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on European Economics |
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Issue of 2021‒10‒25
seven papers chosen by Giuseppe Marotta Università degli Studi di Modena e Reggio Emilia |
| By: | Moder, Isabella |
| Abstract: | This paper provides a comprehensive analysis of the interest rate pass-through of euro area monetary policy to retail rates outside the euro area, contributing to the literature on the consequences of unofficial financial euroisation and on the transmission channels of monetary policy spillovers. The results suggest that in the long run, more than one third of all euro retail rates in euroised countries of central, eastern and south-eastern Europe (CESEE) are linked to the euro area shadow rate. Compared to euro area monetary policy, the share of cointegration of the domestic monetary policy rate is lower, suggesting that domestic central banks in euroised countries with independent monetary policy can only partially control the `euro part´ of the interest rate channel. Furthermore, euro area monetary policy shocks are fast and persistently transmitted into euro retail rates outside the euro area, which constitutes an additional channel of international shock transmission. JEL Classification: C22, C32, E43, E52, F42 |
| Keywords: | EU integration, international monetary policy spillovers, monetary policy transmission, unofficial financial euroisation |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212611&r= |
| By: | Marozzi, Armando |
| Abstract: | This paper proposes an econometric framework for nowcasting the monetary policy stance and decisions of the European Central Bank (ECB) exploiting the ow of conventional and textual data that become available between two consecutive press conferences. Decompositions of the updated nowcasts into variables' marginal contribution are also provided to shed light on the main drivers of the ECB's reaction function at every point in time. In out-of-sample nowcasting experiments, the model provides an accurate tracking of the ECB monetary policy stance and decisions. The inclusion of textual variables contributes significantly to the gradual improvement of the model performance. JEL Classification: E37, E47, E52 |
| Keywords: | dynamic factor model, forecasting, monetary policy, natural language processing |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212609&r= |
| By: | Blattner, Laura; Farinha, Luísa; Nogueira, Gil |
| Abstract: | We provide evidence that the strength of the bank lending channel varies considerably across three major events in the European sovereign debt crisis - the Greek debt restructuring (PSI), outright monetary transactions (OMT), and quantitative easing (QE). We study how lending responds to each shock using detailed bank, firm, and household data from Portugal, a country that was directly exposed to the three events. While the price of sovereign debt securities increased in all three events, banks reduced sovereign debt holdings and realized accumulated capital gains only after QE. As a result, lending to final borrowers reacted more strongly to QE than to the PSI or OMT events. Our results suggest that asset purchases were more effective than signalling events at stimulating the bank lending channel. JEL Classification: E52, E58, G18, G21 |
| Keywords: | asset purchases, bank lending channel, OMT, PSI, QE |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212607&r= |
| By: | Bernd Hayo (Philipps-Universitaet Marburg); Sascha Mierzwa (Philipps-Universitaet Marburg) |
| Abstract: | We study the announcement effect of legislated tax changes on GDP in the US, Germany, and the UK. Using, as the shock of interest, narratively identified information (Romer & Romer, 2009) about future tax changes at the quarter of their introduction to the legislative body, we analyse the dynamic results of Local Projections (Jordà , 2005). We find heterogeneous effects across the three countries: economic activity declines (increases) in the US (the UK), but remains unaffected in Germany. When allowing the responses to vary over the business cycle, we find evidence that US GDP drops regardless of the business cycle, whereas UK GDP rises only during non-recessionary times. We find significant effects for German GDP too: it rises (drops) during recessionary (non-recessionary) times. In general, consumption, investment, and employment follow in the path of GDP. |
| Keywords: | Fiscal policy, tax policy, legislated tax changes, announcement effect, state dependence, United States, Germany, United Kingdom, local projections, narrative approach |
| JEL: | E62 E63 H20 H30 K34 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:mar:magkse:202134&r= |
| By: | Hongyan Liang (Faculty of Business Administration Gies College of Business University of Illinois Urbana-Champaign Champaign IL 61820, USA Author-2-Name: Zilong Liu Author-2-Workplace-Name: Discover Financial Service Riverwoods IL 60015, USA Author-3-Name: Author-3-Workplace-Name: Author-4-Name: Author-4-Workplace-Name: Author-5-Name: Author-5-Workplace-Name: Author-6-Name: Author-6-Workplace-Name: Author-7-Name: Author-7-Workplace-Name: Author-8-Name: Author-8-Workplace-Name:) |
| Abstract: | "Objective - This paper uses a sample of annual observations of European banks to examine whether the liquidity risk affects a bank's risk-taking behavior and its future loan growth. Methodology – A sample of European banks (27 member countries of the European Union plus U.K.) over the period of 2005 to 2019 are used in this study. Liquidity risk is measured by the ratio of liquid assets to total assets. Given the longitudinal nature of the data, the authors use panel regression with bank fixed effects to control for unobserved characteristics that might affect the dependent variable. Findings – The authors find that banks holding more liquid assets take less risk and show a higher subsequent loan growth rate. These results hold for both small and large banks. Novelty – To the authors' best knowledge, this is one of the earliest studies to carefully examine the effects of liquidity risk on risk-taking behavior and loan growth rate for European banks. Our research suggests that the current Basel III requirement on liquidity ratio can decrease bank's risking-taking behavior while not necessarily impact their future loan growth. Type of Paper - Empirical" |
| Keywords: | Bank Liquidity Risk; Risk-taking Behavior; Loan Growth; Basel III |
| JEL: | G21 G01 G18 |
| Date: | 2021–09–30 |
| URL: | http://d.repec.org/n?u=RePEc:gtr:gatrjs:jfbr187&r= |
| By: | Cyprien Batut (PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, DGTPE - Direction Générale du Trésor et de la Politique Economique - Ministère de l'Economie, des Finances et de l'Industrie); Ulysse Lojkine (UPN - Université Paris Nanterre, PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Paolo Santini (PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement) |
| Abstract: | In this paper, we look at the long term evolution of the composition of union membershipin the four largest European countries: France, West Germany, Italy, and the United King-dom. Using unexploited micro data coming from post electoral, labor, and household surveys,we first revisit commonly accepted unionization levels from the past 60 years. We find that,for France and Italy, union density was at time under- and over- estimated respectively. Sec-ond, we present long run evidence on the evolution of the composition of unions in terms ofthe socio-economic characteristics (occupation, length of education, public or private sector,gender) of their members. Two types of unionisation emerge from this analysis. In Franceand Italy, the composition of unions has been primarily determined by structural changesin the composition of the workforce with no notable changes in the selection of the differentgroups into unions when aggregate density varied. In the UK and West Germany, instead,selection into unions has changed dramatically: Blue collars and less educated worker wereover-represented in the '60s, but this has declined over time. We argue that these two typesof unionization are related to the institutional characteristics of each country and show thatthe evolution of selection into union is linked to the public-sectorization of unions: as uniondensity fall, the share of public workers in unions increases. |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:psewpa:halshs-03364022&r= |
| By: | Bazzana, Davide; Colturato, Michele; Savona, Roberto |
| Abstract: | We model the learning process of market traders during the unprecedented COVID-19 event. We introduce a behavioral heterogeneous agents’ model with bounded rationality by including a correction mechanism through representativeness (Gennaioli et al., 2015). To inspect the market crash induced by the pandemic, we calibrate the STOXX Europe 600 Index, when stock markets suffered from the greatest single-day percentage drop ever. Once the extreme event materializes, agents tend to be more sensitive to all positive and negative news, subsequently moving on to close-to-rational. We find that the deflation mechanism of less representative news seems to disappear after the extreme event. |
| Keywords: | Farm Management, Risk and Uncertainty |
| Date: | 2021–10–20 |
| URL: | http://d.repec.org/n?u=RePEc:ags:feemwp:314928&r= |