
Cross-border Banking Flows Spillovers in the Eurozone: Evidence from an Estimated DSGE Model
Poutineau, Jean-Christophe; Vermandel, Gauthier (2015), Cross-border Banking Flows Spillovers in the Eurozone: Evidence from an Estimated DSGE Model, Journal of Economic Dynamics & Control, 51, p. 378–403. 10.1016/j.jedc.2014.11.006
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Article accepté pour publication ou publiéDate
2015Journal name
Journal of Economic Dynamics & ControlVolume
51Publisher
Elsevier
Pages
378–403
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Poutineau, Jean-Christophe
Centre de recherche en économie et management [CREM]
Vermandel, Gauthier
Laboratoire d'Economie de Dauphine [LEDa]
Centre de recherche en économie et management [CREM]
Abstract (EN)
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 recent financial crisis between the two groups of countries.Subjects / Keywords
Banking globalization; Monetary policy; Financial accelerator; Interbank market; EurozoneRelated items
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