This paper investigates the effects of equity market integration on the transmission of monetary ... more This paper investigates the effects of equity market integration on the transmission of monetary policy shocks. Based on the assumption that financial market liberalization and integration lead to falling portfolio holding costs, we analyze its effect on a twocountry DSGE model with staggered prices and endogenous portfolio choice under incomplete markets. The model predicts that the reaction of stock prices, output and RER becomes muted upon impact and less persistence with falling portfolio holding costs. To test for a similar pattern in the data, we estimate a VAR with rolling coefficients for Australia, which provides a good case study. We identify a monetary policy shock with the sign restriction approach. The impulse responses generated by the data are consistent with the prediction of the model and imply that equity market liberalization seems to weaken the impact of monetary policy, at least on stock prices .
ABSTRACT This paper starts from the observation that two groups of European countries, neither of... more ABSTRACT This paper starts from the observation that two groups of European countries, neither of which could use the exchange rate as an adjustment instrument, experienced a sudden stop after the outbreak of the global financial crisis. The first group comprises Greece, Ireland, Italy, Portugal and Spain, while four newer EU Member States with the exchange rate pegged to the euro, Bulgaria, Estonia, Latvia and Lithuania, belong to the second group. The main finding is that the adjustment was quicker outside EMU than inside. The shock absorber provided by the Eurosystem reduced the pressure for a quick adjustment, while foreign ownership of banks in non-euro area countries favoured quick fiscal and external corrections but also averted the legacy of a banking crisis. A rudimentary welfare comparison of the two patterns over the whole period of adjustment suggests that the ‘short and sharp’ correction approach is preferable in terms of macroeconomic outcome.
ABSTRACT This report considers four short-term, alternative scenarios for the eurozone and analys... more ABSTRACT This report considers four short-term, alternative scenarios for the eurozone and analyses their possible implications for global economic trends and the gold market. Overall, the main findings suggest that in the near future, motives other than inflation hedging will be the main drivers of gold market dynamics. Growth in emerging economies, which are among the largest sources of gold demand, and financial market uncertainty, will be the most important ones. In particular, even if the worst scenario were to materialise and adverse global conditions could slow Asian growth, demand for gold from this region should not fall significantly. Moreover, even in the most optimistic scenario for the eurozone, global uncertainty will not evaporate easily. As a consequence, the gold price may continue to trend upwards for a period driven by investment demand from both the private sector and official investors.
The euro zone crisis is commonly regarded as a sovereign debt crisis. This definition certainly a... more The euro zone crisis is commonly regarded as a sovereign debt crisis. This definition certainly applies to Greece, but the Irish case represents an almost pure specimen of a banking crisis voluntarily transformed into a sovereign crisis. A debt crisis in two small, peripheral economies could become systemic because the financial system of the euro area is overstretched and highly integrated. Had the Greek and Irish crises occurred when euro zone banks were strong and/or not very interconnected, the euro zone crisis would not have happened.
... economic trends and the gold market. Overall, the main findings suggest that in the near futu... more ... economic trends and the gold market. Overall, the main findings suggest that in the near future, motives other than inflation hedging will be the main drivers of gold market dynamics. Growth in emerging economies, which are ...
... issues for $10 billion, with private pension funds to purchase new public issue for ... is me... more ... issues for $10 billion, with private pension funds to purchase new public issue for ... is measured as external liabilities (Source IMF) Sources: The IMF and Argentina, Evaluation Report, 2004 ... a real monetary union gives Greece access to another official lender: Greek banks can ...
Abstract The structure of the world economy has been changing quickly during the last decade. The... more Abstract The structure of the world economy has been changing quickly during the last decade. The emerging global economy is much more fragmented than in the past and characterised by different global actors, each one with specific features and roles. In this setting, both Brazil and the European Union play role.
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.
The Lisbon Treaty provides a legal framework for enhanced economic coordination in the EU. In one... more The Lisbon Treaty provides a legal framework for enhanced economic coordination in the EU. In one particular area, concerning the multilateral surveillance regulation under Article 121(6) of the Treaty, the European Parliament has, for the first time, ordinary legislative powers (co-decision).
This paper investigates the effects of equity market integration on the transmission of monetary ... more This paper investigates the effects of equity market integration on the transmission of monetary policy shocks. Based on the assumption that financial market liberalization and integration lead to falling portfolio holding costs, we analyze its effect on a twocountry DSGE model with staggered prices and endogenous portfolio choice under incomplete markets. The model predicts that the reaction of stock prices, output and RER becomes muted upon impact and less persistence with falling portfolio holding costs. To test for a similar pattern in the data, we estimate a VAR with rolling coefficients for Australia, which provides a good case study. We identify a monetary policy shock with the sign restriction approach. The impulse responses generated by the data are consistent with the prediction of the model and imply that equity market liberalization seems to weaken the impact of monetary policy, at least on stock prices .
ABSTRACT This paper starts from the observation that two groups of European countries, neither of... more ABSTRACT This paper starts from the observation that two groups of European countries, neither of which could use the exchange rate as an adjustment instrument, experienced a sudden stop after the outbreak of the global financial crisis. The first group comprises Greece, Ireland, Italy, Portugal and Spain, while four newer EU Member States with the exchange rate pegged to the euro, Bulgaria, Estonia, Latvia and Lithuania, belong to the second group. The main finding is that the adjustment was quicker outside EMU than inside. The shock absorber provided by the Eurosystem reduced the pressure for a quick adjustment, while foreign ownership of banks in non-euro area countries favoured quick fiscal and external corrections but also averted the legacy of a banking crisis. A rudimentary welfare comparison of the two patterns over the whole period of adjustment suggests that the ‘short and sharp’ correction approach is preferable in terms of macroeconomic outcome.
ABSTRACT This report considers four short-term, alternative scenarios for the eurozone and analys... more ABSTRACT This report considers four short-term, alternative scenarios for the eurozone and analyses their possible implications for global economic trends and the gold market. Overall, the main findings suggest that in the near future, motives other than inflation hedging will be the main drivers of gold market dynamics. Growth in emerging economies, which are among the largest sources of gold demand, and financial market uncertainty, will be the most important ones. In particular, even if the worst scenario were to materialise and adverse global conditions could slow Asian growth, demand for gold from this region should not fall significantly. Moreover, even in the most optimistic scenario for the eurozone, global uncertainty will not evaporate easily. As a consequence, the gold price may continue to trend upwards for a period driven by investment demand from both the private sector and official investors.
The euro zone crisis is commonly regarded as a sovereign debt crisis. This definition certainly a... more The euro zone crisis is commonly regarded as a sovereign debt crisis. This definition certainly applies to Greece, but the Irish case represents an almost pure specimen of a banking crisis voluntarily transformed into a sovereign crisis. A debt crisis in two small, peripheral economies could become systemic because the financial system of the euro area is overstretched and highly integrated. Had the Greek and Irish crises occurred when euro zone banks were strong and/or not very interconnected, the euro zone crisis would not have happened.
... economic trends and the gold market. Overall, the main findings suggest that in the near futu... more ... economic trends and the gold market. Overall, the main findings suggest that in the near future, motives other than inflation hedging will be the main drivers of gold market dynamics. Growth in emerging economies, which are ...
... issues for $10 billion, with private pension funds to purchase new public issue for ... is me... more ... issues for $10 billion, with private pension funds to purchase new public issue for ... is measured as external liabilities (Source IMF) Sources: The IMF and Argentina, Evaluation Report, 2004 ... a real monetary union gives Greece access to another official lender: Greek banks can ...
Abstract The structure of the world economy has been changing quickly during the last decade. The... more Abstract The structure of the world economy has been changing quickly during the last decade. The emerging global economy is much more fragmented than in the past and characterised by different global actors, each one with specific features and roles. In this setting, both Brazil and the European Union play role.
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.
The Lisbon Treaty provides a legal framework for enhanced economic coordination in the EU. In one... more The Lisbon Treaty provides a legal framework for enhanced economic coordination in the EU. In one particular area, concerning the multilateral surveillance regulation under Article 121(6) of the Treaty, the European Parliament has, for the first time, ordinary legislative powers (co-decision).
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Papers by Cinzia Alcidi