Arbeitspapier
Heterogeneity, co-movements and financial fragmentation within the euro area
In this article we analyse the degree of commonality across euro area countries in the bank lending rates and credit volumes. Using a time-varying two-level dynamic factor model, we disentangle the relative importance of country-specific and common components in explaining the variance of the macro and financial variables. Our results show that a high share is explained by the common component. However, we find a persistent decline in the importance of the common factor in the bank lending rates, indicating the presence of financial fragmentation. There is heterogeneity across member states, specifically those hit hard by the crisis. We observe high commonality in the financial variables, which increases in periods of high financial volatility.
- ISBN
-
978-3-96973-085-0
- Sprache
-
Englisch
- Erschienen in
-
Series: Ruhr Economic Papers ; No. 927
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
- Thema
-
Co-movements
financial fragmentation
dynamic factor model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Arce-Alfaro, Gabriel
Blagov, Boris
- Ereignis
-
Veröffentlichung
- (wer)
-
RWI - Leibniz-Institut für Wirtschaftsforschung
- (wo)
-
Essen
- (wann)
-
2021
- DOI
-
doi:10.4419/96973085
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Arce-Alfaro, Gabriel
- Blagov, Boris
- RWI - Leibniz-Institut für Wirtschaftsforschung
Entstanden
- 2021
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