Government bond spreads We provide evidence that the movements in yield differentials between euro zone government bonds explained by changes international risk factors – as measured banking and corporate premiums United States are more pronounced for issued Italy Spain. Liquidity play a smaller role, so policies meant to increase financial market efficiency do not appear sufficient deliver ‘seamless’ area. The of default is small but important component movements, which signal perceptions...

Abstract Measures of technical and scale efficiencies are derived in the Italian banking industries by implementing non-parametric Data Envelopment Analysis on a cross section 174 banks taken 1991. The methodology parametric approaches to measure efficiency discussed. existence both allocative is established. This result robust modifications specification inputs outputs suggested Intermediation Approach Asset Approach. In traditional modified allow an explicit role for financial capital....

Journal Article Applied Econometric Techniques Get access Techniques. By Keith Cuthbertson, Stephen G. Hall and Mark P. Taylor. (New York London: Philip Allan, 1991. Pp. xiii + 274. £45.00 hardback. ISBN 0 86003 084 9.) Carlo A. Favero Queen Mary Westfield CollegeUniversity of london Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 102, Issue 415, 1 November 1992, Pages 1572–1574, https://doi.org/10.2307/2234832 Published: 01 1992

Abstract The paper explores the determinants of yield differentials between sovereign bonds, using euro-area data. There is a common trend in differentials, which correlated with measure aggregate risk. In contrast, liquidity display sizeable heterogeneity and no factor. We propose simple model endogenous demand, where bond’s premium depends both on its transaction cost investment opportunities. predicts that should increase risk, an interaction term opposite sign. Testing these predictions...

Immediate challenges for the ECB Issues in formulating a single monetary policy This paper discusses number of issues that newly constituted board will face early on. Conducting European be very different from living under protective umbrella Bundesbank. We discuss voting on board, and argue ability to communicate with public critical success new institution. also ask how – common change interest rate controlled by is transmitted economy each member country. show process differs...

The rate of inflation in the U.S. has declined from an average 4.5% period 1960–79 to 3.6% 1980–98. Between those two periods, standard deviations and output gap have also declined. These facts can be attributed interaction three possible factors: a shift central bank preferences, reduction variability aggregate supply shocks, more efficient conduct monetary policy. In this paper we identify relative roles these factors. Our framework is based on estimation small structural macro model for...

This paper argues in favor of empirical models built by including fiscal VAR structural shocks identified via the narrative method. We first show that “narrative” are orthogonal to relevant information set a VAR. then derive impulse responses these shocks. The use does not require inversion moving-average representation for identification Therefore, within this framework, multipliers can be and estimated even when, presence “fiscal foresight,” MA VARs is invertible. (JEL C32, E62, H20, H62, H63)

Abstract The empirical analysis of monetary policy requires the construction instruments for future expected inflation. Dynamic factor models have been applied rather successfully to inflation forecasting. In fact, two competing methods recently developed estimate large‐scale dynamic based, respectively, on static and principal components. This paper combines econometric literature components policy. We assess extracting factors basis their success in instrumenting use large data sets...

In this paper, we provide new evidence on the determinants of sovereign yield spreads and ‘market sentiment’ effects in eurozone order to evaluate rationale for a common Eurobond jointly guaranteed by Member States. We find that default risk is main driver spreads, suggesting small gains from greater liquidity. Fiscal fundamentals matter pricing but only as they interact with other countries’ spreads; is, global market perceives. More importantly, impact variable not constant over time,...

A shift in taxes or government spending (a "fiscal shock") at some point time puts a constraint on the path of and future, since intertemporal budget will eventually have to be met.This simple fact is surprisingly overlooked analyses effects fiscal policy based Vector AutoRegressive models.We study shocks keeping track debt dynamics that arises following shock, allowing for possibility taxes, interest rates might respond level debt, as it evolves over time.We show omitting feedback can...

We review the debate surrounding macroeconomic effects of deficit reduction policies (austerity). The discussion about "austerity" in general has distracted commentators and policymakers from a very important result, namely enormous difference, on average, between expenditure- tax-based austerity plans. Spending-based plans are remarkably less costly than former have average close to zero effect output lead debt/GDP ratio. Tax-based opposite cause large long-lasting recessions. These results...

We provide, calibrate and test a realistic model of the spread SARS-Cov-2 in an economy with different risks related to age sectors. The considers hospital congestion response individuals adjusting their behavior virus' spread. measure precisely size these effects using real data for Italy on intensive care capacity mobility decisions; thus our claim is that tradeoffs we estimate are quantitatively, rather than qualitatively, approximately correct. characterize policies containment epidemic...

This paper studies whether fiscal corrections cause large output losses. We find that it matters crucially how the correction occurs. Adjustments based upon spending cuts are much less costly in terms of losses than tax-based ones. Spending-based adjustments have been associated with mild and short-lived recessions, many cases no recession at all. Tax-based prolonged deep recessions. The difference cannot be explained by different monetary policies during two types adjustments. Studying...

We investigate the macroeconomic effects of fiscal consolidations based upon government spending cuts, transfers cuts and tax hikes.We extend a narrative dataset consolidations, with details on over 3500 measures for 16 OECD countries.We show that in are much less harmful than hikes, despite fact nondistortionary not classified as spending.Standard New Keynesian models robustly match our results when shocks persistent.Wealth aggregate demand mitigate impact persistent cut.Static distortions...

Abstract The conventional wisdom is (i) that fiscal austerity was the main culprit for recessions experienced by many countries, especially in Europe, since 2010 and (ii) this round of consolidation much more costly than past ones. contribution paper a clarification first point and, if not clear rejection, at least it raises doubts on second. In order to obtain these results we construct new detailed “narrative” dataset which documents size composition plans implemented several countries...

Available studies on asymmetries in the monetary transmission mechanism within Europe are invariably based macro-economic evidence: such evidence is abundant but often contradictory. This paper takes a different route by using micro-economic data. We use information contained balance sheets of individual banks (available from BankScope database) to implement case-study response France, Germany, Italy and Spain tightening. The episode we study occurred during 1992, when conditions were...

We employ Markov-switching regression methods to estimate fiscal policy feedback rules in the U.S. for period 1960-2002. Our approach allows capture regime changes endogenously. reach three main conclusions. First, may be characterized, according Leeper (1991) terminology, as active from 1960s throughout 1980s, switching gradually passive early 1990s and back 2001. Second, regime-switching are capable of tracking time-series behaviour primary deficit better than based on a constant parameter...

This paper is a first attempt at evaluating the determinants of interest rate differentials on government bonds between high yielders, namely Italy, Spain and Sweden, Germany. In particular we concentrate daily frequencies, where relevance economic fundamentals rather limited, address question relative importance local global factors in determination such spread. We identify measure three components total yield differentials: one due to expectations exchange depreciation – which call factor...