发布求助
文献互助 智能选刊 最新文献

European Economics: Macroeconomics & Monetary Economics eJournal最新文献

筛选
英文 中文
Business-Cycle Macroeconomics in an Asset Pricing Financial Economy 资产定价金融经济中的商业周期宏观经济学
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-03-09 DOI: 10.2139/ssrn.3551060
W. Tse
{"title":"Business-Cycle Macroeconomics in an Asset Pricing Financial Economy","authors":"W. Tse","doi":"10.2139/ssrn.3551060","DOIUrl":"https://doi.org/10.2139/ssrn.3551060","url":null,"abstract":"The paper introduces a portfolio-based Keynesian endogenous business-cycle phase-switching macroeconomic model of risky investment where rational expectation occurs in the financial market with stocks, credits, and debt. There are stock market inefficiency and predictability. It predicts Okun’s Law, the Philips Curve, and the classics-monetarist-Keynesian Quantity Theory of Money. Whereas the classics and Keynesian differ on equilibrium versus disequilibrium, it justifies the monetarist-Keynesian difference by price rigidity. It tracks the U.S. financial and economic data during the 2008’s recession. Jump credit risks induce cyclical financial and macroeconomic fluctuations, and the equity-premium and risk-free rate puzzles. Market risk premium and credit risks show a significant impact of the financial sector on the real economy. To promote financial and economic growth, cutting interest rates is most effective at peak and trough. Curtailing credits at peak prolong growth. Enhancing credits and consumption growth stimulate GDP growth in a recession.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121726913","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}
引用次数: 1
Detecting the Fifty Shades of Grey: Local Crime, Suspicious Transaction Reporting and Anti-Money Laundering Regulation 侦测五十度灰:地方犯罪、可疑交易报告与反洗钱法规
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3280307
L. dalla Pellegrina, Giorgio Di Maio, D. Masciandaro, Margherita Saraceno
{"title":"Detecting the Fifty Shades of Grey: Local Crime, Suspicious Transaction Reporting and Anti-Money Laundering Regulation","authors":"L. dalla Pellegrina, Giorgio Di Maio, D. Masciandaro, Margherita Saraceno","doi":"10.2139/ssrn.3280307","DOIUrl":"https://doi.org/10.2139/ssrn.3280307","url":null,"abstract":"This paper investigates the efficiency of the suspicious transaction reporting (STR) activity to the Financial Intelligence Unit (FIU) as a means to deter money laundering. A baseline theoretical model is used as a framework to guide the empirical analysis of the relationship between STR and the vulnerability of Italian provinces to money laundering in the 2008-2013 period. Instrumental variables are used to limit the problems stemming from the endogenous nature of the number of reports to the FIU with respect to vulnerability. Results provide a positive assessment of the riskbased mechanism of reporting suspicious operations to the FIU.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125943377","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}
引用次数: 1
Adopting the Euro: A Synthetic Control Approach 采用欧元:一种综合控制方法
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3563044
Ricardo Duque Gabriel, Ana Sofia Pessoa
{"title":"Adopting the Euro: A Synthetic Control Approach","authors":"Ricardo Duque Gabriel, Ana Sofia Pessoa","doi":"10.2139/ssrn.3563044","DOIUrl":"https://doi.org/10.2139/ssrn.3563044","url":null,"abstract":"We investigate whether joining the European Monetary Union and losing the ability to set monetary policy affected the economic growth of 12 Eurozone countries. We use the synthetic control approach to create a counterfactual scenario for how each Eurozone country would have evolved without adopting the Euro. We let this matching algorithm determine which combination of other developed economies best resembles the pre-Euro path of twelve Eurozone economies. Our estimates suggest that there were some mild losers (France, Germany, Italy, and Portugal) and a clear winner (Ireland). Nevertheless, a GDP decomposition analysis suggests that the drivers of the economic gains and losses are heterogeneous.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116956677","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}
引用次数: 6
Growth-and-Risk Trade-Off 成长与冒险的权衡
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3581711
Maria Dolores Gadea Rivas, L. Laeven, Gabriel Pérez-Quirós
{"title":"Growth-and-Risk Trade-Off","authors":"Maria Dolores Gadea Rivas, L. Laeven, Gabriel Pérez-Quirós","doi":"10.2139/ssrn.3581711","DOIUrl":"https://doi.org/10.2139/ssrn.3581711","url":null,"abstract":"We study the effects of credit over the business cycle, distinguishing between expansions and contractions. We find that there is a growth and risk trade-off in the pace of credit growth over the business cycle. While rapid credit growth tends to be followed by deeper recessions, we also find that credit growth has a positive impact on the duration of expansions. This poses a trade-off for the policymaker: Limiting the buildup of financial risk to avoid a deep recession can negatively affect the cumulation of economic growth during the expansion. We show that intermediate levels of credit growth maximize long-term growth while limiting volatility. Macroprudential policies should be used to manage this growth and risk trade-off, striking a balance between allowing expansions to last longer and avoiding deep recessions. JEL Classification: C22, E32, E61","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122454959","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}
引用次数: 7
Rentabilidad de los Fondos de Inversión en España, 2004-2019 (Return of Mutual Funds in Spain, 2004-2019) 2004-2019年西班牙投资基金盈利能力(2004-2019年西班牙共同基金回报)
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-02-24 DOI: 10.2139/ssrn.3543761
Pablo Fernández, Eduardo de Apellániz, Juan Fernández Acín
{"title":"Rentabilidad de los Fondos de Inversión en España, 2004-2019 (Return of Mutual Funds in Spain, 2004-2019)","authors":"Pablo Fernández, Eduardo de Apellániz, Juan Fernández Acín","doi":"10.2139/ssrn.3543761","DOIUrl":"https://doi.org/10.2139/ssrn.3543761","url":null,"abstract":"<b>Spanish Abstract:</b> La rentabilidad media de los fondos de inversión en España en los últimos 15 años (2,67%) fue inferior a la inversión en bonos del estado español a 15 años (3,88%) y a la inversión en el IBEX 35 (5,07%). <br>138 fondos de los 631 con 15 años de historia tuvieron una rentabilidad superior a la de los bonos del estado a 15 años y 75 a la del IBEX 35. 9 fondos tuvieron rentabilidad negativa. <br>El fondo más rentable proporcionó en los últimos 15 años a sus partícipes una rentabilidad total del 366% y el menos rentable del -56%. Se muestran los fondos más rentables y los menos rentables. <br><br><b>English Abstract:</b> The average return on investment funds in Spain in the last 15 years (2.67%) was lower than investment in government bonds to 15 years (3.88%) and investment in the IBEX 35 (5.07%). 138 of the 631 funds with 15 years had a higher return than 15-year government bonds . The most profitable fund provided in the last 15 years to its investors a total return of 366% and the least profitable of -56%.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"124 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133501768","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}
引用次数: 1
How Financial Shocks Transmit to the Real Economy? Banking Business Models and Firm Size 金融冲击如何传导到实体经济?银行业务模式和公司规模
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-02-11 DOI: 10.2139/ssrn.3545805
F. Vinas
{"title":"How Financial Shocks Transmit to the Real Economy? Banking Business Models and Firm Size","authors":"F. Vinas","doi":"10.2139/ssrn.3545805","DOIUrl":"https://doi.org/10.2139/ssrn.3545805","url":null,"abstract":"Abstract The paper analyzes the credit supply of commercial banks and universal banks over the 2003-2009 period. Relying on a unique database of credits, banks and firms covering more than 8,000 firms from SMEs to large firms, I show that universal banks and commercial banks had a similar credit supply prior to the crisis. However, during the 2008 financial crisis, universal banks had a strongly lower credit supply, leading to real effects on firms’ investment. An analysis of transmission channels highlights a specific binding constraint applying to universal banks: their liquidity risk through off-balance-sheet commitments. While smallest firms are usually considered more vulnerable, the paper shows that small firms were less impacted by credit rationing than medium and large firms due to their bank-firm relationships prior to the crisis.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122079970","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}
引用次数: 9
What Happens When Equity Investors Disagree with the FOMC? 当股票投资者与联邦公开市场委员会意见相左时会发生什么?
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-02-06 DOI: 10.2139/ssrn.3533171
Lucia Milena Murgia
{"title":"What Happens When Equity Investors Disagree with the FOMC?","authors":"Lucia Milena Murgia","doi":"10.2139/ssrn.3533171","DOIUrl":"https://doi.org/10.2139/ssrn.3533171","url":null,"abstract":"This research explores an alternative explanation for the equity premium associated with Federal Open Market Committee (FOMC) announcement days that accounts for a sizable fraction of annual equity returns. My evidence shows that investor expectations formulated prior to FOMC announcements have a significant impact on equity prices, particularly when these expectations are not aligned with the FOMC decision. Furthermore, I document an even larger impact around FOMC announcements where the level of interest rates remained unchanged. When monetary policy is neutral, the observed investors’ disagreement towards the FOMC decisions represents a further layer of uncertainty in the dynamics of equity markets. My results reconcile past findings on the monetary policy surprise literature and more recent empirical findings on the effect of FOMC announcements, which are difficult to explain with standard asset pricing theories. Moreover, as I find little effects on equity returns when the FOMC decision is anticipated by the market, a practical implication of my study is that monetary policy authorities should take into account market expectations when formulating disclosure policy in order to improve alignment with financial market expectations and smooth out their economic consequences.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134312122","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}
引用次数: 0
Forecast Performance in the ECB SPF: Ability or Chance? 预测欧洲央行SPF的表现:能力还是机遇?
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-02-01 DOI: 10.2139/ssrn.3531716
Aidan Meyler
{"title":"Forecast Performance in the ECB SPF: Ability or Chance?","authors":"Aidan Meyler","doi":"10.2139/ssrn.3531716","DOIUrl":"https://doi.org/10.2139/ssrn.3531716","url":null,"abstract":"In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex post sampling variation such as the nature of economic shocks that materialised or simply which rounds participants responded in. We apply and adapt an approach developed by D’Agostino et al. (2012) who used US SPF data. They developed a test of a null hypothesis that all forecasters have equal ability. Their statistic reflects both the absolute and relative performance of each forecaster and they used bootstrap techniques to compare the empirical results with the equivalents obtained under the null hypothesis of equal forecaster ability. Our results, at a first pass, suggest that there would appear to be evidence of good/bad forecasters. However once we control for the autocorrelation that is caused by the overlapping rolling horizons, we find, like D’Agostino et al. (2012), that the best forecasters are not statistically significantly better than others. Unlike D’Agostino et al. (2012), however, we do not find evidence of forecasters that perform very significantly worse than others. Controlling for autocorrelation is a key feature of this paper relative to previous work. Our results hold considering the whole sample period of the ECB SPF (1999-2018) as well as the pre- and post-global financial crisis samples. We also find that when assessed across all variables and horizons, the aggregate (consensus) SPF forecast performs best. JEL Classification: C53, E27, E37","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115730993","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}
引用次数: 7
Bank Capital and Risk in Europe and Central Asia Ten Years after the Crisis 危机十年后的欧洲和中亚银行资本与风险
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-01-30 DOI: 10.1596/1813-9450-9138
D. Anginer, Asli Demirgüç-Kunt, D. Mare
{"title":"Bank Capital and Risk in Europe and Central Asia Ten Years after the Crisis","authors":"D. Anginer, Asli Demirgüç-Kunt, D. Mare","doi":"10.1596/1813-9450-9138","DOIUrl":"https://doi.org/10.1596/1813-9450-9138","url":null,"abstract":"This paper examines changes in bank capital and capital regulations since the global financial crisis, in the Europe and Central Asia region. It shows that banks in Europe and Central Asia are better capitalized, as measured by regulatory capital ratios, than they were prior to the crisis. However, the increase in simple equity ratios for the same banks has been smaller over the past 10 years. The increases in regulatory capital ratios have coincided with a reduction in the stringency of the definition of Tier 1 capital and reduction in risk-weights. Further analyses show that bank risk in Europe and Central Asia is more sensitive to changes in simple leverage ratios than in regulatory capital ratios, consistent with the notion that equity ratios only include high-quality capital and do not rely on internal risk models to compute risk-weights. Although there has been some effort to increase capital and liquidity requirements for institutions deemed systemically important, the region has been lagging in addressing the resolution of these institutions.","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":" 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120830986","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}
引用次数: 5
Information Value in EU-Wide Bank Stress Test 欧盟银行压力测试的信息价值
European Economics: Macroeconomics & Monetary Economics eJournal Pub Date : 2020-01-20 DOI: 10.2139/ssrn.3522463
J. Dermine
{"title":"Information Value in EU-Wide Bank Stress Test","authors":"J. Dermine","doi":"10.2139/ssrn.3522463","DOIUrl":"https://doi.org/10.2139/ssrn.3522463","url":null,"abstract":"The paper starts with an evaluation of the banks’ solvency information disclosed in the 2018 and 2016 EU-wide stress tests, asking do they add value to the information available in the bank capital ratios observed at the start of the stress exercise? It argues that information from price-to-book, degree of imperfect information on the value of assets and relative holding of domestic government bonds all require a bank-specific approach in the supervisory review and evaluation process (SREP) exercise. In short, one size does not fit all.<br>","PeriodicalId":191513,"journal":{"name":"European Economics: Macroeconomics & Monetary Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129691306","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}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信