edited by ISPI

Understanding the causes of the Great Recession (part 2 of 2)

Due to the euro area sovereign debt crisis, recovery from the Great Recession has not proceeded at a similar pace worldwide, with Europe still lagging behind. The severity of the recession and the sizeable increase in macroeconomic fluctuations ensued by the financial crisis have led analysts and scholars to question whether the prolonged period of subdued macroeconomic volatility, known as the Great Moderation, has come to an end.

Understanding the causes of the Great Recession and the interrelation between the overall favorable macroeconomic conditions, the financial crisis, and the third oil price shock is mandatory not only to assess whether higher macroeconomic uncertainty will persistently affect the global economy in the future, but also to uncover the early warning signals of deteriorating macro-financial conditions, which were neglected while imbalances were growing.

These investigations are part and parcel of the RAstaNEWS project. In the second issue of this special two-part newsletter, we introduce papers which specifically deal with the quantification of the effects of political communication over European stock and bond markets, the early extraction of latent information on growing imbalances, the design of improved models of financial markets in times of crisis, and the investigation of the "forward premium" anomaly.



RAstaNEWS investigates many aspects of the future of macro-economic and monetary integration in Europe, paving the way to a revised governance of the EMU, and the EU as a whole, in the wake of the debt crisis.
Our project is based on the premise that rethinking the future of macroeconomic and monetary integration in Europe requires a substantial revision and integration of the underlying macroeconomic model and a new vision about what markets and policy-makers can accomplish.
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New insights on the US OIS spreads term structure during the recent financial turmoil

Claudio Morana (University of Milano Bicocca) Read it here

The effect of political communication on European financial markets during the sovereign debt crisis

Christian Conrad (Ruprecht-Karls-Universitšt Heidelberg) and Klaus Ulrich Zumbach Read it here

Time variation in the standard forward premium regression: Some new models and tests

Richard Baillie (Queen Mary University London) and Dooyeon Cho Read it here

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Menelaos Karanasos (Brunel University London) Read it here

Local deviations from uncovered interest parity: kernel smoothing functions and the role of fundamentals

Richard Baillie (Queen Mary University London) and Kun Ho Kim Read it here

Modelling returns and volatilities during financial crises: A time varying coefficient approach

Menelaos Karanasos (Brunel University London) et al. Read it here


Universitŗ Politecnica delle Marche, one of RAstaNEWS partners, organized the 3rd Money and Finance Research (MoFiR) Workshop on Banking, which was held in Ancona, Italy, on June 25-27th.


RAstaNEWS organized a special session at the 1st Conference of the International Association for Applied Econometrics, which was held at Queen Mary University of London, on June 26-28th.


RAstaNEWS organized a special session at the 5th World Finance Conference, which was held in Venice, Italy, on July 2-4th.



RastaNews is organizing a special session on Macro-Financial Risk at the 46th Annual Conference of the Money, Macro, and Finance Research Group, to be held on September 17-19 September at the Durham University Business School.


PISM, one of RastaNews partners, is organizing the Conference "EU Economic Governance in the Making - the CEE Perspective", to be held on 14 November 2014 at Warsaw.


ISPI, one of RAstaNEWS partners, is organizing the Conference "EU Economic Governance in the Making - the CEE Perspective", to be held on 14 November 2014 at Warsaw.


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