arXiv 1 Nov 2021 · Econometrics
arXiv:2111.01078 · PDF · DOI · OpenAlex · Extracted main text
This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on monthly data over the period 2006-2017. The interactions between repo markets, sovereign bonds and banks' CDS spreads are analyzed, explicitly accounting for the country-specific effects of the ECB's asset purchase programmes. Impulse response analysis signals marginally significant core-periphery heterogeneity, flight-to-quality effects and spillovers between liquidity conditions and credit risk. Simulated reductions in ECB programmes tend to result in higher government bond yields and bank CDS spreads, especially for Italy and Spain, as well as in falling repo trade volumes and rising repo rates across the Euro area. However, only a few responses to shocks achieve statistical significance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Pesaran, M. H., T. Schuermann and S. M. Weiner (2004) Modeling Regional Interdependencies Using a Global Error Correcting Macroeconometric Model | 0.843 | 3 | 3 | 100% |
| 2 | Dées, S., F. di Mauro, M. H. Pesaran and L. V. Smith (2007) a) Exploring the International Linkages of the Euro Area: A Global VAR Analysis | 0.511 | 2 | 1 | 100% |
| 3 | Adrian, T., M. Fleming, O. Shachar and E. Vogt (2016) Market Liquidity after the Financial Crisis Federal Reserve Bank of New York Staff Report no | 0.405 | 1 | 1 | 100% |
| 4 | Brunnermeier, M. K. and L. H. Pedersen (2008) Market Liquidity and Funding Liquidity | 0.405 | 1 | 1 | 100% |
| 5 | Chudik, A. and M. Fratzscher (2011) Identifying the Global Transmission of the 2007-2009 Financial Crisis in a GVAR Model | 0.405 | 1 | 1 | 100% |
| 6 | Chudik, A. and M. Fratzscher (2012) Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis ECB Working Pa… | 0.405 | 1 | 1 | 100% |
| 7 | Dées, S., S. Holly, M. H. Pesaran and L. V. Smith (2007) b) Long Run Macroeconomic Relations in the Global Economy | 0.405 | 1 | 1 | 100% |
| 8 | De Pooter, M., R. Martin and S. Pruitt (2016) The Liquidity Effects of Official Bond Market Intervention FRB International Finance Discussion Paper No | 0.405 | 1 | 1 | 100% |
| 9 | Giese, J. and C. Tuxen (2007) Global Liquidity and Asset Prices: Cross-Country Linkages in a GVAR Model Working paper | 0.405 | 1 | 1 | 100% |
| 10 | Gray, D. F., M. Gross, J. Paredes and M. Sydow (2013) Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR IMF Working Paper 13/218 | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 12 scored citations.