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作者：Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
摘要：In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollardenominated bonds issued by over 50 countries from 1995 to 2020 and use various indicators to measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global financial ...
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作者：Passadore, Juan; Xu, Yu
作者单位：University of Delaware
摘要：We study sovereign debt and default policies when credit and liquidity risk are jointly determined. To account for both types of risks, we focus on an economy with incomplete markets, limited commitment, and search frictions in the secondary market for sovereign bonds. We quantify the effect of liquidity on sovereign spreads and welfare by performing quantitative exercises when our model is calibrated to match key features of the Argentinean default in 2001. From a positive point of view, we f...
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作者：Gelos, Gaston; Gornicka, Lucyna; Koepke, Robin; Sahay, Ratna; Sgherri, Silvia
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK
摘要：We propose a new quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on changes in global financial conditions, domestic structural characteristics, and policies. The approach allows us to differentiate between the impact on the median versus the tails of the future predicted density of flows, and between short-and medium-term effects. We find that FX-and macroprudential interventions are effective in mitigating downsi...
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作者：Jarocinski, Marek
作者单位：European Central Bank
摘要：News about the economy contained in a central bank announcement can affect public expec-tations. This paper shows, using both event studies and vector autoregressions, that such cen-tral bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, and for most of this co-movement around ECB policy announcements. Consequently, ECB surprise i...
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作者：Hoffmann, Mathias; Maslov, Egor; Sorensen, Bent E.
作者单位：University of Zurich; University of Zurich; University of Houston System; University of Houston; Leibniz Association; Ifo Institut; Australian National University; Centre for Economic Policy Research - UK
摘要：After the inception of the euro, the real economy in most member countries remained dependent on credit by domestic banks, which increasingly funded themselves through cross-border interbank funding. We find that this pattern of 'double-decker' banking integration exposed domestic banks to sharp declines in cross-border interbank lending during the eurozone crisis. As a result, domestic banks reduced lending, which led to large declines in output in sectors with many small (bank-dependent) fir...
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作者：Abramson, Boaz; Shayo, Moses
作者单位：Stanford University; Hebrew University of Jerusalem; University of London; King's College London
摘要：This paper contributes to the literature incorporating social identity into international economics. We develop a theoretical framework for studying the interplay between international integration and identity politics, taking into account that both policies and identities are endogenous. We find that, in general, a union is more fragile when peripheral member countries have higher status than the politically dominant Core countries, as this leads in equilibrium to stronger national identifica...
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作者：Cesa-Bianchi, Ambrogio; Sokol, Andrej
作者单位：Bank of England; Centre for Economic Policy Research - UK; European Central Bank
摘要：We provide evidence on the international transmission of US financial shocks, and compare their effects to monetary policy and central bank information shocks in a two-country SVAR for the US and the UK. Adverse financial shocks trigger a contraction in the US economy and an increase in credit spreads. The tightening in US credit conditions is quickly transmitted internationally, leading to an increase in credit spreads and a slowdown in economic activity in the UK. As for monetary policy and ...
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作者：Corsetti, Giancarlo; Crowley, Meredith; Han, Lu
作者单位：University of Cambridge; Centre for Economic Policy Research - UK; University of Liverpool
摘要：We provide micro-econometric evidence that, following the large and persistent sterling depreciation after the Brexit referendum, on impact, exchange rate pass-through (ERPT) was complete for transactions invoiced in producer currency and low for sales invoiced either in a vehicle or in the destination market currency. Yet these differences strikingly narrowed within six quarters. A weaker currency did not translate into a persistent gain in price competitiveness for UK exports. At a granular ...
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作者：Frankel, Jeffrey; Rey, Helene
作者单位：Harvard University; University of London; London Business School
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作者：Kokovin, Sergey; Molchanov, Pavel; Bykadorov, Igor
作者单位：Russian Academy of Sciences; Siberian Branch of the Russian Academy of Sciences; Sobolev Institute of Mathematics; Novosibirsk State University; HSE University (National Research University Higher School of Economics); Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite
摘要：We study the canonical Krugman (1979) trade model with non-CES preferences that yield autarky at finite trade costs. We prove a non-monotone impact of gradual trade liberalization. At first, near autarky, emerging trade reduces world welfare, while at free trade it becomes large enough to be beneficial (Krugman's result). This non-monotonicity persists under heterogenous firms. The harmful small-scale trade is explained by variable markups and underpriced imports, which become socially excessi...
