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Capital Flows in the Euro Area and TARGET2 Balances

Nikolay HristovOliver HülsewigTimo Wollmershäuser

出版	Deutsche Bundesbank, 2019
ISBN	39572960139783957296016
URL	http://books.google.com.hk/books?id=UeJWyQEACAAJ&hl=&source=gbs_api

註釋We estimate a panel VAR model for the euro area to quantitatively assess how the uneven recourse of national banking systems in the euro area to the ECB's unconventional refinancing operations that led to the accumulation of largeTARGET2 balances, has contributed to the propagation of different types o fstructural economic shocks as well as to the historical evolution of aggregate economic activity in euro area member countries in the period 2008-2014. Our results suggest that the built-up of TARGET2 balances was mainly driven by capital flow shocks while being barely responsive to other aggregate shocks. Furthermore, on basis of counter factual experiments we find that the ability tobuild-up sizable TARGET2 liabilities has contributed substantially to avoiddeeper recessions in the distressed euro area member countries like Spain, Italy, Ireland and Portugal, while to a smaller extent depressing aggregate economic activity in core member states, such as Germany, the Netherlands and Finland. JEL classifications:E42, F32, F41, F45. Key words: Euro area, TARGET2 balances, capital inflow shocks, panel vector autoregressive model.