Arbeitspapier
Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach
During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world-wide exchange rates. This paper aims to analyze these dynamics empirically. We estimate a Global VAR (GVAR) model for nine EMU countries plus Japan, the United Kingdom as well as the United States and identify structural risk shocks using sign restrictions, which are based on a theoretical model by Acharya et al. (2014, JF). Our results indicate that spillover effects of general risk are much stronger than those of bailouts. Furthermore, we demonstrate that the Euro depreciates significantly against the Yen and US Dollar following general risk shocks in the euro area and only to a small extent following bailout shocks. The Pound Sterling is not affected by any of these shocks. The Euro variability is, from the EMU perspective, mainly driven by shocks stemming from large countries (e.g. Germany, France and Italy). However, shocks from third countries also play an important role.
- ISBN
-
978-3-95729-312-1
- Language
-
Englisch
- Bibliographic citation
-
Series: Bundesbank Discussion Paper ; No. 42/2016
- Classification
-
Wirtschaft
Large Data Sets: Modeling and Analysis
Foreign Exchange
National Debt; Debt Management; Sovereign Debt
- Subject
-
credit default swaps
bailouts
exchange rates
global var
- Event
-
Geistige Schöpfung
- (who)
-
Bettendorf, Timo
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bettendorf, Timo
- Deutsche Bundesbank
Time of origin
- 2016
Other Objects (12)
Uncertainty and spillover effects across the euro area
The euro’s trade effects
Steering the Unsteerable? Aggregate Fiscal Stance and Spillover Effects in the Euro Area
Sovereign default and the euro
Country and sector-specific spillover effects in the Euro area, the United States and Japan
Country and sector-specific spillover effects in the euro area, the United States and Japan
Wealth effects in the euro area
Revisiting the Euro’s Trade Cost and Welfare Effects
Revisiting the Euro’s Trade Cost and Welfare Effects
The global effects of the euro debt crisis
Spillover effects from euro area monetary policy across the EU : A factor-augmented VAR approach
Spillover effects from euro area monetary policy across the EU: A factor-augmented VAR approach
Uncertainty and spillover effects across the euro area
The euro’s trade effects
Steering the Unsteerable? Aggregate Fiscal Stance and Spillover Effects in the Euro Area
Sovereign default and the euro
Country and sector-specific spillover effects in the Euro area, the United States and Japan
Country and sector-specific spillover effects in the euro area, the United States and Japan
Wealth effects in the euro area
Revisiting the Euro’s Trade Cost and Welfare Effects
Revisiting the Euro’s Trade Cost and Welfare Effects
The global effects of the euro debt crisis
Spillover effects from euro area monetary policy across the EU : A factor-augmented VAR approach
Spillover effects from euro area monetary policy across the EU: A factor-augmented VAR approach
Uncertainty and spillover effects across the euro area
The euro’s trade effects
Steering the Unsteerable? Aggregate Fiscal Stance and Spillover Effects in the Euro Area
Sovereign default and the euro
Country and sector-specific spillover effects in the Euro area, the United States and Japan
Country and sector-specific spillover effects in the euro area, the United States and Japan
Wealth effects in the euro area
Revisiting the Euro’s Trade Cost and Welfare Effects
Revisiting the Euro’s Trade Cost and Welfare Effects
The global effects of the euro debt crisis
Spillover effects from euro area monetary policy across the EU : A factor-augmented VAR approach