Pub Date : 2023-02-23DOI: 10.1007/s11079-023-09713-w
Can Xu, Jan Jacobs, Jakob de Haan
Abstract We examine the dynamic impact of household borrowing on the trade balance using data from 32 developing countries and 36 developed countries over the 1980-2020 period. Our findings suggest that the impact of household borrowing on the trade balance is negative, both in the short and long run, but the effects are more pronounced in developing countries. Moreover, we find that for developing countries the negative effect of household borrowing on the trade balance is achieved via boosting imports. In developed countries, household borrowing stimulates both imports and exports, where the effect on imports is larger.
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Pub Date : 2023-02-07DOI: 10.1007/s11079-022-09707-0
Alexandros Skouralis
This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The results indicate that peripheral economies have a disproportionate importance in spreading systemic risk compared to core countries. Then, we incorporate high-frequency monetary surprises into the model and we find evidence of the risk-taking channel of monetary policy. However, the relationship is reversed in the period of the ZLB, when expansionary shocks mitigate systemic risk, since they reduce market uncertainty and funding risk. Cross-country spillovers account for a significant fraction (17.4%) of systemic risk responses’ variation. We also show that near term guidance reduces systemic risk, whereas the initiation of the QE program has the opposite effect. Finally, the effectiveness of monetary policy exhibits significant asymmetries, with core countries driving the union response.
{"title":"The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy","authors":"Alexandros Skouralis","doi":"10.1007/s11079-022-09707-0","DOIUrl":"https://doi.org/10.1007/s11079-022-09707-0","url":null,"abstract":"This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The results indicate that peripheral economies have a disproportionate importance in spreading systemic risk compared to core countries. Then, we incorporate high-frequency monetary surprises into the model and we find evidence of the risk-taking channel of monetary policy. However, the relationship is reversed in the period of the ZLB, when expansionary shocks mitigate systemic risk, since they reduce market uncertainty and funding risk. Cross-country spillovers account for a significant fraction (17.4%) of systemic risk responses’ variation. We also show that near term guidance reduces systemic risk, whereas the initiation of the QE program has the opposite effect. Finally, the effectiveness of monetary policy exhibits significant asymmetries, with core countries driving the union response.","PeriodicalId":46980,"journal":{"name":"Open Economies Review","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136291438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The results indicate that peripheral economies have a disproportionate importance in spreading systemic risk compared to core countries. Then, we incorporate high-frequency monetary surprises into the model and we find evidence of the risk-taking channel of monetary policy . However, the relationship is reversed in the period of the ZLB, when expansionary shocks mitigate systemic risk, since they reduce market uncertainty and funding risk. Cross-country spillovers account for a significant fraction (17.4%) of systemic risk responses’ variation. We also show that near term guidance reduces systemic risk, whereas the initiation of the QE program has the opposite effect. Finally, the effectiveness of monetary policy exhibits significant asymmetries, with core countries driving the union response.
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Pub Date : 2023-02-02DOI: 10.1007/s11079-023-09712-x
Cosmas Dery, Apostolos Serletis
{"title":"Macroeconomic Fluctuations in the United States: The Role of Monetary and Fiscal Policy Shocks","authors":"Cosmas Dery, Apostolos Serletis","doi":"10.1007/s11079-023-09712-x","DOIUrl":"https://doi.org/10.1007/s11079-023-09712-x","url":null,"abstract":"","PeriodicalId":46980,"journal":{"name":"Open Economies Review","volume":"1 1","pages":"1 - 17"},"PeriodicalIF":1.2,"publicationDate":"2023-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46125321","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-02-01DOI: 10.1007/s11079-023-09711-y
Sérgio Kannebley, Diogo de Prince, Felipe dos Santos Costa
{"title":"Sectoral Exchange Rate Pass-through to Manufacturing Prices: A GVAR Approach","authors":"Sérgio Kannebley, Diogo de Prince, Felipe dos Santos Costa","doi":"10.1007/s11079-023-09711-y","DOIUrl":"https://doi.org/10.1007/s11079-023-09711-y","url":null,"abstract":"","PeriodicalId":46980,"journal":{"name":"Open Economies Review","volume":"1 1","pages":"1-40"},"PeriodicalIF":1.2,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41714146","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-19DOI: 10.1007/s11079-022-09706-1
A. Mihailov
{"title":"Correction: Editorial – Recent Trends in International Reserves: Theory and Evidence","authors":"A. Mihailov","doi":"10.1007/s11079-022-09706-1","DOIUrl":"https://doi.org/10.1007/s11079-022-09706-1","url":null,"abstract":"","PeriodicalId":46980,"journal":{"name":"Open Economies Review","volume":"1 1","pages":"1"},"PeriodicalIF":1.2,"publicationDate":"2023-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47194613","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-12DOI: 10.1007/s11079-022-09709-y
Junyong Lee, Kyounghun Lee, Frederick Dongchuhl Oh
{"title":"Religion and Equity Home Bias","authors":"Junyong Lee, Kyounghun Lee, Frederick Dongchuhl Oh","doi":"10.1007/s11079-022-09709-y","DOIUrl":"https://doi.org/10.1007/s11079-022-09709-y","url":null,"abstract":"","PeriodicalId":46980,"journal":{"name":"Open Economies Review","volume":"1 1","pages":"1-24"},"PeriodicalIF":1.2,"publicationDate":"2023-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48019465","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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