Ei saatavilla suomeksi
Lennart Brandt
- 28 May 2021
- WORKING PAPER SERIES - No. 2560Details
- Abstract
- Understanding euro area financial market dynamics requires looking beyond borders. We introduce a novel Bayesian structural VAR model designed to jointly estimate the main drivers of euro area financial asset prices on a daily basis. The model explicitly accounts for transatlantic spillovers and the distinctive influence of the United States, particularly through its monetary policy and its role as a safe haven during periods of heightened risk aversion. The results show that euro area financial markets are influenced by a complex interplay of domestic factors, US influences, and global risk shocks, which can either amplify or mitigate financial dynamics at home. These significant spillovers can pose substantial challenges for monetary policy, particularly amidst economic and monetary policy divergence.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy