From the core to the European periphery: Spillover effects of financial cycles☆

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F25%3A10258407" target="_blank" >RIV/61989100:27510/25:10258407 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S1566014125000548" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1566014125000548</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ememar.2025.101305" target="_blank" >10.1016/j.ememar.2025.101305</a>

Jazyk výsledku

angličtina

Název v původním jazyce

From the core to the European periphery: Spillover effects of financial cycles☆

Popis výsledku v původním jazyce

We construct a comprehensive Financial Cycle Index (FCI), combining credit, credit-to-GDP, house prices, and equity prices, to examine how negative financial shocks from the Euro Area (EA) and the United States (US) transmit to peripheral European economies. Using a Bayesian Global Vector Autoregression (BGVAR) model with stochastic volatility, we find that EA shocks exert stronger effects on inflation and output, underscoring tight regional linkages. In contrast, US shocks drive more persistent declines in short-term interest rates and sharper increases in term premiums, especially in smaller open economies. Replacing the FCI with the Country-Level Index of Financial Stress (CLIFS) reveals faster, more volatile financial-cycle responses in the periphery, but with weaker and shorter-lived real-sector effects, highlighting the role of acute financial stress versus longer-term credit and asset-price dynamics. These core-to-periphery spillovers persist under de facto floating exchange rates and remain robust to macroprudential-policy controls and alternative model specifications.

Název v anglickém jazyce

From the core to the European periphery: Spillover effects of financial cycles☆

Popis výsledku anglicky

We construct a comprehensive Financial Cycle Index (FCI), combining credit, credit-to-GDP, house prices, and equity prices, to examine how negative financial shocks from the Euro Area (EA) and the United States (US) transmit to peripheral European economies. Using a Bayesian Global Vector Autoregression (BGVAR) model with stochastic volatility, we find that EA shocks exert stronger effects on inflation and output, underscoring tight regional linkages. In contrast, US shocks drive more persistent declines in short-term interest rates and sharper increases in term premiums, especially in smaller open economies. Replacing the FCI with the Country-Level Index of Financial Stress (CLIFS) reveals faster, more volatile financial-cycle responses in the periphery, but with weaker and shorter-lived real-sector effects, highlighting the role of acute financial stress versus longer-term credit and asset-price dynamics. These core-to-periphery spillovers persist under de facto floating exchange rates and remain robust to macroprudential-policy controls and alternative model specifications.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Emerging Markets Review

ISSN

1566-0141

e-ISSN

1873-6173

Svazek periodika

68

Číslo periodika v rámci svazku

September

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

25

Strana od-do

101305

Kód UT WoS článku

001527984000001

EID výsledku v databázi Scopus

2-s2.0-105009603133