Debt Deflation, Financial Market Stress and Regime Change Evidence from Europe Using MRVAR

Author:

Ernst Ekkehard,Semmler Willi,Haider Alexander

Publisher

Elsevier BV

Reference62 articles.

1. while the GVAR data, together with the MFI interest rate statistics of the ECB 82 , were used for computing the interest rate. The data runs from 1980 until 2013 on a quarterly basis. Smith and Galesi (2014) obtain their data from the International Financial Statistics (IFS) provided by the IMF. GDP is a real index with base year;A 4 dimensional MRVAR is estimated for Spain and Italy as well,2005

2. Government Bonds concept) and augment it with long-term borrowing from the MFI interest rate statistics. The interest rate was computed the following way: from 1980 until 2003 we use the GVAR data which has been detrended by a linear trend. From 2003 until 2013 the GVAR interest rate is substituted for the MFI interest rate;For Spain and Italy we also utilize the long-term interest rate of the GVAR project (concept: Interest Rates, Government Securities

3. Default risk and income fluctuations in emerging economies;C Arellano;American Economic Review,2008

4. A Phillips Curve with Anchored Expectations and Short-Term Unemployment

5. Nonmonetary Effects of the Financial Crisis in Propagation of the Great Depression;B S Bernanke;American Economic Review,1983

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