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  1. Nowcasting with large Bayesian vector autoregressions
    Autor*in: Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; Monti, Francesca; Sokol, Andrej
    Erschienen: [2020]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the... mehr

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    Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously released (Volume), the complexity of the data covering various sectors of the economy, published in an asynchronous way and with different frequencies and precision (Variety), and the need to incorporate new information within minutes of their release (Velocity). In this paper, we explore alternative routes to bring Bayesian Vector Autoregressive (BVAR) models up to these challenges. We find that BVARs are able to effectively handle the three Vs and produce, in real time, accurate probabilistic predictions of US economic activity and, in addition, a meaningful narrative by means of scenario analysis.

     
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    Sprache: Englisch
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    ISBN: 9789289943703
    Weitere Identifier:
    hdl: 10419/229067
    Schriftenreihe: Working paper series / European Central Bank ; no 2453 (August 2020)
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  2. One scheme fits all
    a central fiscal capacity for the EMU targeting eurozone, national and regional shocks
    Autor*in: Beetsma, Roel; Cimadomo, Jacopo; Spronsen, Josha
    Erschienen: 05 February 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP16829
    Schlagworte: fiscal capacity; Macroeconomic stabilisation; multilevel factor model; Bayesianinference
    Umfang: 1 Online-Ressource (circa 58 Seiten)
  3. One scheme fits all
    a central fiscal capacity for the EMU targeting eurozone, national and regional shocks
    Autor*in: Beetsma, Roel; Cimadomo, Jacopo; Spronsen, Josha van
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper proposes a central fiscal capacity for the euro area that generates transfers in response to euro area, country, and region-specific shocks. The main novelty of this fiscal capacity is that it allows a joint response to these three types... mehr

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    This paper proposes a central fiscal capacity for the euro area that generates transfers in response to euro area, country, and region-specific shocks. The main novelty of this fiscal capacity is that it allows a joint response to these three types of shocks within a single scheme. Based on NUTS3 regional data over the last two decades and regional fiscal multiplier estimates, our analysis shows that - with a limited risk of moral hazard - substantial stabilisation could have been achieved in response to the eurozone and regional shocks, while country-specific shocks were on average less severe and therefore needed less stabilisation.

     
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    ISBN: 9789289951159
    Weitere Identifier:
    hdl: 10419/264491
    Schriftenreihe: Working paper series / European Central Bank ; no 2666 (May 2022)
    Schlagworte: Central scal capacity; macroeconomic stabilisation; multilevel factor model; Bayesian inference
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  4. Enhancing private and public risk sharing
    lessons from the literature and reflections on the COVID-19 crisis
    Autor*in: Cimadomo, Jacopo; Gordo, Esther; Palazzo, Alessandra Anna
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This article surveys the literature on consumption risk sharing, focusing on the findings for the euro area and for the United States, but also presenting evidence for other countries. The literature examined found that risk sharing is higher in more... mehr

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    This article surveys the literature on consumption risk sharing, focusing on the findings for the euro area and for the United States, but also presenting evidence for other countries. The literature examined found that risk sharing is higher in more mature federations, such as the United States, than in the euro area. The papers surveyed suggest that state/country-specific output shocks are primarily smoothed out through the capital and credit channel, whereas the fiscal channel as a minor role, especially in the euro area. Overall, about 70% of shocks is smoothed in the United States while just 40% in the euro area. At the same time, our analysis of the response to the COVID-19 crisis indicates that risk sharing in the euro area has been more resilient than it was during the global financial crisis of 2008-09. Overall, our results point to the need for further improvements to the private and public risksharing channels in the euro area to ensure more effective cushioning against asymmetric shocks and to boost progress towards the completion of European Monetary Union (EMU).

     
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
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    Format: Online
    ISBN: 9789289952477
    Weitere Identifier:
    hdl: 10419/268050
    Schriftenreihe: Occasional paper series / European Central Bank ; no 306 (September 2022)
    Schlagworte: Risk sharing; COVID-19 crisis; EMU reform
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  5. Enhancing private and public risk sharing
    lessons from the literature and reflections on the COVID-19 crisis
    Autor*in: Cimadomo, Jacopo; Gordo, Esther; Palazzo, Alessandra Anna
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This article surveys the literature on consumption risk sharing, focusing on the findings for the euro area and for the United States, but also presenting evidence for other countries. The literature examined found that risk sharing is higher in more... mehr

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    This article surveys the literature on consumption risk sharing, focusing on the findings for the euro area and for the United States, but also presenting evidence for other countries. The literature examined found that risk sharing is higher in more mature federations, such as the United States, than in the euro area. The papers surveyed suggest that state/country-specific output shocks are primarily smoothed out through the capital and credit channel, whereas the fiscal channel as a minor role, especially in the euro area. Overall, about 70% of shocks is smoothed in the United States while just 40% in the euro area. At the same time, our analysis of the response to the COVID-19 crisis indicates that risk sharing in the euro area has been more resilient than it was during the global financial crisis of 2008-09. Overall, our results point to the need for further improvements to the private and public risksharing channels in the euro area to ensure more effective cushioning against asymmetric shocks and to boost progress towards the completion of European Monetary Union (EMU).

     
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    Format: Online
    ISBN: 9789289952477
    Weitere Identifier:
    hdl: 10419/268050
    Schriftenreihe: Occasional paper series / European Central Bank ; no 306 (September 2022)
    Schlagworte: Risk sharing; COVID-19 crisis; EMU reform
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  6. Changing patterns of risk-sharing channels in the United States and the euro area
    Autor*in: Cimadomo, Jacopo; Giuliodori, Massimo; Lengyel, Andras; Mumtaz, Haroon
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and whether they have operated as "complements" or "substitutes". In particular, we focus on the capital channel (income from... mehr

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    In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and whether they have operated as "complements" or "substitutes". In particular, we focus on the capital channel (income from cross-border ownership of productive assets), the credit channel (interstate or cross-country bank lending), and the fiscal channel (federal or international fiscal transfers). We offer three main contributions. First, we propose a time-varying parameter panel VAR model, with stochastic volatility, which allows us to formally quantify time variation in risk-sharing channels. Second, we develop a new test of the complementarity vs. substitutability hypothesis of the three risk-sharing channels, based on the correlation between the impulse responses of these channels to idiosyncratic output shocks. Third, for the United States, we explain time variation in the risk-sharing channels based on some key macroeconomic and financial variables.

     
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    ISBN: 9789289962148
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    Schriftenreihe: Working paper series / European Central Bank ; no 2849
    Schlagworte: Risk-sharing channels; time variation; complementarity; substitutability
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  7. How do experts forecast sovereign spreads?
    Autor*in: Cimadomo, Jacopo; Claeys, Peter; Poplawski-Ribeiro, Marcos
    Erschienen: May 2016
    Verlag:  International Monetary Fund, [Washington, D.C.]

    This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents... mehr

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    This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance-and other economic fundamentals-to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts' expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads

     
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9781484362068
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/16, 100
    Schlagworte: Marktanalyse; Öffentliche Anleihe; Frankreich; Italien; Großbritannien
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  8. Private and public risk sharing in the euro area
    Autor*in: Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo
    Erschienen: [2018]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for... mehr

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    This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of countries. In addition, we present a time-varying test which allows estimating how risk sharing has evolved since the start of the EMU, and in particular during the recent crisis. Our results suggest that, whereas in the early years of the EMU only about 40% of country-specific output shocks were smoothed, in the aftermath of the euro zone's sovereign debt crisis about 65% of these shocks were absorbed, therefore reducing consumption growth differentials across countries. This progressive improvement of the shock-absorption capacity is due to a higher financial integration, but also to the activation of the European Financial Stability Facility (EFSF) and the European Stability Mechanism (ESM) channelling official loans to distressed euro zone economies. We also show that cross-border holdings of equities and debt seem to be more effective than cross-border bank loans in isolating households from country-specific shocks, therefore contributing to consumption smoothing.

     
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    ISBN: 9789289932530
    Weitere Identifier:
    hdl: 10419/183330
    Schriftenreihe: Working paper series / European Central Bank ; no 2148 (May 2018)
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  9. A minimal moral hazard central stabilisation capacity for the EMU based on exports
    Autor*in: Beetsma, Roel; Cima, Simone; Cimadomo, Jacopo
    Erschienen: 15 January 2018
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP 12600
    Schlagworte: Stabilisierungspolitik; Zentralisierung; Eurozone; Moral Hazard; Branche; Außenhandelsstruktur; Außenwirtschaftliches Gleichgewicht; Theorie; EU-Staaten
    Umfang: 50 Seiten, Illustrationen
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  10. A minimal moral hazard central stabilisation capacity for the EMU based on world trade
    Autor*in: Beetsma, Roel; Cima, Simone; Cimadomo, Jacopo
    Erschienen: [2018]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Recent debate has focused on the introduction of a central stabilisation capacity as a completing element of the Economic and Monetary Union. Its main objective would be to contribute cushioning country-specific economic shocks, especially when... mehr

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    Recent debate has focused on the introduction of a central stabilisation capacity as a completing element of the Economic and Monetary Union. Its main objective would be to contribute cushioning country-specific economic shocks, especially when national fiscal stabilisers are run down. There are two main potential objections to such schemes proposed so far: first, they may lead to moral hazard, i.e. weaken the incentives for sound fiscal policies and structural reforms. Second, they may generate permanent transfers among countries. Here we present a scheme that is relatively free from moral hazard, because the transfers are based on changes in world trade in the various sectors. These changes can be considered as largely exogenous, hence independent from an individual government’s policy; therefore, the scheme is better protected against manipulation. Our scheme works as follows: if a sector is hit by a bad shock at the world market level, then a country with an economic structure that is skewed towards this sector receives a (one-time) transfer from the other countries. The scheme is designed such that the transfers add up to zero each period, hence obviating the need for a borrowing capacity. We show that the transfers generated by our scheme tend to be countercyclical and larger when economies are less diversified. In addition, since transfers are based on temporary changes in world trade, the danger of permanent transfers from one set of countries to the other countries is effectively ruled out. Finally, we show that transfers are quite robust to revisions in the underlying export data.

     
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    ISBN: 9789289932424
    Weitere Identifier:
    hdl: 10419/179352
    Schriftenreihe: Working paper series / European Central Bank ; no 2137 (March 2018)
    Schlagworte: Stabilisierungspolitik; Zentralisierung; Eurozone; Moral Hazard; Branche; Außenhandelsstruktur; Außenwirtschaftliches Gleichgewicht; Theorie; EU-Staaten
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  11. Identifying the effects of government spending shocks with and without expected reversal
    an approach based on U.S. real-time data
    Autor*in: Cimadomo, Jacopo; Hauptmeier, Sebastian; Sola, Sergio
    Erschienen: 2011
    Verlag:  European Central Bank, Frankfurt am Main

    This paper investigates how expectations about future government spending affect the transmission of fiscal policy shocks. We study the effects of two different types of government spending shocks in the United States: (i) spending shocks that are... mehr

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    This paper investigates how expectations about future government spending affect the transmission of fiscal policy shocks. We study the effects of two different types of government spending shocks in the United States: (i) spending shocks that are accompanied by an expected reversal of public spending growth below trend; (ii) spending shocks that are accompanied by expectations of future spending growth above trend. We use the Ramey (2011)'s time series of military build-ups to measure exogenous spending shocks, and deviations of forecasts of public spending with respect to past trends, evaluated in real-time, to distinguish shocks into these two categories. Based on a structural VAR analysis, our results suggest that shocks associated with an expected spending reversal exert expansionary effects on the economy and accelerate the correction of the initial increase in public debt. Shocks associated with expected spending growth above trend, instead, are characterized by a contraction in aggregate demand and a more persistent increase in public debt. The main channel of transmission seems to run through agents' perception of the future macroeconomic environment. - Government spending shocks ; Survey of Professional Forecasters ; Real-time data ; Spending reversal ; Fiscal multipliers

     
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    hdl: 10419/153795
    Schriftenreihe: Working paper series / European Central Bank ; 1361
    Schlagworte: Öffentliche Ausgaben; Schock; Prognoseverfahren; Finanzpolitik; Multiplikator; USA
    Umfang: Online-Ressource, (40 S., 1,28 MB)
  12. Fiscal consolidations and bank balance sheets
    Autor*in: Cimadomo, Jacopo; Hauptmeier, Sebastian; Zimmermann, Tom
    Erschienen: 2013
    Verlag:  European Central Bank, Frankfurt am Main

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    Schriftenreihe: Working paper series / European Central Bank ; 1511
    Umfang: Online-Ressource (25 S.)
  13. Transmission of government spending shocks in the Euro area
    time variation and driving forces
    Autor*in: Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian
    Erschienen: 2010

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    Schriftenreihe: Array ; 2010,21
    Schlagworte: Öffentliche Ausgaben; Schock; Geldpolitische Transmission; Strukturwandel; Bayes-Statistik; VAR-Modell; Schätzung; EU-Staaten
    Umfang: 57 S., graph. Darst.
  14. Transmission of government spending shocks in the euro area
    time variation and driving forces
    Autor*in: Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian
    Erschienen: 2010
    Verlag:  European Central Bank, Frankfurt am Main

    This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of... mehr

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    This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying structural VAR techniques. The results show that the short-run effectiveness of government spending in stabilizing real GDP and private consumption has increased until the end-1980s but it has decreased thereafter. Moreover, government spending multipliers at longer horizons have declined substantially over the sample period. We also observe a weaker response of real wages and a stronger response of the nominal interest rate to spending shocks. Second, we provide econometric evidence on the driving forces behind the observed time variation of spending multipliers. We find that a higher ratio of credit to households over GDP, a smaller share of government investment and a larger share of public wages over total government spending have led to decreasing contemporaneous multipliers. At the same time, our results indicate that higher government debt-to-GDP ratios have negatively affected long-term multipliers. - Government spending shocks ; Fiscal transmission mechanism ; Structural change ; Structural vector autoregressions ; Time-varying parameter models

     
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    hdl: 10419/153653
    Schriftenreihe: Working paper series / European Central Bank ; 1219
    Schlagworte: Öffentliche Ausgaben; Schock; Geldpolitische Transmission; Strukturwandel; Bayes-Statistik; VAR-Modell; Schätzung; EU-Staaten
    Umfang: Online-Ressource, (62 S., 2,3 MB)
  15. Fiscal consolidations and banking stability
    Autor*in: Cimadomo, Jacopo; Hauptmeier, Sebastian; Zimmermann, Tom
    Erschienen: 2012
    Verlag:  CEPII, [s.l.]

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    Schriftenreihe: Document de travail / Centre d'Etudes Prospectives et d'Informations Internationales ; 2012,32
    Schlagworte: Kapitalstruktur; Bank; Bilanz; Schätzung; OECD-Staaten
    Umfang: Online-Ressource (38 S.), graph. Darst.
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  16. Transmission of government spending shocks in the Euro area
    time variation and driving forces
    Autor*in: Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian
    Erschienen: 2010
    Verlag:  Tinbergen Inst., Rotterdam [u.a.]

    This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of... mehr

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    This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying structural VAR techniques. The results show that the short-run effectiveness of government spending in stabilizing real GDP and private consumption has increased until the end-1980s but it has decreased thereafter. Moreover, government spending multipliers at longer horizons have declined substantially over the sample period. We also observe a weaker response of real wages and a stronger response of the nominal interest rate to spending shocks. Second, we provide econometric evidence on the driving forces behind the observed time variation of spending multipliers. We find that a higher ratio of credit to households over GDP, a smaller share of government investment and a larger share of public wages over total government spending have led to decreasing contemporaneous multipliers. At the same time, our results indicate that higher government debt-to-GDP ratios have negatively affected long-term multipliers.

     
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    Schriftenreihe: Array ; 2010,021
    Umfang: Online-Ressource (57 S.), graph. Darst.
  17. How do experts forecast sovereign spreads?
    Autor*in: Cimadomo, Jacopo; Claeys, Peter; Poplawski-Ribeiro, Marcos
    Erschienen: May 2016
    Verlag:  International Monetary Fund, [Washington, D.C.]

    This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents... mehr

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    This paper assesses how forecasting experts form their expectations about future government bond spreads. Using monthly survey forecasts for France, Italy and the United Kingdom between January 1993 and October 2014, we test whether respondents consider the expected evolution of the fiscal balance-and other economic fundamentals-to be significant drivers of the expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the fiscal outlook significantly reduces expected sovereign spreads. This suggests that credible fiscal plans affect market experts' expectations and reduce the pressure on sovereign bond markets. In addition, we show that expected fundamentals generally play a more important role in explaining forecasted spreads compared to realized spreads

     
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    ISBN: 9781484362068
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    Schriftenreihe: IMF working paper ; WP/16, 100
    Schlagworte: Marktanalyse; Öffentliche Anleihe; Frankreich; Italien; Großbritannien
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  18. Signals from the government
    policy disagreement and the transmission of fiscal shocks
    Autor*in: Callegari, Giovanni; Cimadomo, Jacopo; Ricco, Giovanni
    Erschienen: 16 Sep 2016
    Verlag:  European Central Bank, Frankfurt am Main, Germany

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    ISBN: 9789289922128
    Weitere Identifier:
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    Schriftenreihe: Working paper series / European Central Bank ; no 1964 (September 2016)
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  19. How do financial institutions forecast sovereign spreads?
    Autor*in: Cimadomo, Jacopo; Claeys, Peter; Poplawski-Ribeiro, Marcos
    Erschienen: 2014
    Verlag:  European Central Bank, Frankfurt am Main

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    Schriftenreihe: Working paper series / European Central Bank ; 1750
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  20. Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy
    Autor*in: Cimadomo, Jacopo; D'Agostino, Antonello
    Erschienen: 2015
    Verlag:  Europ. Central Bank, Frankfurt am Main

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    hdl: 10419/154289
    QB-AR-15-096-EN-N
    Schriftenreihe: Working paper series / European Central Bank ; 1856
    Umfang: Online-Ressource (41 S.), graph. Darst.
  21. Foreign banks and the doom loop
    Autor*in: Albertazzi, Ugo; Cimadomo, Jacopo; Maffei-Faccioli, Nicolò
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper explores whether foreign intermediaries stabilise or destabilise lending to the real economy in the presence of sovereign stress in the domestic economy and abroad. Tensions in the government debt market may lead to serious disruptions in... mehr

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    This paper explores whether foreign intermediaries stabilise or destabilise lending to the real economy in the presence of sovereign stress in the domestic economy and abroad. Tensions in the government debt market may lead to serious disruptions in the provision of lending (i.e., the so-called "doom loop"). In this context, the presence of foreign banks poses a fundamental, yet unexplored, trade-off. On the one hand, domestic sovereign shocks are broadly inconsequential for the lending capacity of foreign banks, given that their funding conditions are not hampered by such shocks. On the other, these intermediaries may react more harshly than domestic banks to a deterioration in local loan risk and demand conditions. We exploit granular and confidential data on euro area banks operating in different countries to assess this trade-off. Overall, the presence of foreign lenders is found to stabilise lending, thus mitigating the doom loop.

     
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    ISBN: 9789289945400
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    hdl: 10419/234094
    Schriftenreihe: Working paper series / European Central Bank ; no 2540 (April 2021)
    Schlagworte: Sovereign stress; International banks; Lending activity
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  22. Foreign banks and the doom loop
    Autor*in: Albertazzi, Ugo; Cimadomo, Jacopo; Maffei-Faccioli, Nicolò
    Erschienen: [2022]
    Verlag:  Norges Bank, Oslo

    This paper explores whether foreign banks stabilise or destabilise lending to the real economy in the presence of sovereign stress in the domestic economy and abroad. In this context, the presence of foreign intermediaries poses a fundamental, yet... mehr

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    This paper explores whether foreign banks stabilise or destabilise lending to the real economy in the presence of sovereign stress in the domestic economy and abroad. In this context, the presence of foreign intermediaries poses a fundamental, yet unexplored, trade-off. On the one hand, domestic sovereign shocks are broadly inconsequential for the lending capacity of foreign banks, given that their funding conditions are not hampered by such shocks. On the other, these intermediaries may react more harshly than domestic banks to a deterioration in local loan risk and demand conditions, or import shocks from their own sovereign. We exploit granular and confidential data on euro area banks operating in different countries to assess this trade-off. Overall, it is found that, under certain conditions, the presence of foreign lenders stabilises lending, thus mitigating the doom loop.

     
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    ISBN: 9788283792249
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    hdl: 11250/2997492
    hdl: 10419/264944
    Schriftenreihe: Working paper / Norges Bank ; 2022, 2
    Schlagworte: Sovereign stress; International banks; Lending activity
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  23. Identifying the effects of government spending shocks with and without expected reversal
    an approach based on U.S. real-time data
    Autor*in: Cimadomo, Jacopo; Hauptmeier, Sebastian; Sola, Sergio
    Erschienen: 2011
    Verlag:  HEID, Genève

    This paper investigates how expectations about future government spending affect the transmission of fiscal policy shocks. We study the effects of two different types of government spending shocks in the United States: (i) spending shocks that are... mehr

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    This paper investigates how expectations about future government spending affect the transmission of fiscal policy shocks. We study the effects of two different types of government spending shocks in the United States: (i) spending shocks that are accompanied by an expected reversal of public spending growth below trend; (ii) spending shocks that are accompanied by expectations of future spending growth above trend. We use the Ramey (2011)’s time series of military build-ups to measure exogenous spending shocks, and deviations of forecasts of public spending with respect to past trends, evaluated in real-time, to distinguish shocks into these two categories. Based on a structural VAR analysis, our results suggest that shocks associated with an expected spending reversal exert expansionary effects on the economy and accelerate the correction of the initial increase in public debt. Shocks associated with expected spending growth above trend, instead, are characterized by a contraction in aggregate demand and a more persistent increase in public debt. The main channel of transmission seems to run through agents’ perception of the future macroeconomic environment. -- Government spending shocks ; Survey of Professional Forecasters ; Real-time data ; Spending reversal ; Fiscal multipliers

     
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    hdl: 10419/77429
    Schriftenreihe: Graduate Institute of International and Development Studies Working Paper ; 2011,12
    Schlagworte: Öffentliche Ausgaben; Schock; Prognoseverfahren; Finanzpolitik; Multiplikator; USA
    Umfang: Online-Ressource (PDF-Datei: 37 S., 288 KB), graph. Darst.
  24. Real-time data and fiscal analysis
    a survey of the literature
    Autor*in: Cimadomo, Jacopo
    Erschienen: 2011
    Verlag:  Federal Reserve Bank of Philadelphia, Research Dep., Philadelphia, Pa.

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    Schriftenreihe: Working papers / Federal Reserve Bank of Philadelphia, Research Department ; 11,25
    Umfang: Online-Ressource (34 S.), graph. Darst.
  25. Discretionary fiscal policies over the cycle
    new evidence based on the ESCB disaggregated approach
    Autor*in: Agnello, Luca; Cimadomo, Jacopo
    Erschienen: 2009
    Verlag:  European Central Bank, Frankfurt am Main

    This paper explores how discretionary fiscal policies on the revenue side of the government budget have reacted to economic fluctuations in European Union countries. For this purpose, it uses data on legislated revenue changes and structural... mehr

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    This paper explores how discretionary fiscal policies on the revenue side of the government budget have reacted to economic fluctuations in European Union countries. For this purpose, it uses data on legislated revenue changes and structural indicators provided twice per year by National Central Banks of European Union countries in the ESCB framework for analysing fiscal policy. The analysis is based on the estimation of fiscal policy rules linking these measures of legislated fiscal policy changes to the output gap and other control variables. Then, baseline results are compared with regression estimates where variations of cyclically-adjusted indicators are used as proxy for discretionary fiscal policies, as conventionally proposed in the empirical literature on fiscal policy. Results suggest that, overall, legislated changes in taxes and social security contributions have responded in a strongly pro-cyclical way to the business cycle, while commonly-used cyclical-adjustment methods point to a-cyclicality. - Discretionary fiscal policies ; government revenues ; cyclical sensitivity ; legislation changes ; narrative approach ; ESCB disaggregated framework

     
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    Schriftenreihe: Working paper series / European Central Bank ; 1118
    Schlagworte: Finanzpolitik; Regelbindung versus Diskretion; Öffentliche Einnahmen; Konjunktur; Aggregation; EU-Staaten
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