This paper estimates the contribution of financial shocks to fluctuations in the real economy by augmenting the standard macroeconomic vector autoregression (VAR) with five financial variables (real stock prices, real house prices, term spread, loans-to-GDP ratio and loans-todeposits ratio). This VAR is estimated separately for 19 industrialised countries over 1980Q1-2010Q4 using three alternative [...]
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Posted on March 13th, 2012
Posted on December 18th, 2011
This paper uses survey evidence to analyse the response of Luxembourg firms to the economic and financial crisis in 2008-2009. Approximately three out of four firms reported that they were negatively affected by the crisis, mostly due to a fall in demand, but also due to financing difficulties and difficulties being paid for [...] Posted on October 31st, 2011
The sovereign debt crises in several Member States of the euro area and financial markets turmoil have disclosed the need for a strengthening of the institutional framework up of the European Monetary Union. According to Yves Mersch, “remembering core elements of the Werner Plan, a single monetary policy needs support from sound [...] Posted on October 25th, 2011
This paper investigates the effects of home country banking regulations on the performance of foreign banks in Luxembourg’s financial center. The authors control for the main regulatory indicators, such as capital requirements, private monitoring, official disciplinary power and restrictions on bank activities, accounting for the regulatory regime applied to foreign banks. They also [...] Posted on October 10th, 2011
The stress testing literature abounds with reduced-form macroeconomic models that are used to forecast the evolution of the macroeconomic environment in the context of a stress testing exercise. These models permit supervisors to estimate counterparty risk under both baseline and adverse scenarios. However, the large majority of these models are founded on the [...] 4 pages
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