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- Notes: The black line represents the estimated median impulse response to a positive shock, i.e. an increase of the policy instrument, together with its 68% (the dark grey shaded area) and its 90% (the light grey shaded area). The red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the policy instrument, a monetary easing, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left panel to the right increasing sizes of the shocks are plotted. Here we are conditioning on a given point in time of the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1973:01 - 2012:10.
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-10: Italy, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-4: Euro Area, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-6: France, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 12 months horizon. Sample is 1999:01 - 2014:08. Figure B-8: Germany, IRF to a Banking spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08.
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08. Figure B-5: France, IRF to a NFC spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08. Figure B-7: Germany, IRF to a NFC spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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- The straight red line represents the estimated median impulse response to a negative shock, i.e., a decrease in the spreads, together with its 68% (dotted red lines) and its 90% (dashed red lines). From left to right, responses to shocks of increasing size are plotted. Here we are conditioning on a constant history for the shocked variable and the net increase is computed over a 24 months horizon. Sample is 1999:01 - 2014:08. Figure B-9: Italy, IRF to a NFC spread shock (Local peak = 12). Notes: The dark black line represents the estimated median impulse response to a positive shock, i.e. an increase in the spreads, together with its 68% (dark gray shaded area) and its 90% (light grey shaded area).
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Veronesi, P. (1999). Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model. Review of Financial Studies, 12 (5), 9751007.
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- Working Papers 1082, International Finance Discussion Paper.
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