Marco Gross

International Monetary Fund (IMF)

700 19th Street, N.W.

Washington, DC 20431

United States

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • International Monetary Fund (IMF)

  • European Central Bank (ECB)

SCHOLARLY PAPERS

21

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2,743

SSRN CITATIONS
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Top 4,774

in Total Papers Citations

232

CROSSREF CITATIONS

49

Scholarly Papers (21)

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1.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Jerome Henry, Christoffer Kok, Adrien Amzallag, Patrizia Baudino, Inês Cabral, Maciej Grodzicki, Marco Gross, Grzegorz Halaj, Markus Kolb, Miha Leber, Cosimo Pancaro, Matthias Sydow, Angelos T. Vouldis, Angelos T. Vouldis, Maik Zimmermann and Dawid Żochowski
European Central Bank (ECB), European Central Bank (ECB), European Securities and Markets Authority, European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)Bank of Greece, European Central Bank (ECB) and European Central Bank
Downloads 601 (62,965)
Citation 13

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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision

2.

Spillovers in Space and Time: Where Spatial Econometrics and Global VAR Models Meet

ECB Working Paper No. 2134, ISBN: 978-92-899-3239-4
Number of pages: 37 Posted: 06 Mar 2018
J. Paul Elhorst, Marco Gross and Eugen Tereanu
University of Groningen - Faculty of Economics and Business, International Monetary Fund (IMF) and European Central Bank (ECB)
Downloads 342 (122,793)
Citation 5

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Weak and strong cross-sectional dependence, spatial models, GVARs, spillovers

3.

Money Creation in Fiat and Digital Currency Systems

IMF Working Paper No. 19/285
Number of pages: 41 Posted: 06 Feb 2020
Marco Gross and Christoph Siebenbrunner
International Monetary Fund (IMF) and University of Oxford - Mathematical Institute
Downloads 262 (161,918)

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Central banking and monetary issues, Financial crises, Central banks, Financial institutions, Macroprudential policies and financial stability, Money creation, monetary policy, central bank digital currencies, WP, money stock, intermediation, physical cash, liquid fund

4.

Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests

ECB Working Paper No. 2054
Number of pages: 36 Posted: 16 May 2017
Oana Maria Georgescu, Marco Gross, Daniel Kapp and Christoffer Kok
European Central Bank (ECB), International Monetary Fund (IMF), ECB and European Central Bank (ECB)
Downloads 234 (180,714)
Citation 3

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event study, bank stress tests, disclosure

5.

Regime-Switching Global Vector Autoregressive Models

ECB Working Paper No. 1569
Number of pages: 56 Posted: 12 Aug 2013
Michael Binder and Marco Gross
Goethe University Frankfurt and International Monetary Fund (IMF)
Downloads 167 (244,526)
Citation 3

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Global macroeconometric modeling, nonlinear modeling, regime switching, forecasting and simulation

6.

On Secular Stagnation and Low Interest Rates: Demography Matters

Downloads 131 (296,899)
Citation 110

On Secular Stagnation and Low Interest Rates: Demography Matters

ECB Working Paper No. 2088
Number of pages: 28 Posted: 31 Jul 2017
Giuseppe Ferrero, Marco Gross and Stefano Neri
Bank of Italy, International Monetary Fund (IMF) and Bank of Italy
Downloads 81 (412,401)

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secular stagnation; demographic developments; real interest rates; monetary policy

On Secular Stagnation and Low Interest Rates: Demography Matters

Bank of Italy Temi di Discussione (Working Paper) No. 1137
Number of pages: 36 Posted: 12 Oct 2017
Giuseppe Ferrero, Marco Gross and Stefano Neri
Bank of Italy, International Monetary Fund (IMF) and Bank of Italy
Downloads 50 (528,443)
Citation 92

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secular stagnation, demographic developments, real interest rates, monetary policy

7.

Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR

ECB Working Paper No. 1570
Number of pages: 49 Posted: 12 Aug 2013
Marco Gross and Christoffer Kok
International Monetary Fund (IMF) and European Central Bank (ECB)
Downloads 121 (314,943)
Citation 7

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Macro-financial linkages, global macroeconometric modeling, models with panel data, forecasting and simulation, contagion, spill-overs, network analysis

8.

The Impact of Bank Capital on Economic Activity - Evidence from a Mixed-Cross-Section GVAR Model

ECB Working Paper No. 1888
Number of pages: 54 Posted: 27 Apr 2016
Marco Gross, Christoffer Kok and Dawid Żochowski
International Monetary Fund (IMF), European Central Bank (ECB) and European Central Bank
Downloads 118 (320,540)
Citation 2

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Macro-

9.

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

IMF Working Paper No. 20/111
Number of pages: 48 Posted: 12 Aug 2020
Marco Gross, Dimitrios Laliotis, Dimitrios Laliotis, Mindaugas Leika and Pavel Lukyantsau
International Monetary Fund (IMF), European Central Bank (ECB)International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 115 (326,377)

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Financial crises, Financial institutions, Financial instruments, Macroprudential policies and financial stability, Financial systems, Credit risk, IFRS 9, CECL, lifetime probability of default, LGD modeling., WP, LGD, transition matrix, ECL, z-score, PDs

10.

Estimating GVAR Weight Matrices

ECB Working Paper No. 1523
Number of pages: 49 Posted: 07 Mar 2013
Marco Gross
International Monetary Fund (IMF)
Downloads 107 (342,975)
Citation 1

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global macroeconometric modeling, models with panel data, forecasting and simulation

11.

Assessing the Costs and Benefits of Capital-Based Macroprudential Policy

Downloads 105 (347,321)

Assessing the Costs and Benefits of Capital-Based Macroprudential Policy

ECB Working Paper No. 1935
Number of pages: 47 Posted: 14 Aug 2016
Markus Behn, Marco Gross and Tuomas A. Peltonen
European Central Bank (ECB), International Monetary Fund (IMF) and European Central Bank (ECB)
Downloads 100 (361,441)

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macroprudential policy, cost-bene t analysis, early-warning system, GVAR

Assessing the Costs and Benefits of Capital-Based Macroprudential Policy

ESRB: Working Paper Series No. 2016/17
Number of pages: 46 Posted: 05 Nov 2020
Markus Behn, Marco Gross and Tuomas Peltonen
European Central Bank (ECB), International Monetary Fund (IMF) and European Systemic Risk Board
Downloads 5 (860,127)

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macroprudential policy, cost-benefit analysis, early-warning system, GVAR

12.

Credit Cycles and Monetary Policy in a Model with Regime Switches

Number of pages: 54 Posted: 30 Nov 2018
Timm Faulwasser, Marco Gross and Willi Semmler
Karlsruhe Institute of Technology, International Monetary Fund (IMF) and The New School - Department of Economics
Downloads 62 (470,866)
Citation 2

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Nonlinearities, Inflation Targeting, Credit Cycles, Credit Risk and Credit Spreads, Phillips Curve, Conventional and Unconventional Monetary Policy

13.

Mind the Output Gap: The Disconnect of Growth and Inflation During Recessions and Convex Phillips Curves in the Euro Area

Downloads 60 (478,473)
Citation 4

Mind the Output Gap: The Disconnect of Growth and Inflation During Recessions and Convex Phillips Curves in the Euro Area

ECB Working Paper No. 2004
Number of pages: 59 Posted: 03 Feb 2017
Marco Gross and Willi Semmler
International Monetary Fund (IMF) and The New School - Department of Economics
Downloads 59 (489,571)
Citation 2

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Phillips curve, nonlinearity, monetary VAR, inflation targeting, monetary policy, euro area

Mind the Output Gap: The Disconnect of Growth and Inflation During Recessions and Convex Phillips Curves in the Euro Area

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 4, pp. 817-848, 2019
Number of pages: 32 Posted: 02 Jun 2020
Marco Gross and Willi Semmler
International Monetary Fund (IMF) and The New School - Department of Economics
Downloads 1 (913,674)
Citation 1

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14.

Assessing the Efficacy of Borrower-Based Macroprudential Policy Using an Integrated Micro-Macro Model for European Households

ECB Working Paper No. 1881
Number of pages: 56 Posted: 08 Feb 2016
Marco Gross and Francisco Javier Población García
International Monetary Fund (IMF) and European Central Bank (ECB)
Downloads 60 (478,473)
Citation 4

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household balance sheets, macro-financial linkages, stress-testing, macroprudential policy

15.

What Drives Mortgage Default Risk in Europe and the U.S.?

IMF Working Paper No. 2022/065
Number of pages: 38 Posted: 25 Apr 2022
Marco Gross, Thierry Tressel, Xiaodan Ding and Eugen Tereanu
International Monetary Fund (IMF), International Monetary Fund (IMF) - Research Department, International Monetary Fund (IMF) and European Central Bank (ECB)
Downloads 50 (519,172)

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Credit risk, household sector, micro-macro simulation modeling, financial policies, probabilities of default, mortgage PD, mortgage LGDs, mortgage default risk, simulation model, Mortgages, Housing prices, Loans, Unemployment rate, Unemployment benefits, Europe, Global, Eastern Europe

16.

A False Sense of Security in Applying Handpicked Equations for Stress Test Purposes

ECB Working Paper No. 1845
Number of pages: 30 Posted: 23 Sep 2015
Marco Gross and Francisco Javier Población García
International Monetary Fund (IMF) and European Central Bank (ECB)
Downloads 46 (537,234)
Citation 2

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Stress testing, satellite modeling, model averaging, bank regulation and supervision

17.

The Effectiveness of Borrower-Based Macroprudential Measures: A Quantitative Analysis for Slovakia

IMF Working Paper No. 20/134
Number of pages: 38 Posted: 12 Aug 2020
Pavol Jurča, Ján Klacso, Eugen Tereanu, Marco Forletta and Marco Gross
Národná banka Slovenska, Národná banka Slovenska, European Central Bank (ECB), European Central Bank (ECB) and International Monetary Fund (IMF)
Downloads 45 (541,889)

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Financial crises, Interest rates on loans, Macroprudential policies and financial stability, Interest rates, Cost of living, Borrower-based macroprudential policy, household micro data, macro-financial linkages, WP, PDs, microdata, LTV, resilience, mortgage lend

18.

Beautiful Cycles: A Theory and a Model Implying a Curious Role for Interest

IMF Working Paper No. 2021/067
Number of pages: 38 Posted: 25 May 2021
Marco Gross
International Monetary Fund (IMF)
Downloads 33 (604,846)

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19.

A Structural Model to Assess the Impact of Bank Capitalization Changes Conditional on a Bail-in versus Bail-out Regime

ECB Working Paper No. 2181
Number of pages: 27 Posted: 08 Oct 2018
Marco Gross, Tomasz Dubiel-Teleszynski and Francisco Javier Población García
International Monetary Fund (IMF), Warsaw School of Economics (SGH) - Institute of Econometrics and European Central Bank (ECB)
Downloads 30 (623,003)

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Structural model, abandonment trigger, bank bailout, capital-based macro-prudential policy

20.

Information Flows and Disagreement

ECB Working Paper No. 1475
Number of pages: 49 Posted: 25 Sep 2012
Cristian Badarinza and Marco Gross
National University of Singapore (NUS) and International Monetary Fund (IMF)
Downloads 28 (635,787)

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heterogeneous beliefs, disagreement, public information

21.

Destabilizing Effects of Bank Overleveraging on Real Activity - An Analysis Based on a Threshold MCS-GVAR

ECB Working Paper No. 2081
Number of pages: 24 Posted: 28 Jun 2017
Marco Gross, Jerome Henry and Willi Semmler
International Monetary Fund (IMF), European Central Bank (ECB) and The New School - Department of Economics
Downloads 26 (649,407)
Citation 2

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macro-financial linkages, overleveraging, credit supply