European Economics: Macroeconomics & Monetary Economics eJournal最新文献

{"title":"How Severe Are the EBA Macroeconomic Scenarios for the Italian Economy? A Joint Probability Approach","authors":"M. Bonucchi, Michele Catalano","doi":"10.2139/ssrn.3652035","DOIUrl":"https://doi.org/10.2139/ssrn.3652035","url":null,"abstract":"Measures of the severity of macroeconomic scenarios have been widely used in the literature, but a consistent methodology for their calculation has not been developed yet. Against this background, we provide a general method for calculating the joint probability of observing a macroeconomic scenario, which can be applied to a wide variety of structural models. By doing so, we can attach probabilities to scenarios produced with multidimensional economic models to compare their severity and plausibility. We apply our methodology to the 2016 and 2018 EBA stress test scenarios and we provide also reverse stress tests applications. Our results show that for the Italian economy both the 2016 and 2018 EBA scenarios are unlikely, especially the 2016 one. The reverse stress tests allow us to identify the key variables that affect our probabilities.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124683983","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Using Supra-Covered Bonds to Enhance Liquidity in the Euro Area: A Proposal for the Post-COVID-19 Recovery","authors":"Stefan Zeugner, M. Salto, S. Zedda","doi":"10.2139/ssrn.3640262","DOIUrl":"https://doi.org/10.2139/ssrn.3640262","url":null,"abstract":"The discussion on the necessity of a larger volume of very highly quality (VHQLA) and liquid asset in the euro area has been very extensive. The debate on expanding the pool of comparable euro area assets focuses on “safe assets”, often on various combinations of government bonds, most of which would not entail a strong increase in euro VHQLA. This paper explores a different option, complementary to the existing ones, based on the creation of a safe European asset backed by fully private assets. The idea proposed in this paper is the issuance of supra-covered bonds by a central European institution. The latter are bonds issued by the central issuer and backed by covered bonds, which banks would have created using their mortgages as their cover pool. The aim is to increase substantially the outstanding amount of euro VHQLA. Such an asset would be very beneficial also during crisis periods, like the current COVID-19 crisis, by allowing banks to transform mortgages into very high quality and liquid assets that can be used for funding and as a collateral in operations with the Eurosystem, thus enhancing the possible credit sustain to the SMEs. This paper assesses the main effects of such proposal on banks under different possible scenarios.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130714638","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Remains of the Day: The International Economic Order in the Era of Disintegration","authors":"F. Violi, Francesco Montanaro","doi":"10.1093/jiel/jgaa018","DOIUrl":"https://doi.org/10.1093/jiel/jgaa018","url":null,"abstract":"\u0000 The last two decades of the XX century have been marked by a vigorous acceleration of international economic integration both at a global and regional level. States accepted pervasive constraints on their national decision-making in the hope that stability and predictability would favor economic growth. This model of international economic integration, however, has recently shown worrying signs of ‘disintegration’. Disintegration manifests itself both as disintegration of the international legal regimes which compose the international economic order; and disintegration through law, namely the social, economic and environmental disintegration phenomena, triggered or at least facilitated by these regimes. Relying on the paradox integration/disintegration as an analytical framework, this article draws a blueprint of the various disintegration phenomena, which are further analyzed in the individual contributions to this Special Issue. It seeks to identify a relationship between the two dimensions of disintegration and detect possible correlation patterns. Last, after engaging with the different normative alternatives put forward by the contributors, it concludes by calling for a rethinking of the traditional approach to international economic integration. This reconceptualization should be premised on the full realization that the current model entails a great deal of environmental and social ‘hidden costs’.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124372588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Striking Similarities: The Origins of the European Economic Community","authors":"D. Blake","doi":"10.2139/ssrn.3760994","DOIUrl":"https://doi.org/10.2139/ssrn.3760994","url":null,"abstract":"A Plan for a European Economic Community was developed at the University of Berlin in 1942. There are striking similarities with the European Economic Community that was introduced in 1957—and which became the foundation stone of the European Union. Particularly striking is the innate hostility both to liberal economic values and to democracy—a hostility that permeates the EU to this very day.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131108979","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"(T)LTRO-Tracker","authors":"G. Schnabl, Nils Sonnenberg","doi":"10.2139/ssrn.3612642","DOIUrl":"https://doi.org/10.2139/ssrn.3612642","url":null,"abstract":"The (T)LTRO-Tracker gives an insight into the scale and duration of the Eurosystem refinancing operations. Rising refinancing requests of banks are an indicator of financial market distress.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132517966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Central Bank Communication: Information and Policy Shocks","authors":"N. Ostapenko","doi":"10.2139/ssrn.3607817","DOIUrl":"https://doi.org/10.2139/ssrn.3607817","url":null,"abstract":"The study proposes an alternative way to decompose Federal Reserve (Fed) information shocks from monetary policy shocks by employing a textual analysis to Federal Open Market Committee (FOMC) statements. I decompose Fed statements into economic topics using Latent Dirichlet Allocation (LDA). The model was trained on the business section from major US newspapers. After decomposing surprises in Fed futures into a part that is explained by topics from the Fed statements and that is not explained, the study employs these purged series as proxies for monetary policy and Fed information shocks. The results show that, compared to surprises in 3-month federal funds futures, a policy shock identified in this study has a more negative effect on GDP and a more prolonged negative effect on inflation. In the short-run it causes S&P500 to decline and the Fed to raise its interest rate. Identified Fed information shock affects the macroeconomy as the standard news shock: it has positive long-run effects on S&P500, interest rates, and real GDP, whereas it has a negative short-run effect on inflation. Moreover, the Fed information shock reduces credit costs.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"40 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113936797","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On Economic Market Cycles and Dominating Market Behaviour","authors":"O. Butriy","doi":"10.2139/ssrn.3608381","DOIUrl":"https://doi.org/10.2139/ssrn.3608381","url":null,"abstract":"The Dalio's Economic Market Cycles theory seems to be a proof of a long-standing philosophic theory of civilisation cycles, which appeared around the XVIIth century in Europe. The Civilisation Cycles theory suggests that each human civilisation knows a life cycle of growth and decay, like Mesopotamian Civilisation, Egyptian Civilisation, Ancient China, Ancient Greece, Roman Empire, Austro-Hungarian Empire, British Empire.<br><br>It seems to me that Dalio has come very close to the understanding of development swings and brought this understanding into the economic market domain.<br><br>Why does it have to be 75-100 years for a big Economic (Market) Cycle?<br><br>In the following, I would like to give my understanding of the Dalio's theory of Economic Market Cycles, which Ray Dalio might not agree with. It’s my own observations open to criticism.<br><br>I suggest that 75-100 years it’s the time span of 3 mature generations of people in the society. Let’s say, a person stays economically active 30-35 years.<br><br>In the following, I suggest that that 75-100 years of a Big Economic Market Cycle represents three generations of society, that is, the generation of developers, the generation of benefiters and the generation of decline.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133640913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Government Bailouts and Bank Bond Spreads: Cross-Sectional Evidence from the European Union","authors":"Benoit d’Udekem, M. V. Audenrode","doi":"10.2139/ssrn.3336866","DOIUrl":"https://doi.org/10.2139/ssrn.3336866","url":null,"abstract":"In the wake of the financial crisis, many governments intervened to rescue banks. Between 2007 and 2009, numerous State Aid schemes were notified to the European Commission by different Member States; only 11 were blocked. Since the crisis, European authorities have reformed their safety nets to avoid taxpayers having to step in to save banks and out of fear that bailouts may be distorting competition. We investigate whether this fear is warranted in relation to long-term wholesale funding since the EU reforms. Using an original cross-section of nearly 2,500 senior bonds issued by systemic European banks, we find that nationalized banks do not benefit from lower bond spreads compared to their peers. Our findings are identical when we instrument bail-out expectations, consistent with these expectations having dropped since the crisis. We conclude that, in good times, the new EU bank safety nets appear to have achieved their stated goals.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"158 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132644013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Taylor Rule: The Information Content From FOMC Transcripts","authors":"N. Ostapenko","doi":"10.2139/ssrn.3597187","DOIUrl":"https://doi.org/10.2139/ssrn.3597187","url":null,"abstract":"Do Federal Open Market Committee (FOMC) discussions contain additional information for Taylor rule estimation? While researchers usually estimate a Taylor rule with official forecasts of the output gap and inflation, this paper sheds light on the importance of additional information contained in the FOMC discussions. Using textual analysis techniques I detect all economic phrases from FOMC transcripts and assign the tone to these phrases. Afterwards, I use Bayesian LASSO with time-varying parameters and show that the Fed changes its federal funds target also in response to FOMC members’ uncertainty about inflation expectations and financial markets.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130975504","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"GDP Modelling and Forecasting Using ARIMA. An Empirical Assessment for Innovative Economy Formation","authors":"Denis Vîntu","doi":"10.2139/ssrn.3589484","DOIUrl":"https://doi.org/10.2139/ssrn.3589484","url":null,"abstract":"This article discusses the construction of a forecast model of the gross domestic product for the Republic of Moldova. The theme arises from a first need to redefine, economic growth in the context of increasing globalization but also the complexity of commercial transactions. The forecasting method used is based on ARIMA each model partly emphasizing the urgent need to redefine, the economic growth in the context of the Association Agreement (AA) with the EU, which includes a Comprehensive and Comprehensive Free Trade Agreement (2014) but also future prospects of integration among the countries with an average degree of development. The technique used comes to bring novelty in the field of forecasting, as an alternative to the one with simultaneous equations and traditional VAR models. The policy and practical implications of the results are the strengths. The limits are due to the high degree of risk and uncertainty, which is due to the low degree of real convergence of the economy, but also to other factors such as the regional context, the lack of openness of the economy, the diversification of exports and services. In conclusion, the model aims not only to redefine the area of macroeconomic forecasting but also to offer a future perspective of adopting combined techniques such as the Bayesian technique, but also the scenario method. The degree of complexity arises from the adaptation and study of the chronological series 1995-2019 for the branch - information and communications, subgroup GDP, categories of resources, which themselves have specific asymmetries and nuances. The basic ARIMA equations are generally used in conjunction with three sets of assumptions regarding the formation of the gross domestic product, referring to the elasticity of aggregate demand or excess supply in the goods and labor markets. Another hypothesis concerns the rigid wage and constant prices, with an excessive supply only in the telecom market. Also, the salary is rigid, while the price level is adjusted based on the market of goods and commodities, so that the excess supply appears only in the labor market. Finally, in a third assumption, both markets are assumed to be mutually adjusting. The multipliers of fiscal and monetary policy, besides the conclusions that can be drawn about economic policy, are obviously different in these three assumptions. The article presents a synthetic model that supports the three particular sub-regimes of assumptions of a single adapted ARIMA model, namely the trajectory of a balance in the goods and services market, the labor market and the national financial system.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126601630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}