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European Central Bank
(295 results)-
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Non-Standard Monetary Policy Measures And Monetary Developments
January 1, 2011, 12:00am PST
Standard accounts of the Great Depression attribute an important causal role to monetary policy errors in accounting for the catastrophic collapse in economic activity observed in the early 1930s....
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Bayesian Prior Elicitation In DSGE Models: Macro- Vs Micro-Priors
January 1, 2011, 12:00am PST
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either be information concerning deep parameters' values...
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Getting Beyond Carry Trade: What Makes A Safe Haven Currency?
January 1, 2011, 12:00am PST
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective...
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White Papers
Corporate Bond Spreads And Real Activity In The Euro Area - Least Angle Regression Forecasting And The Probability Of The Recession
January 1, 2011, 12:00am PST
This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content...
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Identifying The Global Transmission Of The 2007-09 Financial Crisis In A GVAR Model
January 1, 2011, 12:00am PST
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with...
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White Papers
How Large Are Housing And Financial Wealth Effects? A New Approach
December 1, 2010, 12:00am PST
This paper presents a simple new method for measuring 'Wealth effects' on aggregate consumption. The method exploits the stickiness of consumption growth (sometimes interpreted as reflecting...
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The Minimum Liquidity Deficit And The Maturity Structure Of Central Banks Open Market Operations: Lessons From The Financial Crisis
December 1, 2010, 12:00am PST
This paper studies the relationship between the size of the banking sector's refinancing needs vis-à-vis the central bank and auction rates in its open market operations in times of financial...
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White Papers
A Quantitative Mirror On The Euribor Market Using Implied Probability Density Functions
December 1, 2010, 12:00am PST
This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely...
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White Papers
Openness And Optimal Monetary Policy
December 1, 2010, 12:00am PST
The authors show that the composition of imports has important implications for the optimal volatility of the exchange rate. Using input-output data for 25 countries they document substantial...
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White Papers
Nowcasting
December 1, 2010, 12:00am PST
The authors define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key...
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White Papers
Interest Rate Effects Of Demographic Changes In A New-Keynesian Life-Cycle Framework
December 1, 2010, 12:00am PST
This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. The authors extend the tractable, though non-monetary overlapping-generations...
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White Papers
The Impact Of Public Guarantees On Bank Risk Taking: Evidence From A Natural Experiment
December 1, 2010, 12:00am PST
In 2001, government guarantees for savings banks in Germany were removed following a law suit. The authors use this natural experiment to examine the effect of government guarantees on bank risk...
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White Papers
An Analysis Of Euro Area Sovereign CDS And Their Relation With Government Bonds
December 1, 2010, 12:00am PST
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. The sample comprises weekly CDS and bond spreads of ten euro area countries for the period...
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White Papers
Downward Wage Rigidity And Automatic Wage Indexation: Evidence From Monthly Micro Wage Data
December 1, 2010, 12:00am PST
This paper assesses the degree of downward wage rigidity in Luxembourg using an administrative monthly data set on individual wages covering the entire economy over the period from January 2001 to...
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White Papers
Changes In The Austrian Structure Of Wages, 1996-2002: Evidence From Linked Employer-Employee Data
November 1, 2010, 12:00am PDT
Analyzing data from the Structure of Earnings Surveys the authors find that wage dispersion in Austria increased marginally between 1996 and 2002. There was an increase in the returns to education...
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White Papers
How Much Does The Public Know About The ECBs Monetary Policy? Evidence From A Survey Of Dutch Households
November 1, 2010, 12:00am PDT
Does the general public know what central banks do? Is this kind of knowledge relevant? Using a survey of Dutch households, the authors investigate these questions for the case of the European...
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White Papers
On Approximating DSGE Models By Series Expansions
November 1, 2010, 12:00am PDT
The authors show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature they propose a method consisting of series...
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White Papers
Autoregressions In Small Samples, Priors About Observables And Initial Conditions
November 1, 2010, 12:00am PDT
The authors propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. They first show that the Bayesian vs frequentist small...
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White Papers
Surprising Comparative Properties Of Monetary Models: Results From A New Model Database
November 1, 2010, 12:00am PDT
In this paper the authors investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. They make use of a new database of models designed for such...
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White Papers
A Decade (And A Global Financial Crisis) After Blinder: The Interaction Between Researchers And Policy-Makers In Central Banks
November 1, 2010, 12:00am PDT
Periods of economic and financial stress traditionally give rise to profound changes in economic theory and in the way policy decisions are taken. Motivated by the recent interest in renewing...
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White Papers
Finance And Diversification
October 1, 2010, 12:00am PDT
The authors study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on...
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White Papers
Unconventional Monetary Policy And The Great Recession - Estimating The Impact Of A Compression In The Yield Spread At The Zero Lower Bound
October 1, 2010, 12:00am PDT
The authors explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter...
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White Papers
Explaining The Money Demand Of Non-Financial Corporations In The Euro Area: A Macro And A Micro View
October 1, 2010, 12:00am PDT
This paper analyses euro area Non-Financial Corporations (NFC) money demand, both from a macro and a microeconomic point of view. At a macro level, money holdings are modeled as a function of real...
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White Papers
Credit Risk Transfers And The Macroeconomy
October 1, 2010, 12:00am PDT
The recent financial crisis has highlighted the limits of the "Originate to distribute" model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. The author...
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White Papers
Predicting Recession Probabilities With Financial Variables Over Multiple Horizons
October 1, 2010, 12:00am PDT
The authors forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized...
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White Papers
Monetary Policy In Exceptional Times
October 1, 2010, 12:00am PDT
This paper describes the response of three central banks to the 2007-09 financial crises: the European Central Bank, the Federal Reserve and the Bank of England. In particular, the paper discusses...
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White Papers
Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From An Estimated DSGE Model For The Euro Area
October 1, 2010, 12:00am PDT
The financial crisis clearly illuminated the potential amplifying role of financial factors on macroeconomic developments. Indeed, the heavy impairments of banks' balance sheets brought to the...
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White Papers
Optimal Monetary Policy With State-Dependent Pricing
October 1, 2010, 12:00am PDT
The authors study optimal monetary policy in a flexible state-dependent pricing framework, in which monopolistic competition and stochastic menu costs are the only distortions. They show...
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White Papers
The Euro Overnight Interbank Market And ECBs Liquidity Management Policy During Tranquil And Turbulent Times
October 1, 2010, 12:00am PDT
The authors analyze the impact of the recent financial market crisis on the Euro OverNight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity...
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White Papers
Predicting Recessions And Recoveries In Real Time: The Euro Area-Wide Leading Indicator (ALI)
September 1, 2010, 12:00am PDT
This paper develops a new monthly euro Area-wide Leading Indicator (ALI) for the euro area business cycle. It derives the composite ALI by applying a deviation cycle methodology with a one-sided...
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White Papers
Firms And The Global Crisis: French Exports In The Turmoil
September 1, 2010, 12:00am PDT
Global trade contracted quickly and severely during the global crisis. This paper, using a unique dataset of French firms, matching together export data with firm-level credit constraints, shows...
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White Papers
Changes In The Czech Wage Structure: Does Immigration Matter?
September 1, 2010, 12:00am PDT
Using the Albrecht et al. (2003) version of the Machado and Mata (2005) decomposition technique along the wage distribution, the authors find that immigrant workers do not affect changes in the...
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White Papers
Major Public Debt Reductions: Lessons From The Past, Lessons For The Future
September 1, 2010, 12:00am PDT
The financial crisis of 2008/2009 has left European economies with a sizeable public debt stock bringing back the question what factors help to reduce these fiscal imbalances. Using data for the...
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White Papers
Monetary Policy, Asset Prices And Consumption In China
September 1, 2010, 12:00am PDT
This paper studies the wealth channel in China. Using the structural vector autoregression method, the authors find that a loosening of China's monetary policy indeed leads to higher asset prices,...
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White Papers
Supply, Demand And Monetary Policy Shocks In A Multi-Country New Keynesian Model
September 1, 2010, 12:00am PDT
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve...
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White Papers
Household Money Holdings In The Euro Area: An Explorative Investigation
September 1, 2010, 12:00am PDT
In this paper the authors analyse household holdings of the broad monetary aggregate M3 in the euro area from 1991 until 2009. They develop four models, two in nominal, two in real terms, with...
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White Papers
The Impact Of High And Growing Government Debt On Economic Growth: An Empirical Investigation For The Euro Area
August 1, 2010, 12:00am PDT
This paper investigates the average impact of government debt on per-capita GDP growth in twelve euro area countries over a period of about 40 years starting in 1970. It finds a non-linear impact...
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White Papers
Is The New Keynesian Is Curve Structural?
August 1, 2010, 12:00am PDT
There is already a small literature emphasising the empirical failure of the New Keynesian IS curve, but it is not yet known if this failure reflects empirical problems associated with small...
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White Papers
A Note On Identification Patterns In DSGE Models
August 1, 2010, 12:00am PDT
This paper comments on selected aspects of identification issues of DSGE models. It suggests the Singular Value Decomposition (SVD) as a useful tool for detecting local weak and...
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White Papers
Imposing Parsimony In Cross-Country Growth Regressions
August 1, 2010, 12:00am PDT
The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth...
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White Papers
The Determinants Of Public Deficit Volatility
April 1, 2009, 12:00am PDT
This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using the system-GMM estimator for linear dynamic panel data models and a sample of...
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White Papers
Optimal Monetary Policy In A Model Of The Credit Channel
April 1, 2009, 12:00am PDT
The authors consider a simple extension of the basic new-Keynesian setup in which they relax the assumption of frictionless financial markets. In their economy, asymmetric information and default...
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White Papers
Productivity Shocks And Real Exchange Rate: A Reappraisal
April 1, 2009, 12:00am PDT
The authors reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation framework that incorporates a large number of countries and importantly, a...
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White Papers
Wealth Effects On Consumption: Evidence From The Euro Area
May 1, 2009, 12:00am PDT
This paper estimates the wealth effects on consumption in the euro area as a whole. The author shows that: financial wealth effects are relatively large and statistically significant; housing...
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White Papers
Are More Data Always Better For Factor Analysis? Results For The Euro Area, The Six Largest Euro Area Countries And The UK
May 1, 2009, 12:00am PDT
Factor based forecasting has been at the forefront of developments in the macro-econometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of...
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White Papers
Bidding Behaviour In The ECB?s Main Refinancing Operations During The Financial Crisis
May 1, 2009, 12:00am PDT
Liquidity provision through its repo auctions has been one of the main instruments of the European Central Bank (ECB) to address the recent tensions in financial markets since summer 2007. In this...
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White Papers
Fiscal Behaviour In The European Union: Rules, Fiscal Decentralization And Government Indebtedness
May 1, 2009, 12:00am PDT
The authors assess the fiscal behaviour in the European Union countries for the period 1990- 2005 via the responsiveness of budget balances to several determinants. The results show that the...
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White Papers
The Impact Of Extreme Weather Events On Budget Balances And Implications For Fiscal Policy
May 1, 2009, 12:00am PDT
This paper explores implications of climate change for fiscal policy by assessing the impact of large scale extreme weather events on changes in public budgets. The authors apply alternative...
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White Papers
Euro Area Private Consumption: Is There A Role For Housing Wealth Effects
May 1, 2009, 12:00am PDT
This paper adds to the literature on wealth effects on consumption by disentangling financial wealth effects from housing wealth effects for the euro area. The authors use two macro-datasets for...
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White Papers
Forecasting The World Economy In The Short-Term
June 1, 2009, 12:00am PDT
Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in...
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White Papers
What Explains Global Exchange Rate Movements During The Financial Crisis?
June 1, 2009, 12:00am PDT
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific...
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White Papers
Does It Pay To Have The Euro? Italy?s Politics And Financial Markets Under The Lira And The Euro
June 1, 2009, 12:00am PDT
There is a broad consensus that the quality of the political system and its institutions are fundamental for a country's prosperity. The paper focuses on political events in Italy over the past 35...
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White Papers
Asset Price Misalignments And The Role Of Money And Credit
July 1, 2009, 12:00am PDT
This paper contributes to the literature on the properties of money and credit indicators for detecting asset price misalignments. After a review of the evidence in the literature on this issue,...
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White Papers
Housing Finance And Monetary Policy
July 1, 2009, 12:00am PDT
The authors study how the structure of housing finance affects the transmission of monetary policy shocks. They document three main facts: first, the features of residential mortgage markets...
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White Papers
Monetary Policy Committees: Meetings And Outcomes
July 1, 2009, 12:00am PDT
Monetary Policy Committees differ in the way the interest rate proposal is prepared and presented in the policy meeting. In this paper, the authors show analytically how different arrangements...
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White Papers
The Reception Of Public Signals In Financial Markets - What If Central Bank Communication Becomes Stale?
August 1, 2009, 12:00am PDT
How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial...
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White Papers
Evaluating Microfoundations For Aggregate Price Regidities: Evidence From Matched Firm-Level Data On Product Prices And Unit Labor Cost
August 1, 2009, 12:00am PDT
Using data on product-level prices matched to the producing firm's unit labor cost, the authors reject the hypothesis of a full and immediate pass-through of marginal cost. Since they focus on...
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White Papers
How Are Firms? Wages And Prices Linked: Survey Evidence In Europe
August 1, 2009, 12:00am PDT
This paper presents new evidence on the patterns of price and wage adjustment in European firms and on the extent of nominal rigidities. It uses a unique dataset collected through a firm-level...
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White Papers
Money Talks
September 1, 2009, 12:00am PDT
The authors study credible information transmission by a benevolent Central Bank. They consider two possibilities: direct revelation through an announcement, versus indirect information...
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White Papers
Monetary And Fiscal Policy Aspects Of Indirect Tax Changes In A Monetary Union
October 1, 2009, 12:00am PDT
In recent years a number of European countries have shifted their tax structure more strongly towards indirect taxes, motivated, inter alia, by the intention to foster competitiveness. Against...
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White Papers
Gauging The Effectiveness Of Quantitative Forward Guidance: Evidence From Three Inflation Targeters
October 1, 2009, 12:00am PDT
This paper conducts a comparative analysis of the performances of the forward guidance strategies adopted by the Reserve Bank of New Zealand, the Norges Bank and the Riksbank, with the aim to...
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White Papers
Public And Private Sector Wages Interactions In A General Equilibrium Model
October 1, 2009, 12:00am PDT
This paper develops a dynamic general equilibrium model in which the public and the private sector interact in the labor market. Previous studies that analyze the labor market effects of public...
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White Papers
Weak And Strong Cross Section Dependence And Estimation Of Large Panels
October 1, 2009, 12:00am PDT
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t,...
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White Papers
Wage-Setting Behavior In France: Additional Evidence From An Ad-Hoc Survey
October 1, 2009, 12:00am PDT
The authors investigate the wage-setting behavior of French companies using an ad-hoc survey conducted specifically for this paper. Their main results are the following. Wages are changed...
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White Papers
Inter-Industry Wage Differentials: How Much Does Rent Sharing Matter?
October 1, 2009, 12:00am PDT
This paper investigates inter-industry wage differentials in Belgium, taking advantage of access to a unique matched employer-employee data set covering all the years from 1999 to 2005. Findings...
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White Papers
Interbank Lending, Credit Risk Premia And Collateral
November 1, 2009, 12:00am PDT
The authors study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the...
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White Papers
The Role Of Financial Variables In Predicting Economic Activity
November 1, 2009, 12:00am PDT
Previous research has shown that the US business cycle leads the European cycle by a few quarters, and can therefore help predicting euro area GDP. The authors investigate whether financial...
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White Papers
A Stable Model For Euro Area Money Demand: Revisiting The Role Of Wealth
November 1, 2009, 12:00am PDT
In this paper, the authors present an empirically stable money demand model for Euro area M3. They show that housing wealth is an important explanatory variable of long-run money demand that...
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White Papers
Risk Spillover Among Hedge Funds: The Role Of Redemptions And Fund Failures
November 1, 2009, 12:00am PDT
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, the authors investigate the extent to which a spillover of risk among...
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White Papers
Explaining Government Revenue Windfalls And Shortfalls: An Analysis For Selected EU Countries
November 1, 2009, 12:00am PDT
In recent years, government revenues in many EU countries experienced significant and erratic changes, which, a priori, could not be fully explained by macroeconomic developments or by...
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White Papers
Sectorial Border Effects In The European Single Market: An Explanation Through Industrial Concentration
November 1, 2009, 12:00am PDT
The purpose of this paper is to explain the relation between the Border Effect and industrial concentration. This is achieved by founding this relation on the Home Market Effect and testing the...
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White Papers
What Drives Personal Consumption? The Role Of Housing And Financial Wealth
November 1, 2009, 12:00am PDT
The author investigates the effect of wealth on consumption in a new dataset with financial and housing wealth from 16 countries. The baseline estimation method based on the sluggishness of...
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White Papers
Discretionary Fiscal Policies Over The Cycle: New Evidence Based On The ESCB Disaggregated Approach
November 1, 2009, 12:00am PDT
This paper explores how discretionary fiscal policies on the revenue side of the government budget have reacted to economic fluctuations in European Union countries. For this purpose, it uses data...
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White Papers
Does Finance Bolster Superstar Companies? Banks, Venture Capital, And Firm Size In Local U.S. Markets
December 1, 2009, 12:00am PST
The authors study the relative effect of venture capital and bank finance on large manufacturing firms in local U.S. markets. Theory predicts that with venture capital, the firm size distribution...
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White Papers
Balance Sheet Interlinkages And Macro-Financial Risk Analysis In The Euro Area
December 1, 2009, 12:00am PST
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. The authors use the euro area...
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White Papers
Leading Indicators In A Globalised World
December 1, 2009, 12:00am PST
Using OECD Composite Leading Indicators (CLI), the authors assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due...
Provided by European Central Bank
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White Papers
EMU And The Adjustment To Asymmetric Shocks: The Case Of Italy
December 1, 2009, 12:00am PST
In this paper, the authors address the question on whether EMU has amplified or dampened intra euro area divergences, by looking at a time-varying VAR model of Italy's relative performance...
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White Papers
What Explains The Surge In Euro Area Sovereign Spreads During The Financial Crisis Of 2007-09?
December 1, 2009, 12:00am PST
This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis-à-vis Germany in selected euro area countries during the period end-July 2007 to...
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White Papers
A Quarterly Fiscal Database For The Euro Area Based On Intra-Annual Fiscal Information
December 1, 2009, 12:00am PST
The analysis of the macroeconomic impact of fiscal policies in the euro area has been traditionally limited by the absence of quarterly fiscal data. To overcome this problem, the authors provide...
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White Papers
Fiscal Policy Shocks In The Euro Area And The US: An Empirical Assessment
December 1, 2009, 12:00am PST
The authors analyse the impact of fiscal policy shocks in the euro area as a whole, using a newly available quarterly dataset of fiscal variables for the period 1981-2007. To allow for...
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