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AbstractIn this paper, we identify and estimate the dynamic effects of foreign (US) and national (Canadian) credit shocks in a small open economy. We use standard credit spreads as proxies to the external finance premium. Our first result suggests that the US and Canadian credit spreads contain substantial forecasting power for several measures of the Canadian real economic activity, especially during the recent financial crisis and its aftermath. Secondly, an adverse US credit shock generates a significant and persistent economic slowdown in Canada: the national external finance premium rises immediately while interest rates, credit aggregates, output and employment indicators decline. Variance decomposition reveals that credit shocks have a sizeable effect on real activity measures, leading indicators and credit spreads. Yet, the unexpected shocks in domestic credit spreads are not able to generate any significant dynamic response of the real activity once we control for the US credit market conditions.

After Lehman Brothers filed for bankruptcy in September 2008, cross-border bank lending contracted sharply. To explain the severity and variation in this contraction, we analyze detailed data on cross-border syndicated lending by 75 banks to 59 countries. We find that banks which had to write down sub-prime assets, refinance large amounts of long-term debt, and which experienced sharp declines in their market-to-book ratio, transmitted these shocks across borders by curtailing their lending abroad. While shocked banks differentiated between countries in much the same way as less constrained banks, they restricted their lending more to small borrowers.

The object of the study is identification of the bond yields volatility in selected European countries, during the crisis of Greece's public finances from 2010 to 2013. For this purpose used GARCH (1.1) model. The specific aim of the study is to determine: do we have to deal with so-called contagion effect in Treasury bonds market? The analysis was conducted in two trials : 1/ for the countries of Central and Eastern Europe, represented by Czech Republic and Poland, 2/ for developed countries – Austria and France.

Intro -- Foreword -- Preface -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Main Themes in the Book -- 1.1.1 The Role of Economic Growth and Economic Policy Uncertainties and Channels of Transmission into the Domestic Economy -- 1.1.2 The Transmission Channels of Exchange Rate, Foreign Demand and Domestic Uncertainty Shocks -- 1.1.2.1 Why Does the Exchange Rate Shock Matter? -- 1.1.2.2 The Interaction Between the Exchange Rate and Foreign Economic Activity Developments -- 1.1.2.3 Different Sectorial Sensitivities to Exchange Rate Shocks -- 1.1.2.4 Unconventional Foreign Policy Interventions and the Associated Exchange Rate Anomalies -- 1.1.2.5 The Interaction of Domestic Macroeconomic and Economic Policy Uncertainty -- 1.1.2.6 The Role of the Confidence Channel and Business Cycle Fluctuations -- 1.1.2.7 The Interaction Between Financial Regulatory Policy Uncertainty and Economic Policy Uncertainty and Lending Rate Margins -- 1.2 The Role of US Monetary Policy, Capital Flows Episodes, Business Confidence and the Rand Per US Dollar Exchange Rate Volatility -- 1.2.1 The Interaction Between the Interest Differentials and the Exchange Volatilities -- 1.2.2 Does the Distinction of Capital Flows Dynamics According to Foreign and Domestic Investors' Behaviour Matter? -- 1.2.3 Does Elevated Exchange Rate Volatility Impact Foreigners' Purchases of Domestic Assets? -- 1.2.4 Why Does the Persistence of Capital Flows Matter? -- 1.2.5 Does the Exchange Rate Risk Restrain Exports Performance? -- 1.2.6 The Implications of the Pricing-to-Market Model -- References -- Part I The Role of Economic Growth, Economic Policy Uncertainty and the Channels of Transmission into the Domestic Economy