Michael Ehrmann - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:16:44+00:00Exploring Differences in Household Debt Across Euro Area Countries and the United States
https://www.bankofcanada.ca/2015/05/working-paper-2015-16/
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.2015-05-28T07:56:24+00:00enExploring Differences in Household Debt Across Euro Area Countries and the United States2015-05-28Credit and credit aggregatesEconometric and statistical methodsInternational topicsWorking Paper 2015-16https://www.bankofcanada.ca/wp-content/uploads/2015/05/wp2015-16.pdfExploring Differences in Household Debt Across Euro Area Countries and the United StatesDimitris ChristelisMichael EhrmannDimitris GeorgarakosMay 2015DD1D12EE2E21GG1G11Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
https://www.bankofcanada.ca/2015/04/working-paper-2015-13/
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.2015-04-20T12:53:07+00:00enEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis2015-04-20Asset pricingFinancial marketsInterest ratesInternational financial marketsWorking Paper 2015-13https://www.bankofcanada.ca/wp-content/uploads/2015/04/wp2015-13.pdfEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt CrisisMichael EhrmannMarcel FratzscherApril 2015EE5FF3GG1G15