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European Central Bank
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A Quantitative Perspective On Optimal Monetary Policy Cooperation Between The US And The Euro Area
March 1, 2008, 12:00am PST
The objective of this paper is to examine the main features of optimal monetary policy cooperation within a micro-founded macroeconometric framework. First, using Bayesian techniques, the authors...
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What Are The Effects Of Fiscal Policy Shocks? A VAR-Based Comparative Analysis
March 1, 2008, 12:00am PST
The empirical literature using vector autoregressive models to assess the effects of fiscal policy shocks strongly disagrees on even the qualitative response of key macroeconomic variables to...
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Global Macro-Financial Shocks And Expected Default Frequencies In The Euro Area
February 1, 2008, 12:00am PST
Modelling the link between the global macro-financial factors and firms' default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector...
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Why Do Europeans Work Part-Time? A Cross-Country Panel Analysis.
February 1, 2008, 12:00am PST
This empirical paper seeks to determine the relative contribution of the business cycle and structural factors to the development of part-time employment in the EU-15 countries over the 1980s and...
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Risk Management In Action. Robust Monetary Policy Rules Under Structured Uncertainty.
February 1, 2008, 12:00am PST
Recent interest in 'Risk Management' has highlighted the relevance of Bayesian analysis for robust monetary-policy making. This paper sets out a comprehensive methodology for designing policy...
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VAR Analysis And The Great Moderation
February 1, 2008, 12:00am PST
Most analyses of the U.S. Great Moderation has been based on structural VAR methods, and has consistently pointed towards good luck as the main explanation for the greater macroeconomic stability...
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Income Distribution Determinants And Public Spending Efficiency
January 1, 2008, 12:00am PST
In this paper the authors examine the impact of public spending, education, and institutions on income distribution in advanced economies. They also assess the efficiency of public spending in...
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Assessing The Compensation For Volatility Risk Implicit In Interest Rate Derivatives
January 1, 2008, 12:00am PST
Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between...
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How Do Firms Adjust Their Wage Bill In Belgium? A Decomposition Along The Intensive And Extensive Margins
January 1, 2008, 12:00am PST
This paper decomposes wage bill changes at the firm level into components due to wage changes, and components due to net flows of employment. The analysis relies on an administrative...
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Determinants Of Economic Growth: Will Data Tell?
January 1, 2008, 12:00am PST
Many factors inhibiting and facilitating economic growth have been suggested. Will international income data tell which matter when all are treated symmetrically a priori? The authors find that...
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Statistical Tests And Estimators Of The Rank Of A Matrix And Their Applications In Econometric Modelling
January 1, 2008, 12:00am PST
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modeling scenarios. This paper describes general methods to test for and estimate the...
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Government Size, Composition, Volatility And Economic Growth
January 1, 2008, 12:00am PST
This paper analyses the effects in terms of size and volatility of government revenue and spending on growth in OECD and EU countries. The results of the paper suggest that both variables are...
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Economic Growth And Budgetary Components: A Panel Assessment For The EU
January 1, 2008, 12:00am PST
In this paper the authors test whether a reallocation of government budget items can enhance long-term GDP growth in a set of European countries. They apply modern panel data techniques to the...
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What Drives The Network?s Growth? An Agent-based Study Of The Payment Card Market
December 1, 2009, 12:00am PST
This paper investigates the impact on the network growth of the level of merchant discount, the level of Multilateral Interchange Fee (MIF), and the consumers' and the merchants' awareness of...
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Credit Card Interchange Fees
December 1, 2009, 12:00am PST
The authors build a model of credit card pricing that explicitly takes into account credit functionality. They show that a monopoly card network always selects an interchange fee that exceeds the...
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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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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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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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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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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...
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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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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
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
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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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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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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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
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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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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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
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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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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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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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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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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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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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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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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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
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
Epstein-Zin Preferences And Their Use In Macro-Finance Models: Implications For Optimal Monetary Policy
June 1, 2010, 12:00am PDT
Epstein-Zin preferences have attracted significant attention within the macro-finance literature based on DSGE models as they allow substantially increasing risk aversion, and consequently...
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Towards A Robust Monetary Policy Rule For The Euro Area
June 1, 2010, 12:00am PDT
Estimations of simple monetary policy rules are often very rigid. Standard practice requires that a decision is made as to which indicators the central bank is assumed to respond to, ignoring the...
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Efficiency And Risk In European Banking
June 1, 2010, 12:00am PDT
The authors analyze the impact of efficiency on bank risk. They also consider whether bank capital has an effect on this relationship. They model the inter-temporal relationships among efficiency,...
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Multimarket Trading And The Cost Of Debt: Evidence From Global Bonds
June 1, 2010, 12:00am PDT
Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on...
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Detecting And Interpreting Financial Stress In The Euro Area
June 1, 2010, 12:00am PDT
There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper the authors take a step in this...
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What Lies Beneath The Euros Effect On Financial Integration? Currency Risk, Legal Harmonization, Or Trade?
June 1, 2010, 12:00am PDT
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms remain unknown. The authors investigate the underlying channels of the euro's...
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Fiscal Policy And Growth: Do Financial Crises Make A Difference?
June 1, 2010, 12:00am PDT
In this paper the authors assess to what extent in the existence of a financial crisis, government spending can contribute to mitigate economic downturns in the short run and whether such impact...
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Transmission Of Government Spending Shocks In The Euro Area: Time Variation And Driving Forces
July 1, 2010, 12:00am PDT
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. The contribution is two-fold. First,...
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The Gains From Early Intervention In Europe: Fiscal Surveillance And Fiscal Planning Using Cash Data
July 1, 2010, 12:00am PDT
This paper does two things. First it examines the use of real time inter-annual cash data and the role of early interventions for improving the monitoring of national fiscal policies and the...
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Monetary Policy And Capital Regulation In The US And Europe
July 1, 2010, 12:00am PDT
From the onset of the 2007-2009 crises, the Federal Reserve and the European Central Bank have aggressively lowered interest rates. Both sets of changes are at odds with an anti-inflationary...
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Wages, Labor Or Prices: How Do Firms React To Shocks?
July 1, 2010, 12:00am PDT
Survey results in 15 European countries for almost 15,000 firms reveal that Belgian firms react more than the average European firm to adverse shocks by reducing permanent and temporary...
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Exports And Sectoral Financial Dependence: Evidence On French Firms During The Great Global Crisis
July 1, 2010, 12:00am PDT
The unprecedented drop in international trade during the last quarter of 2008 and the first quarter of 2009 has mainly been analysed at the macroeconomic or sectoral level. However, exporters who...
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Trusting The Bankers: A New Look At The Credit Channel Of Monetary Policy
July 1, 2010, 12:00am PDT
Any empirical analysis of the credit channel faces a key identification challenge: changes in credit supply and demand are difficult to disentangle. To address this issue, the authors use the...
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Time Variation In U.S. Wage Dynamics
July 1, 2010, 12:00am PDT
This paper explores time variation in the dynamic effects of technology shocks on U.S. output, prices, interest rates as well as real and nominal wages. The results indicate considerable time...
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Real Convergence And Its Illusions
August 1, 2010, 12:00am PDT
This paper uses the EAGLE, a multi-country dynamic general equilibrium model, to illustrate dynamic adjustments in a small open economy undergoing real convergence. The authors consider the...
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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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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
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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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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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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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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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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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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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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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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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
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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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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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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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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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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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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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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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
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
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
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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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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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
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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