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  1. ECB-Global 2.0
    a global macroeconomic model with dominant-currency pricing, tariffs and trade diversion
    Autor*in: Georgiadis, Georgios; Hildebrand, Sebastian; Ricci, Martino; Schumann, Ben; Roye, Björn van
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In a highly interlinked global economy a key question is how foreign shocks transmit to the domestic economy, how domestic shocks affect the rest of the world, and how policy actions mitigate or amplify spillovers. For policy analysis in such a... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    In a highly interlinked global economy a key question is how foreign shocks transmit to the domestic economy, how domestic shocks affect the rest of the world, and how policy actions mitigate or amplify spillovers. For policy analysis in such a context global multi-country macroeconomic models that allow a structural interpretation are needed. In this paper we present a revised version of ECB-Global, the European Central Bank's global macroeconomic model. ECB-Global 2.0 is a semi-structural, global multi-country model with rich channels of international shock propagation through trade, oil prices and global financial markets for the euro area, the US, Japan, the UK, China, oil-exporting economies, Emerging Asia, and a rest-of-the-world block. Relative to the original version of model, ECB-Global 2.0 features dominant-currency pricing, tariffs and trade diversion. We illustrate the usefulness of ECBGlobal exploring scenarios motivated by recent trade tensions between China and the US.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945301
    Weitere Identifier:
    hdl: 10419/234084
    Schriftenreihe: Working paper series / European Central Bank ; no 2530 (March 2021)
    Schlagworte: Macro-modelling; multi-country models; spillovers
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. Tracking global economic uncertainty
    implications for the euro area
    Autor*in: Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, Martino
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro area. Our measures display a clear counter-cyclical pattern and line up well to a wide range of historical events generally associated with heightened uncertainty. In addition, following Pier and Podstawski (2018), we estimate a Proxy SVAR where we instrument uncertainty shocks with changes in the price of gold around specific past events. We find that, historically, global uncertainty shocks have been important drivers of fluctuations in euro area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0.15 percentage points from euro area industrial production on impact.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945417
    Weitere Identifier:
    hdl: 10419/234095
    Schriftenreihe: Working paper series / European Central Bank ; no 2541 (April 2021)
    Schlagworte: Uncertainty; Forecast Errors; Stochastic Volatility; Proxy SVAR; Economic Activity
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Using machine learning to measure financial risk in China
    Autor*in: Al-Haschimi, Alexander; Apostolou, Apostolos; Azqueta-Gavaldon, Andres; Ricci, Martino
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we employ topical modelling based on an unsupervised machine learning algorithm to decompose financial risk into its thematic drivers. The resulting aggregated indicator can identify major episodes of overall heightened financial risks in China, which cannot be consistently captured using financial data. Finally, a structural VAR framework is employed to show that shocks to the financial risk measure have a significant impact on macroeconomic and financial variables in China and abroad.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289955096
    Weitere Identifier:
    hdl: 10419/278306
    Schriftenreihe: Working paper series / European Central Bank ; no 2767 (January 2023)
    Schlagworte: China; financial risk; textual analysis; machine learning; topic modelling; LDA
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  4. ECB-Global
    introducing ECB's global macroeconomic model for spillover analysis
    Autor*in: Dieppe, Alistair; Georgiadis, Georgios; Ricci, Martino; Van Robays, Ine; Roye, Björn van
    Erschienen: [2017]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to the domestic economy. We develop a semi-structural multi-country model with rich real and financial channels of international shock... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534 (2045)
    Fernleihe:
    keine Fernleihe

     

    In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to the domestic economy. We develop a semi-structural multi-country model with rich real and financial channels of international shock propagation for the euro area, the US, Japan, the UK, China, oil-exporting economies and the rest of the world: ECB-Global. We illustrate the usefulness of ECB-Global for policy analysis by presenting its predictions regarding the global spillovers from a US monetary policy tightening, a drop in oil prices and a growth slowdown in China. The impulse responses implied by ECB-Global are well in line with those generated by other global models, with international spillovers in ECB-Global generally on the high side given its rich real and financial spillover structure.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289927673
    Weitere Identifier:
    hdl: 10419/162668
    Schriftenreihe: Working paper series / European Central Bank ; no 2045 (April 2017)
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  5. The global effects of global risk and uncertainty
    Autor*in: Bonciani, Dario; Ricci, Martino
    Erschienen: May 2020
    Verlag:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Staff working paper / Bank of England ; no. 863
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  6. The global effects of global risk and uncertainty
    Autor*in: Bonciani, Dario; Ricci, Martino
    Erschienen: [2018]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In this paper, we analyse the effects of a shock to global fnancial uncertainty and risk aversion on real economic activity. To this end, we extract a global factor, which explains approximately 40% of the variance of about 1000 risky asset returns... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534 (2179)
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    In this paper, we analyse the effects of a shock to global fnancial uncertainty and risk aversion on real economic activity. To this end, we extract a global factor, which explains approximately 40% of the variance of about 1000 risky asset returns from around the world. We then study how shocks to the factor affect economic activity in 36 advanced and emerging small open economies by estimating local projections in a panel regression framework. We find the output responses to be quite heterogeneous across countries but, in general, negative and persistent. Furthermore, the effects of shocks to the global factor are stronger in countries with a higher degree of trade and/or financial openness, as well as in countries with higher levels of external debt, less developed financial sectors, and higher risk rating.

     
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    Volltext (kostenfrei)
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289932844
    Weitere Identifier:
    hdl: 10419/183361
    Schriftenreihe: Working paper series / European Central Bank ; no 2179 (September 2018)
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen