirability of common fiscal policies. The last part of the event focused on the new architecture for financial regulation and financial stability in Europe.
The discussion at the HLPS was very lively. Many different views were discussed and many suggestions and recommendations were put forth. This policy paper consists of seven papers ranging from economics to history and law written by some of the academics participating to the debate. The memoranda were reviewed and expanded after the event to reflect the discussion and to include other topics of interest related to the debate. The papers reflect the aim of the HLPS to contribute to an open debate between academics and policymakers on some key challenges that the economies worldwide are facing.
The paper by Thomas Cooley (New York University) discusses the challenges for the European Central Bank in the current situation both in terms of long term fiscal adjustments and of potential fragility of the European Banking system. The pair of papers by Giancarlo Corsetti (Cambridge University and EUI) and Massimiliano Marcellino (EUI) focuses on debt sustainability and the implications of the debt crisis for growth. The paper by Harold James (Princeton University) focuses more specifically on the challenges to monetary and fiscal policies in Europe. The joint paper by Joanna Gray and Patrick O'Callaghan (both Newcastle University) discusses the legitimacy and efficacy of the EU and Member State response to the sovereign debt problems in the Eurozone from a legal perspective. The joint paper by Franklin Allen (University of Pennsylvania) and Elena Carletti (EUI) turn the attention to the issue of systemic risk and the need for macroprudential regulation. Finally, Luigi Guiso (EUI) tackles the issue of trust and risk aversion in the aftermath of the financial crisis.
Our hope is that this joint policy paper will contribute to shaping the debate further and help policymakers to tackle the challenges emerged in the aftermath of the financial crisis
Bank exposures and sovereign stress transmission
Full text linkUsing novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks’ sovereign exposures and their effects during and after the crisis. First, public, bailed out and poorly capitalized banks responded to sovereign stress by purchasing domestic public debt more than other banks, with public banks’ purchases growing especially in coincidence with the largest ECB liquidity injections. Second, bank exposures significantly amplified the transmission of risk from the sovereign and its impact on lending. This amplification of the impact on lending does not appear to arise from spurious correlation or reverse causality
Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator
No full textThis paper assesses the role of surveys for the early estimates of GDP in the euro area in a model-based automated procedures which exploits the timeliness of their release. The analysis is conducted using both an historical evaluation and a real time case study on the current conjuncture.info:eu-repo/semantics/publishe
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