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Assessing Systemic Fragility – a Probabilistic Perspective
(2014-10-01)
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic ...
The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy
(2014-04-01)
After the Global Financial Crisis a controversial rush to fiscal austerity followed in many countries. Yet research on the effects of austerity on macroeconomic aggregates was and still is unsettled, mired by the difficulty ...
Resolution Planning and Structural Bank Reform within the Banking Union
(2014-12-18)
In the aftermath of the global financial crisis, both resolution planning, i.e. contingency planning by both regulated institutions and public authorities in order to prepare their actions in financial crisis, and concepts ...
Saving Europe?: The Unpleasant Arithmetic of Fiscal Austerity in Integrated Economies
(2014-12-12)
Europe’s debt crisis casts doubt on the effectiveness of fiscal austerity in highly-integrated economies. Closed-economy models overestimate its effectiveness, because they underestimate tax-base elasticities and ignore ...
Austerity
(2014-11-19)
We shed light on the function, properties and optimal size of austerity using the standard sovereign model augmented to include incomplete information about credit risk. Austerity is defined as the shortfall of consumption ...
The Output Effect of Fiscal Consolidation Plans
(2014-10-01)
We show that the correct experiment to evaluate the effects of a fiscal adjustment is the simulation of a multi year fiscal plan rather than of individual fiscal shocks. Simulation of fiscal plans adopted by 16 OECD countries ...