- â— Nominal government transfers to households (Paredes et al. (2009) database, with updates by authors); nominal government debt; nominal government interest payments Rest-of-world variables: Trade weighted average of GDP of 41 EA trading partners (current and constant prices); Nominal effective exchange rate (trade weighted average of 41 bilateral EA-trading partner exchange rates). US federal funds rate (used as a proxy of the world interest rate). Sources: DG ECFIN, ECB Monthly Bulletin, Eurostat national accounts, IMF International Financial Statistics, US Federal Reserve, Bloomberg.
Paper not yet in RePEc: Add citation now
- â— Short term government bond rate; household mortgage interest rate (available since 2003 only).
Paper not yet in RePEc: Add citation now
- A2. Estimates of bank asset losses and of government support for banks in the EA To construct an estimate of EA bank losses, we compute the sum of the write-downs of the 36 largest EA banks, as reported by Bloomberg (see Roeger and in’t Veld (2012)). That data is available for the period 2007q3-2010q4. These 36 banks account for 80% of total EA bank assets. We multiplied aggregate write-downs for these banks by a factor 1/0.8 to construct an estimate of total EA bank write-downs, and we added EA government purchases of impaired bank assets to the scaled series (see below). The estimation uses the resulting 2007q3-2010q4 series, as an empirical measure of EA bank loan losses. We treat loan losses in 2011 as a latent variable.Theloanlosses (with model implied estimates for 2011) are shown in Figure 4.
Paper not yet in RePEc: Add citation now
- Adjemian, S., H. Bastani, M. Juillard, F. Mihoubi, G. Perendia, M. Ratto, and S. Villemot (2011). DYNARE: Reference manual, version 4. DYNARE Working Paper Series, 1. http://ideas.repec.org/p/cpm/dynare/001.html.
Paper not yet in RePEc: Add citation now
Aschauer, David. 1989. Is Public Expenditure Productive? Journal of Monetary Economics 23, 177-282.
Barro, Robert. 1990. Government Spending in a Simple Model of Endogenous Growth. Journal of Political Economy 98, S103-S125.
Basu, Parantap and Robert Kollmann. 2012. Productive Government Expenditures and the Real Exchange Rate. The Manchester School (forthcoming).
- Bianchi, J., 2012. Efficient Bailouts? Working Paper, Ney York University.
Paper not yet in RePEc: Add citation now
Calvo, Guillermo. 1983. Staggered Prices in a Utility-Maximizing Framework. Journal of Monetary Economics 12, 383–398.
Campbell, John and Gregory Mankiw. 1989. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence. NBER Macro Annual 4, 185-216 Campbell, John and Gregory Mankiw. 1991. The Response of Consumption to Income--a Cross Country Investigation. European Economic Review 35, 723-276 Coenen, Günter, Chris Erceg, Charles Freedman, Davide Furceri, Michael Kumhof, René Lalonde, Douglas Laxton, Jesper Lindé, Annabelle Mourougane, Dirk Muir, Susanna Mursula, Carlos de Resende, John Roberts, Werner Roeger, Stephen Snudden, Mathias Trabandt and Jan in ’t Veld. 2012. Effects of Fiscal Stimulus in Structural Models. American Economic Journal: Macroeconomics, 4: 22-68.
Coenen, Günter, Roland Straub and Mathias Trabandt. 2012. Gauging the Effects of Fiscal Stimulus Packages in the Euro Area. Working Paper, ECB.
Curdia, Vasco and Michael Woodford. 2009. Credit Frictions and Optimal Monetary Policy. Working Paper, Columbia University.
Drautzburg, Thorsten and Harald Uhlig. 2011. Fiscal Stimulus and Distortionary Taxation. NBER Working Paper 17111.
Erceg, Christopher, Andrew Levin and Dale Henderson. 2000. Optimal Monetary Policy with Staggered Wage and Price Contracts. Journal of Monetary Economics 46, 281–313.
- Forni, Lorenzo and Massimiliano Pisani. 2010. Fiscal Policy in an Open Economy: Estimates for the Euro Area. Working Paper, Bank of Italy.
Paper not yet in RePEc: Add citation now
Forni, Lorenzo, L. Monteforte and Luca Sessa, 2009. The General Equilibrium Effects of Fiscal Policy: Estimates for the Euro Area. Journal of Public Economics 93, 559585.
Freixas, Xavier and Jean-Charles Rochet. 2008. Microeconomics of Banking. The MIT Press, Cambridge.
Gerali, Andrea, Stefano Neri, Luca Sessa and Federico Signoretti. 2010. Credit and Banking in a DSGE Model of the Euro Area. Journal of Money, Credit and Banking 42, 107-141.
- Government support for banks during the financial crisis were concentrated in the year 2009 (Laeven and Valencia (2011)). Data on government support for banks in 2009 are reported in Table 3. (Source: European Commission services, based on surveys of euro area member states.) The bank support measures included recapitalizations (‘capital injections into financial institutions’) and purchases of impaired (‘toxic’) assets by governments (‘impaired asset relief mechanisms’). The estimation uses the sum of recapitalizations and purchases of impaired assets by EA governments (in 2009) as an empirical measure of the theoretical bank rescue measure. Bank losses are assumed to equal zero, in the rest of the sample period.
Paper not yet in RePEc: Add citation now
- Haavio, Markus, Antti Ripatti and Tuomas Takalo. 2012. Macroeconomic Effects of Bank Recapitalizations. Working Paper, Bank of Finland.
Paper not yet in RePEc: Add citation now
Iacoviello Matteo and Stefano Neri. 2010. Housing market spillovers: evidence from an estimated DSGE model. American Economic Journal, Macroeconomics 2, 125-64.
Iacoviello, Matteo. 2005. House prices, collateral constraints and monetary policy in the business cycle. American Economic Review 95, 739—764.
In’t Veld, Jan, Rafal Raciborski, Marco Ratto and Werner Roeger. 2011. The Recent Boom-Bust Cycle: the Relative Contribution of Capital Flows, Credit Supply and Asset Bubbles. European Economic Review, 55: 386-406.
Johnson, David, Jonathan Parker, and Nicholas Souleles. 2006. Household Expenditure and the Income Tax Rebates of 2001. American Economic Review 96, 1589-1610 Kollmann, Robert. 2001. The Exchange Rate in a Dynamic-Optimizing Business Cycle Model with Nominal Rigidities: A Quantitative Investigation, Journal of International Economics 55, 243-262.
Kollmann, Robert, Werner Roeger and Jan in’t Veld. 2012. Fiscal Policy in a Financial Crisis: Standard Policy vs. Bank Rescue Measures. American Economic Review 102, 77-81.
Kollmann, Robert, Zeno Enders and Gernot Müller. 2011. Global Banking and International Business Cycles. European Economic Review, 55: 407-426.
Kollmann, Robert. 2002. Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles, Journal of Monetary Economics 49, 989-1015.
Kollmann, Robert. 2012. Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Models. Discussion Paper 8985, CEPR.
Laeven, Luc and Fabian Valencia. 2011. The Real Effects of Financial Sector Interventions during Crises. Working Paper 11/45, International Monetary Fund.
Leeper, Eric, Michael Plante and Nora Trauma. 2010. Dynamics of Fiscal Financing in the United States. Journal of Econometrics 156, 304-321.
Leeper, Eric, Nora Traum and Todd Walker, 2011. The Fiscal Multiplier Morass: a Bayesian Perspective. NBER Working Paper 17444.
Mankiw, Gregory. 2000. The Savers-Spenders Theory of Fiscal Policy. American Economic Review 90, 120–125. Meh, Césaire and Kevin Moran. The Role of Bank Capital in the Propagation of Shocks, Journal of Economic Dynamics and Control 34, 555-576.
Otrok, Christopher. 2001. On Measuring the Welfare Cost of Business Cycles. Journal of Monetary Economics 47, 61-92.
Paredes, Joan, Diego Pedregal and Javier Pérez. 2009. A Quarterly Fiscal Database for the Euro Area Based on Intra-Annual Fiscal Information, ECB Working Paper 1132.
- Ratto, Marco, Azzini, Ivano, Bastani, Houtan and Sébastien Villemot. 2011. Betaversion of parallel routines: user manual. EUR – Scientific and Technical Research series – ISSN 1831-9424, DOI: 10.2788/97390.
Paper not yet in RePEc: Add citation now
- Ratto, Marco, Werner Roeger and Jan in't Veld. 2009. Fiscal Policy in an Estimated Open-Economy Model for the Euro Area. Economic Modeling 26, 222-233.
Paper not yet in RePEc: Add citation now
- Roeger, Werner and Jan in’t Veld. 2012. Evaluating the Macroeconomic Effects of Government Support Measures for Financial Institutions in the EU. European Economy Papers 453, European Commission.
Paper not yet in RePEc: Add citation now
Sandri, Damiano and Fabian Valencia. 2012. Balance-Sheet Shocks and Recapitalizations. IMF Working Paper WP/12/68, International Monetary Fund.
Sierminska, Eva. 2006. The Luxembourg Wealth Study – A Cross-Country Database for Household Wealth Research. Journal of Economic Inequality 4.
Souleles, Nicholas. 2002. Consumer Response to the Reagan Tax Cuts. Journal of Public Economics 85, 99-120 Turnovsky, Stephen. 1999. Productive Government Expenditure in a Stochastically Growing Economy. Macroeconomic Dynamics 3, 544-70.
Woodford, Michael. 1990. Public Debt as Private Liquidity. American Economic Review 80, 382-388. DATA APPENDIX A1. The following variables are used as observables Euro Area variables: â— GDP, private consumption, government consumption, private non-residential investment, residential investment, government investment, net exports, employment. The estimation uses there variables at constant prices, plus corresponding deflators (where appropriate). As empirical measures of investment efficiency shocks, we use the ratios of private nonresidential investment deflators, of private residential investment deflators, and of government investment, to the CPI. â— Residential property prices (new and existing dwellings) â— Bank capital to asset ratio; mortgage loans to households; bank write-downs (see below); government support for banks (see below).