scholarly journals Steering the Unsteerable? Aggregate Fiscal Stance and Spillover Effects in the Euro Area

2018 ◽  
Vol 53 (1) ◽  
pp. 41-46
Author(s):  
Stephan Freitag ◽  
Jörg Stosberg
Keyword(s):  
Euro Area ◽  
Spillover Effects

Spillover Effects of Sovereign Bond Purchases in the Euro Area

2021 ◽  
Author(s):  
Yvo Mudde ◽  
Anna SamarIna ◽  
Robert Vermeulen
Keyword(s):  
Euro Area ◽  
Spillover Effects ◽  
Sovereign Bond

MACROECONOMIC EFFECTS OF GREATER COMPETITION IN THE SERVICE SECTOR: THE CASE OF ITALY

2010 ◽  
Vol 14 (5) ◽  
pp. 677-708 ◽  
Author(s):  
L. Forni ◽  
A. Gerali ◽  
M. Pisani
Keyword(s):  
Euro Area ◽  
Service Sector ◽  
Monopolistic Competition ◽  
Spillover Effects ◽  
Dynamic Stochastic General Equilibrium ◽  
Services Sector ◽  
Long Run ◽  
Dynamic Stochastic ◽  
Nontradable Goods ◽  
Cross Country

In this paper we assess the effects of increasing competition in the service sector in one country of the euro area. We focus on Italy, which, based on cross-country comparisons, stands out as the country with the highest markups in nonmanufacturing industries among the OECD countries. We propose a two-region (Italy and the rest of the euro area) dynamic stochastic general equilibrium model where we introduce nontradable goods as a proxy for services and we allow for monopolistic competition in labor, manufacturing, and services markets. We then use the model to simulate the macroeconomic and spillover effects of increasing the degree of competition in the Italian services sector. According to the results, reducing the markups in services to the levels prevailing in the rest of the euro area induces in the long run an increase in Italian GDP equal to 11% and an increase in welfare (measured in terms of steady state consumption equivalents) of about 3.5%. Half of the GDP increase would be realized in the first three years. The spillover effects to the rest of the euro area are limited: consumption, investment, and GDP increases are relatively small.

scholarly journals Liquidity risk: Intraday liquidity and price spillovers in euro area sovereign bond markets

2021 ◽  
Vol 11 (2) ◽  
pp. 18-31
Author(s):  
Linas Jurkšas ◽  
Deimantė Teresienė ◽  
Rasa Kanapickiene
Keyword(s):  
Euro Area ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Market Liquidity ◽  
Bond Markets ◽  
Sovereign Bond ◽  
Sovereign Bonds ◽  
Intraday Data ◽  
The Cross ◽  
Sovereign Bond Markets

The purpose of this paper is to determine the cross-market liquidity and price spillover effects across euro area sovereign bond markets. The analysis is carried out with the constructed minute frequency order-book dataset from 2011 until 2018. This derived dataset covers the six largest euro area markets for benchmark 10-year sovereign bonds. To estimate the cross-market spillover effect between sovereign bonds, it was decided to use the empirical approach proposed by Diebold and Yilmaz (2012) and combine it with the vector error correction model (VECM). We also employed the panel regression model to identify why some bond markets had a higher spillover effect while others were smaller. The dependent variable was the daily average spillover effect of a particular bond. As the spillover effects vary highly across different bonds, country-specific fixed effects were used, and the clustered standard errors were calculated for robustness reasons. Lastly, the cross-market spillovers were analyzed daily to compare them with the results of the model with intraday data. The analysis was performed with rolling 100-day window variance decompositions and a 10-day forecast horizon for six sovereign bonds and the overnight indexed swap (OIS) market. The results of the created time-series model revealed that intraday cross-market spillovers exist but are relatively weak, especially in the case of liquidity spillovers. As the cross-market linkages became much more robust with the model using daily data, the liquidity or price disbalances between different markets are usually corrected on longer intervals than minutes. Distance between countries is the most important explanatory variable and is negatively linked to the magnitude of both liquidity and price spillovers. These findings should be of particular interest to bond market investors, risk managers, and analysts who try to scrutinize the liquidity and price transmission mechanism of sovereign bonds in their portfolios.

4 European Banking Union

2015 ◽  
Author(s):  
Kleftouri Nikoletta
Keyword(s):  
Euro Area ◽  
Deposit Insurance ◽  
Spillover Effects ◽  
Banking Union ◽  
Bank Supervision ◽  
European Banking Union ◽  
Cross Border ◽  
European Bank ◽  
Bank Resolution ◽  
European Banking

Having a multiplicity of financial regulators, supervisors, and resolution authorities in Europe can weaken supervision, heighten legal uncertainty, and impede effective resolution. European officials recently agreed that further steps are needed to tackle the specific risks in particular within the euro area, where pooled monetary responsibilities had increased the possibility of cross-border spillover effects in the event of bank crises. As a result, they created a union aimed to centralize bank supervision, deposit insurance, and bank resolution. This chapter sets out two components of the European banking union: single supervision, and single deposit insurance. Single resolution is separately discussed in Chapter 8, where international and European bank resolution frameworks are examined. The chapter concludes that deeper reforms are needed, in conjunction with effective cooperation arrangements.

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