European Business Schools Librarian's Group

Department of Economics Working Papers,
Vienna University of Economics and Business, Department of Economics

2017

No 253: Effectiveness of macroprudential policies under borrower heterogeneity
Maria Teresa Punzi and Katrin Rabitsch

No 252: Europa zwischen Globalisierung und Renationalisierung
Karl Aiginger

No 251: Human Capital in a Credit Cycle Model
Ingrid Kubin and Thomas O. Zörner

No 250: Threshold cointegration and adaptive shrinkage
Florian Huber and Thomas Zörner

No 249: Renewable Energy Sources and Investment in European Power Transmission Networks
Kaloud Tobias

No 248: Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy
Martin Feldkircher Author-Email: martin.feldkircher@oenb.at Author-WorkPlace-Name: Oesterreichische Nationalbank (OeNB) and Vienna University of Economics and Business Note: PDF Document Keywords: Euro area monetary policy, quantitative easing, spillovers Classification-JEL: C30, E52, F41, E32 Abstract: As a consequence of asset purchases by the European Central Bank (ECB), longer-term yields in the euro area decline, and spreads between euro area long-term yields narrow. To assess spillovers of these recent financial developments, we use a Bayesian variant of the global vector autoregressive (BGVAR) model with stochastic volatility and propose a novel mixture of zero impact and sign restrictions that we impose on the cross-section of the data. Both shocks generate positive and significant spillovers to industrial production in Central, Eastern and Southeastern Europe (CESEE) and other non-euro area EU member states. These effects are transmitted via the financial channel (mainly through interest rates and equity prices) and outweigh costs of appreciation pressure on local currencies vis-a-vis the euro (trade channel). While these results represent general trends, we also find evidence for both cross-country heterogeneity of effects within the euro area and region-specific spillovers thereof. Thomas Gruber Author-Email: thomas.gruber@oenb.at Author-WorkPlace-Name: Oesterreichische Nationalbank (OeNB) Author-Name: Florian Huber Author-Email: florian.huber@wu.ac.at Author-WorkPlace-Name: Department of Economics

No 247: Do individual salaries depend on the performance of the peers? Prototype heuristic and wage bargaining in the NBA
Harald Oberhofer and Marian Schwinner

No 246: Spotlight on the beneficiaries of EU regional funds: A new firm-level dataset
Julia Bachtrögler, Christoph Hammer, Wolf Heinrich Reuter and Florian Schwendinger

No 244: Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models
Florian Huber

No 243: The shortage of safe assets in the US investment portfolio: Some international evidence
Florian Huber and Maria Teresa Punzi

No 242: The true art of the tax deal: Evidence on aid flows and bilateral double tax agreements
Julia Braun and Martin Zagler

No 241: Borrower heterogeneity within a risky mortgage-lending market
Maria Teresa Punzi and Katrin Rabitsch

No 240: Bilateral Trade Agreements and Trade Distortions in Agricultural Markets
Cornelius Hirsch and Harald Oberhofer

No 239: The role of US based FDI flows for global output dynamics
Florian Huber, Manfred M. Fischer and Philipp Piribauer

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