Search results for "Eurozone"

Portfolio diversification in the sovereign credit swap markets

2018

We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…

Does the EMU Need a Fiscal Transfer Mechanism?

2004

Summary: The aim of this paper is to investigate how the birth of a central fiscal authority or the creation of a fiscal transfer mechanism could improve the action of fiscal policy in terms of stabilization in the EMU. In particular, the paper examines the theoretical reasons to support this conclusion and provides empirical evidence that shows how the EMU is not able to face asymmetric and symmetric idiosyncratic shocks. Zusammenfassung: Die zentrale Frage des Aufsatzes lautet: Ob und wie kann eine zentrale Fiskalbehorde oder ein fiskalischer Transfermechanismus die fiskalpolitische Stabilisierung in der EWU verbessern? Dazu werden theoretische Argumente und empirische Evidenz prasentiert…

Effects of unconventional monetary policy on income and wealth distribution: Evidence from United States and Eurozone

2019

As an answer to the “Great Recession” and Zero Lower Bound problem, main central banks had to use unconventional monetary policy (UMP). This research focuses on the distributive effects of these measures on household income and household wealth in the United States of America (USA) and the Eurozone. For this purpose, this paper presents four models that were constructed using the Structural Vector Autoregressive methodology (SVAR). The results suggest that the UMPs applied by the Federal Reserve (FED) in the USA could increase wealth and income inequality through the portfolio channel. However, the same results were not observed in the Eurozone. Key words: United States of America, Eurozone…

Spain in the euro: a general equilibrium analysis

2010

Bayesian dynamic stochastic general equilibrium (DSGE) models combine microeconomic behavioural foundations with a full-system Bayesian likelihood estimation approach using key macro-economic variables. Because of the usefulness of this class ofmodels for addressing questions regarding the impact and consequences of alternative monetary policies they are nowadays widely used for forecasting and policy analysis at central banks and other institutions. In this paper we provide a brief description of the two main aggregate euro area models at the ECB. Both models share a common core but their detailed specification differs reflecting their specific focus and use. The New Area Wide Model (NAWM)…

Journal of Economics and Management Research, Vol. 3

2014

Igo Cals. Bounded Rationality Concept and Farming Values in Latvian Agricultural Sector ; Dagnija Daņēviča, Ieva Aizsila, Roberts Ikaunieks. Audit Quality Aspects of Cooperation Between Certified Auditor and Audited Entity ; Gyula Fülöp, Bettina Hódi Hernádi. Comparison of Traditional, Environmental and Sustainability Accounting Systems ; Svetlana Jesiļevska. Similarities and Differences of Conducting Innovation Survey – Latvian and Estonian Approaches ; Silvija Kristapsone. Subjective Assessment by Teachers and Other Professionals of Well-being in Latvia in Years 2011/2012 ; Olga Rajevska. Pension Statistics in Latvia: Resources and Weaknesses ; Christin Richter. Current Developments in Ri…

La transition socio-écologique, une opportunité pour co-construire le futur de l'Europe

2015

International audience

When the doctor gets sick: the Eurozone crisis and transatlantic relations

2013

Determinants of Immigration in Europe. The Relevance of Life Expectancy and Environmental Sustainability

2017

This research analyzes the main variables that determine immigration in Europe and includes aspects related to the economy, population, healthcare, and environmental sustainability. The empirical analysis consists of two sets of data: one made up of all EU member states (EU-28) and the other containing countries that form a part of the Eurozone (EU-19), using the Generalized Method of Moments. The sample covers the period between 2000 and 2014, and the data are analyzed separately and comparatively in the most relevant stages during that time (economic prosperity, crisis, and recovery). The most notable results indicate that the variables related to GDP and public debt largely serve to just…