Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model

Jean-Christophe Poutineau () and Gauthier Vermandel
Additional contact information
Jean-Christophe Poutineau: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper seeks to evaluate quantitatively how interbank and corporate cross-border flows shape business cycles in a monetary union. Using Bayesian techniques, we estimate a two-country DSGE model that distinguishes between Eurozone core and peripheral countries and accounts for national heterogeneities and a set of real, nominal and financial frictions. We find evidence of the key role of this cross-border channel as an amplifying mechanism in the diffusion of asymmetric shocks. Our model also reveals that under banking globalization, most national variables and the central bank interest rate are less sensitive to financial shocks while investment and current account imbalances are more sensitive to financial shocks.Finally, a counterfactual analysis shows that cross-border lending has affected the transmission of the recentfinancial crisis between the two groups of countries.

Keywords: Eurozone; Banking Globalization; Monetary Policy; Financial Accelerator; Interbank Market (search for similar items in EconPapers)
Date: 2015-02
References: Add references at CitEc
Citations: View citations in EconPapers (50)

Published in Journal of Economic Dynamics and Control, 2015, 51, pp.378-403. ⟨10.1016/j.jedc.2014.11.006⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01082798

DOI: 10.1016/j.jedc.2014.11.006

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().