European union trade policy domestic institutions and systemic factors

Look at press releases, speeches and interviews and filter them by date, speaker or activity. Discover euro banknotes and their security features and find out more about euro cash changeovers. Find out how the ECB promotes safe and efficient payment and settlement systems, and helps to integrate the infrastructure for European markets. They are published to stimulate discussion and contribute to the advancement of our knowledge of economic matters.

They are addressed to experts, so readers should be knowledgeable in economics. ECB Working Papers are available online only, get updated on latest Working Paper releases by RSS news feed. In a theoretical framework, we model overleveraging and indicate how a highly leveraged banking system can lead to unstable dynamics and downward spirals.

Inspired by Brunnermeier and Sannikov and Steinwe empirically measure the deviation-from-optimal-leverage for 40 large EU banks. A Threshold Mixed-Cross-Section Global Vector Autoregressive T-MCS-GVAR model.

The regime-switching component of the model aims to make the relationship between credit and real activity dependent on the extent to which the banking system is overleveraged.

Determination, Term Structure, and Effects E We study how monetary policy communication should and has worked under such circumstances. Our main results relate to announcements of asset purchase programmes and the use of forward guidance. We show that announcements of asset purchase programmes have lowered market uncertainty, particularly when accompanied by a contextual release of implementation details such as the envisaged size of the programme.

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a leverage ratio requirement can incentivise banks that are bound by it to increase their risk-taking. Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior P To this objective, we look at episodes of structural reforms over three decades across 40 OECD and EU countries and link them to such factors.

Our results suggest that structural reforms implementation is more likely during deep recessions and when unemployment rates are high. Moreover, the further distant from best practices, the more likely a country implements reforms. If at all, low interest rates tend to promote rather than discourage structural reforms, while there seems no clear link between fiscal policy and reforms.

Moreover, reforms in product markets tend to increase the likelihood of labour market reforms following suit.

Many robustness checks have been carried out which confirm our main results. We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identied with sign restrictions.

The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking sector variables. We show that frictions in domestic credit markets generate asymmetries in the transmission mechanism of shocks that are common to both regions.

This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme APP announced by the European Central Bank ECB in January The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the context of an estimated time-varying parameter VAR model with stochastic volatility. The evidence suggests that the APP had a significant upward effect on both real GDP and HICP inflation in the euro area during the first two years.

The effect on real GDP appears to be stronger in the short term, while that on HICP inflation seems more marked in the medium term. Moreover, several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel, the inflation re-anchoring channel and the credit channel. In light of persistently large net foreign liability NFL positions in several euro area countries, we analyse episodes of sizeable NFL reductions for a broad sample of advanced and emerging economies.

Our econometric analysis shows that NFL reductions are more likely to be sustained if a country records strong average real GDP growth during an episode and exits the episode with a larger current account surplus. We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macroeconomy and the role of house prices in the monetary policy transmission, across euro area countries.

With sunspots, the model mimics the recent euro area data. Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior D Lobbying can provide policy makers with important sector-specific information and thereby facilitating informed decisions. If going far beyond this, in particular if successfully influencing policy makers to unnecessarily tighten regulation or not opening already excessively regulated markets, it could potentially reduce overall economic welfare.

We create a unique firm-level database on EU lobby activity and firm characteristics. We tend to find that firms in more protected sector, e. Also such firms tend to have higher profit margins and lower productivity, as often the case in sheltered sectors.

Size, Diversification, and Scope. The paper identifies the business models followed by banks in the euro area utilising a proprietary dataset collected in the context of the supervisory reporting of the Single Supervisory Mechanism. We adopt a clustering methodology to provide evidence for the existence of distinct business models.

The method produces a level and a contrast factor which are intuitive in the economic sense. The risk and performance indicators of each cluster are examined and evidence is provided that they follow distinct statistical distributions.

This paper examines the role of culture in households saving decisions. The analysis uses the Swiss Household Panel which I complement with geographic and socio-economic data. I show that low- and middle-income households located in the German-speaking part are more than 11 percentage points more likely to save than similar households in the French-speaking part. The Great Recession has been characterised by the two stylized facts: To this end, we extend Boz and Mendoza by explicitly modelling the credit markets and by modifying the learning to an adaptive set-up.

The boom-bust cycles occur as rare events, with two systemic crises per century. This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously. The analysis delivers some new results on the role of guarantees in the bank-sovereign nexus. Second, depending on the specific characteristics of the economy and the nature of banking crises, an increase in the size of guarantees may be beneficial for the bank-sovereign nexus, in that it enhances …financial stability without undermining sovereign solvency.

This paper investigates the role of economic structures as determinants of FDI inows. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period.

Bonds bought by the Eurosystem had higher specialness. Short-selling traders had to pay a net premium to close their positions and therefore may have decided to fail on their delivery. Indeed bonds that were bought under the program were more likely to be underlying a fail-to-deliver transaction.

This paper studies the role of global input-output linkages in transmitting economic disturbances in the international economy. Our empirical results suggest that these sectoral spillovers are both statistically significant and of economic importance. We also provide evidence that it is not the interlinkages per se that matter for the international transmission but rather the presence of global hub sectors that are either large suppliers or purchasers of other sectors' inputs.

When the links between these sectors and the rest of the global value chain are severed, the spillovers diminish strongly and eventually become statistically insignificant. This highlights the importance of the structure of the network for enabling spillovers and the prominent role played by hub sectors in the global economy. Our results are robust to confounding, endogeneity, selection bias as well as to alternative specifications.

Drawing on the Household Finance and Consumption Survey HFCS and complementary administrative data sources, we simulate household balance sheets at the micro level for the period. We use this dataset to tell the story of household leveraging and deleveraging over a tumultuous period for the Irish economy. Notwithstanding historically low interest rates, we show that income shocks are the main factor contributing to mortgage repayment problems.

However, there is also a role for equity factors. We study the effect of changes to bank-specific capital requirements on mortgage loan supply with a new loan-level dataset containing all mortgages issued in the UK between Q2 and Q2. We find that a rise of a basis points in capital requirements leads to a 5.

Loans issued by competing banks rise by roughly the same amount, which is indicative of credit substitution. Borrowers with an impaired credit history verified income are not most affected. This is consistent with origination of riskier loans to grow capital by raising retained earnings.

No evidence for credit substitution of non-bank finance companies is found. We show that traditional gravity variables play a significant role in explaining trade flows related to global value chain participation We find evidence that cooperation costs — measured by linguistic and geographical proximity — are more relevant for trade that reflects cross-border production sharing. Applying an augmented gravity model framework to a newly-constructed dataset we find a positive association between bilateral FDI stock and both gross bilateral trade and the bilateral import-content of exports.

We confirm this finding using an empirical case study on central and eastern European countries, which from a global perspective stand out both in terms of degree of global value chain-participation and size of inward FDI stock. Overall, we show that foreign investors play an active role in shaping host economies' export structure and their participation in international production networks.

Policies that attract foreign direct investment would therefore constitute an indirect way to deepen a GVC-participation. We study cross-country price differences in the European market for new passenger cars based on detailed pricing and technical data. Car prices in Europe converged until the yearbut not thereafter. Within the EU 15 countries the price range of the median model in was close to 20 percent.

We document a source of international price differentiation, which is not related to distribution and border costs, but instead systematically linked to product features. Marketing appears to position identical goods differently in each country, for example by feature bundles tailored to local consumer preferences. Both the convergence before the actual reduction of barriers to arbitrage and the systematic international price differentiation by product feature point to active pricing-to-market strategies that treat countries as marketing regions.

What are the drivers of business cycle fluctuations? And how many are there? This feature—robust across time and space—provides a simple smell test for structural macroeconomic models. We propose a simple statistic that can compare data and models. Earlier research has shown that euro area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions.

This effect is stronger when market volatility is higher. We rationalize both findings using a simple theoretical model of primary dealer behavior, in which the primary dealers receive a signal about the value of the asset auctioned.

This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks.

In this study, using an event study approach, we explore how market participants reacted to the Comprehensive Assessment and the EBA EU-wide stress test. The results show that stress test disclosures revealed new information that was priced by the markets. We also provide evidence that the publication of stress test results enhanced price discrimination as the impact on bank CDS spreads and equity prices tended to be stronger for the weaker performing banks in the stress test.

Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement. We estimate the response of euro area sovereign bond yields to purchase operations under the ECBs Public Sector Purchase Programme PSPPusing granular data on all PSPP-eligible securities at daily frequency. To avoid simultaneity bias in the estimated relationship between yields and purchase volumes, we exploit a PSPP design feature that renders certain securities temporarily ineligible for reasons unrelated to their yields.

We contribute to the literature by building a new micro-distributed database which merges data related to wage bargaining institutions Wage Dynamic Network, WDN with data on firm productivity and other relevant firm characteristics CompNet. We use the database to study how firms reacted to the Great Recession in terms of variation in profits, wages, and employment. This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies.

In most countries, a surprise US monetary tightening leads to depreciation against the dollar; industrial production and real GDP fall, unemployment rises. This paper studies export adjustment to negative shocks in currency unions.

I consider the hitherto ignored role of trade costs and taxes in internal devaluations, which have been brought to the fore of international policy during the recent euro periphery crisis. Trade costs can limit the pass-through of internal devaluation on export prices.

Furthermore, VAT in theory trade neutral, but in practice much higher on tradables hikes prevent the required shift of resources towards tradables. I show that the real exchange rate RER adjustment was heavily affected by indirect tax hikes, by comparing headline RER and tax-adjusted RER. I then build a standard New Keynesian small open economy model with sticky wages and prices, incorporating trade costs and indirect taxes allowing for VAT imperfectionsand show that both these frictions, but especially trade costs, can be quantitatively crucial in affecting export growth, more so than either product markups or wage rigidity.

This paper illustrates the main features of the Labour Module of the CompNet dataset which provides indicators of firm growth over the period across 17 EU 13 euro area countries and 9 macro-sectors. It also includes information on a large set of micro-aggregated characteristics of firms growing at different speed such as their financial position and labour and total factor productivity.

The paper shows that during the Great Recession the share of shrinking firms sharply increased in countries under stress, while firm growth slowed down in non-stressed countries. In the former, the construction sector suffered the most, while in the latter manufacturing and services related to transportation and storage were mainly affected, possibly as a result of the trade collapse.

While we find that, all else equal, more productive firms had a higher probability of growing, the process of productivity-enhancing reallocation was muted during the Great Recession. We ask whether recent changes in monetary policy due to the financial crisis will be temporary or permanent. We present evidence from two surveys—one of central bank governors, the other of academic specialists.

We find that central banks in crisis countries are more likely to have resorted to new policies, to have had discussions about mandates, and to have communicated more.

But the thinking has changed more broadly—for instance, central banks in non-crisis countries also report having implemented macro-prudential measures. Overall, we expect central banks in the future to have broader mandates, use macro-prudential tools more widely, and communicate more actively than before the crisis. This study examines the home bias in trade in goods and services within the European Union. Using the newest release of the World Input Output database, available for the yearsthe effect is estimated using gravity regressions.

The trade-reducing effect of borders is found to be sizeable. It is greater for trade in services than for goods, though the former declined more markedly throughout the period.

The paper extends current literature by demonstrating and analysing the variation in the bias across Europe. The border effect is larger in Central and Eastern Europe than in other parts of the continent. In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to the domestic economy.

We illustrate the usefulness of ECB-Global for policy analysis by presenting its predictions regarding the global spillovers from a US monetary policy tightening, a drop in oil prices and a growth slowdown in China.

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve FED and European Central Bank ECB to emerging market economies EMEs from to Positive volatility spillovers to EME currency markets are higher in the case of FED balance sheet expansions than those of the ECB by a factor of about ten.

Finally, we show that the proportion of the volatility in EMEs that is accounted for by changes in FED and ECB balance sheets shifts over time.

Models, Duration, Incidence, and Job Search J In this paper we analyse to what extent the outward shift in the Portuguese Beveridge curve since has been due to structural or cyclical factors and how likely the outward shift will persist. We do this by empirically estimating the Beveridge curve in a Markov-switching panel setting with time-varying transition probabilities for the US, Portugal and Spain using monthly data for the period mm These time-varying transition probabilities are in turn determined by a set of structural indicators which could affect the matching efficiency in the labour market.

The results show that the sharp outward shift in the Portuguese Beveridge curve was to a large extent driven by cyclical factors. However, it was compounded by some structural factors, namely, the relatively high level of employment protection together with the relatively high minimum wage ratio and the relatively generous unemployment benefit system. This study tests for the state-dependent response of monetary policy to increases in overall financial stress and financial sector-specific stress across a panel of advanced and emerging economy central banks.

We use a factor-augmented dynamic panel threshold regression model with estimated common components to deal with crosssectional dependence. We find strong evidence of state-dependence in the response of monetary policy to financial sector-specific stress for advanced economy central banks, as they pursue aggressive monetary policy loosening in response to stock market and banking stress only in times of high financial market volatility.

By comparison, evidence of threshold effects of financial stress is generally weak for emerging market central banks. We develop a framework to analyse the Credit Default Swaps CDS market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a result of intermediation.

This architecture shows three distinct sets of counterparties: We show that the probability of widespread distress due to counterparty risk is higher in a bow-tie architecture than in more fragmented network structures. Empirically, we analyse a unique global dataset of bilateral CDS exposures on major sovereign and financial reference entities in - We find the presence of a bow-tie network architecture consistently across both reference entities and time, and that the flow-of-risk originates from a large number of URSs e.

Finally, the analysis of the CDS portfolio composition of the URBs shows a high level of concentration: The fiscal consolidation measures adopted in many euro area countries over This paper develops a theory of the credit cycle to account for recent evidence that capital is increasingly allocated to inefficiently risky projects over the course of the boom.

The model features lenders who sell risk exposure to non-lender investors in order to relax borrowing constraints, but are tempted to produce and sell off bad assets when asset prices are sufficiently high. Asset prices gradually increase during the boom because non-lender wealth grows as their risk-taking pays off, triggering a fall in asset quality and precipitating an eventual crisis. I study the initial conditions that give rise to the credit cycle and consider policy implications.

We provide a Keynesian growth theory in which pessimistic expectations can lead to very persistent, or even permanent, slumps characterized by unemployment and weak growth. We refer to these episodes as stagnation trapsbecause they consist in the joint occurrence of a liquidity and a growth trap. In a stagnation trap, the central bank is unable to restore full employment because weak growth depresses aggregate demand and pushes the interest rate against the zero lower bound, while growth is weak because low aggregate demand results in low profits, limiting firms' investment in innovation.

Policies aiming at restoring growth can successfully lead the economy out of a stagnation trap, thus rationalizing the notion of job creating growth. Most studies focusing on the determinants of loss given default LGD have largely ignored possible lagged effects of the macroeconomy on LGD. This paper estimates a fiscal reaction function FRF framework for euro area countries and derives a novel approach to measure fiscal fatigue.

As in previous studies, we find evidence that euro area sovereigns abide, on average, by weak sustainability constraints. The primary balance improves by about 0. The positive reaction of primary surpluses to higher debt strengthened over the crisis. Based on this framework, we propose a simple, practical measure of fiscal fatigue that can be used to assess the capacity of sovereigns to maintain primary surpluses over extended periods of time.

The evidence of fiscal fatigue in non-linear FRF specifications is weaker for our euro area sample. We survey the emerging literature on safe assets. The recent evidence on a time-varying safety premium suggests a demand for safety quite distinct from liquidity and classic money demand, offering insight on a strong segmentation between safe savings and speculative investment markets.

A related theoretical literature studies the private creation of quasi safe assets by intermediaries, shedding new light on bank intermediation and financial stability. Novel concepts such as maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality associated with banking, and have significant implications for research on credit cycles as well as for prudential policy.

We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies EMEs. Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the credit gap to estimate finance-adjusted output gaps.

We measure the domestic and global credit gaps as the deviation of private-sector real credit growth and net capital flows to EMEs from long-term trends, using the asymmetric Band-Pass filter. Overall, we find that financial cycle information is associated with cyclical movements in output. In the current circumstances, the estimates suggest that if financing and credit conditions were to tighten, it would be associated with a moderation in activity in some EMEs.

In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation fears on the inflation risk premium.

For our analysis, we construct a special dataset with a broad range of indicators. The dataset is carefully constructed to ensure that at every point in time the series are aligned with the information set available to traders. Furthermore, we adopt a Bayesian variable selection procedure to deal with the strong multicollinearity in the variables that potentially can micro account forex mt4 the movements in the inflation risk premium.

We find that the inflation risk premium turned negative, on both sides of how to make money fast illegally Atlantic, during the post-Lehman period. This confirms the recent finding by Campbell et al.

We also find, and contrary to common beliefs, that indicators of inflation uncertainty alone cannot explain the movements in the inflation risk premium in the post-Lehman period. The decline in the inflation risk premium seems mostly related to increased forex broker accept webmoney fears and the belief that inflation will stay far away from the monetary policy target rather than declining inflation uncertainty.

This in turn would suggest that central banks should not be complacent with low or even negative inflation risk premia. Banks are intrinsically fragile because of their role as liquidity providers. This results in underprovision of liquidity. We analyze the effect of government guarantees on the interconnection between banks' liquidity creation and likelihood of runs in a model of global games, where banks' and depositors' behavior advantages of cftc approved binary options endogenous and affected by the is fx spot trade a derivative and form of guarantee.

The main insight of our analysis is that guarantees are welfare improving because they induce banks to improve liquidity provision although in a way that sometimes increases the likelihood of runs or creates distortions in banks' behavior. The main result in Svensson and its previous versions is that, given current knowledge and empirical estimates, the cost of using monetary policy to "lean against the wind" for nancialstability purposes exceeds the benefit by a substantial margin.

Adrian and Liang a conduct a sensitivity analysis of this result, state that "the result that costs exceed benefits rely critically on assumptions about the change in unemployment in a recession or crisis, the crisis probability, and the elasticity of crisis probability with respect to the interest rate," and provide alternative assumptions that they assert would overturn the result.

This paper shows that Adrian and Liang's alternative assumptions are hardly realistic: Adrian and Liang furthermore do not comment on the extensive sensitivity analysis already done in previous versions of Svenssonwhich supports the robustness of my result.

We use the introduction of a financial transaction tax FTT in France in to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-term investors.

Finally, our findings show that moderate aggregate effects on market quality can mask large adjustments made by individual agents. This paper uses panel econometric techniques to estimate a macro- nancial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three years horizon conditional abingdon tri-state livestock market the baseline and adverse macro-economic scenarios used in the EU-wide stress test.

The results indicate that the fee and commission income ratio is varying in particular with changes in its own lag, the short-term interest rate, stock market returns and real GDP growth. They also show that the fee and commission income ratio projections are more conservative under the adverse scenario than under the baseline scenario. These findings suggest that stress tests assuming scenario-independent fee and commission income projections are likely to be flawed.

In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and mpac forex of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and non-life business and we calibrate it using country level data to make it representative of the major euro area insurance markets.

Then, we project this representative balance sheet forward under stochastic capital markets, stochastic mortality developments and stochastic claims. The model highlights the potential threats to insurers solvency and profitability stemming from a sustained period of low interest rates particularly in those markets which are largely exposed to reinvestment risks due to the relatively high guarantees and generous profit participation schemes.

The model also proves how the resilience of insurers to adverse financial developments heavily depends on the diversification of their business mix. Finally, the model identifies potential negative spillovers between life and options research put call ratio business through the redistribution of capital within groups.

This paper shows that a central best online commodity brokers in india can more efficiently mitigate economic crises when it broadens eligibility for its discount facility to any safe asset or solvent agent. We use difference-in-differences panel regressions and emulate crises by studying how defaults of banks and non-agricultural firms were affected by the arrival of an agricultural disease.

We exploit the nationwide buy royal mail shares direct of the implementation of the discount window to deal with the endogeneity of the access to the central bank to the arrival of the crisis and local default rates.

We find that broad eligibility reduced significantly the increase in the default rate when the shock hit the local economy. This effect is identified independently of changes in policy interest rates and the fiscal deficit.

We investigate the interactions across current account misalignments, Real Effective Exchange Rate misalignments and financial or output gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over forex dollar rate in pakistan period We find that, for the euro area, the reaction of current account misalignments to a shock in the Real Effective Exchange Rate misalignments is the largest and the financial gap can influence the current account misalignments more than the output gap.

In non-euro area countries and euro periphery an increase in current account misalignments leads to a temporary increase in the Real Effective Exchange Rate misalignments, lowering competitiveness and thus amplifying current account fluctuations. For the core, a raise in the rate or an expansion of the financial gap may help in rebalancing the current account.

In the CEE members, an increase in the Real Effective Exchange Rate misalignments may bring larger current account deficits in the medium-long run. Early-warning models most commonly optimize signaling thresholds on crisis probabilities.

The ex-post threshold optimization is based upon a loss function accounting for preferences between forecast errors, but comes with two crucial drawbacks: We propose two alternatives for threshold setting: Given probabilistic model output, it is intuitive that a decision rule is independent of the data or model specification, as thresholds on probabilities represent a willingness to issue a false alarm vis. This paper studies the role of global factors in causing common movements in consumer price inflation, with particular focus on the food, housing and energy sub-indices.

It uses a comprehensive dataset of countries and territories collected from national and international sources. Global factors explain a large share of the variance of national inflation rates for advanced countries.

Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy world stock market capitalization by country central banks. Due to their market-moving potential, it is particularly important sandp forex futures they are drafted.

Often, central banks start from the previous statement, and update the earlier text at the margin. This makes it straightforward to compare statements and see how the central bank. We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank market during the sovereign debt crisis in the second half of With the onset of the crisis, interest rates in the Italian interbank market soared and foreign lending forex investor significantly.

We find that the rise in counterparty risk substantially decreased the probability of obtaining funds from foreign banks. When the analysis is restricted to Italian and foreign banks with relatively comparable asset compositions, the result holds. In addition, where safer banks or more stable lending relationships are involved the effect is attenuated.

We consider the effect of an increase in public investments on output in Europe against the background of a sharp drop of public investments in a number of EU countries during the crisis and subsequent policy discussions on the need to stimulate public investments.

We start with a brief overview of recent developments in public investments, including some methodological issues, and provide a literature overview of the effect of public investments on growth. On the basis of updated estimates of the public capital stock, we estimate the output response to a public capital impulse, using VAR models. In addition, using a structural model, we investigate the sensitivity of the macroeconomic impact of an increase in public investments to alternative assumptions about economic structures and policy implementations.

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: This can generate market instability, where an initial dearth of liquidity degenerates into a liquidity rout as in a flash crash.

While in a transparent market, liquidity is increasing in the proportion of high frequency traders, in an opaque market strategic complementarities can make liquidity U-shaped in this proportion as well as in the degree of transparency. This paper uses two established DSGE models QUEST III and Smets-Wouters to assess the impact of fiscal spending cuts on output and, in particular, also on inflation in the euro area under alternative settings for monetary policy.

We illustrate that those expectations are even more important for the size of the fiscal multipliers than the difference between exogenously versus endogenously modelled constraints. We confirm the well-known finding that fiscal multipliers exhibit an over-proportional reaction when monetary policy is constrained. The novelty of our results is that this over-proportionality is stronger for the fiscal multiplier on inflation than on output.

We relate this finding to the structural parameters of the models by means of a Global Sensitivity Analysis.

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Previous assessments of nominal exchange rate determination, following Meese and Rogoff have focused upon a narrow set of models. In this paper, we further expand the set of models to include Taylor rule fundamentals, yield curve factors, and incorporate shadow rates and risk and liquidity factors.

The performance of these models is compared against the random walk benchmark. The models are estimated in error correction and first-difference specifications. We examine model performance at various forecast horizons 1 quarter, 4 quarters, 20 quarters using differing metrics mean squared error, direction of changeas well as the.

We test if unconventional monetary policy instruments influence the competitive conduct of banks. The paper presents a model-based assessment of fiscal multipliers operating in the euro area during the period The assessment is conditional on two distinct reactions of the sovereign risk premium either responding how much money does a heavy equipment mechanic make to fiscal shocks or being an exogenous process and two types of monetary policy accommodative and non-accommodative.

Applying those multipliers to the amount of austerity measures implemented in yearsthe paper evaluates their possible fallouts and shows that the output effects of the recent fiscal consolidations were largely determined by two key factors: Models and Applications E This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area. Overall, we find strong variation in the information content of these variables over time. We show that monetary and credit aggregates are very often selected among the top predictors of inflation, with their predictive power relative to other predictors generally improving in the post period.

An out-of-sample forecasting exercise indicates that, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the benchmark model are generally high td stock market prices significant across horizons and HICP components only in the most recent period.

When the forecasts are computed using factor-augmented regressions based on the best predictors, we confirm the importance of monetary and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of variables. This paper aims to derive a methodology to decompose aggregate revenue TFP changes over time into four different components.

Objectives, Structure, and Effects. We use information on monthly wage increases set by collective agreements in Italy and exploit their variation across sectors and over time in order to examine how household consumption responds to different types of positive income shocks regular tranches versus lump-sum payments. Focusing on single-earner households, we find evidence of consumption smoothing in accordance with the Permanent-Income Hypothesis, since total and food consumption do not exhibit excess sensitivity to anticipated regular payments.

Consumption does not respond at the date of the announcement of income increases either, as these are known to compensate workers for the overall loss in their wages' purchasing power. This behaviour is consistent with bounded rationality as consumers do not consider the lump-sum as part of the overall wage inflation adjustment.

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants in individual euro area countries using a time-varying model.

Using the reduced form results, we show decoupling of periphery euro area bond yields from the core countries yields following the financial crisis and european union trade policy domestic institutions and systemic factors scope of their subsequent re-integration. In addition, by means of the structural analysis based on identification via sign restrictions, we present time varying impulse responses of bond yields to EA and Can foreigners buy shares in uk monetary policy shocks and to confidence shocks.

This paper investigates the link between sovereign ratings and how to buy stocks with td ameritrade fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric estimation technique, based on a Bayesian ordered probit model, to understand how the decisions of rating agencies can be explained by economic developments.

The estimated model re-produces historical ratings by using a small number of economic and institutional variables, which seem to effectively summarize the large number of criteria used by Moody. We present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered canadian dollar rate in the philippines model where each layer represents the securities cross holdings of a specific seniority among the largest euro area banking groups.

On this basis, the bail-in of a bank can be simulated to identify the direct contagion risk to the other banks in the network. We find that there is strategy work on binary option trading direct contagion to creditor banks.

Spill-overs also tend to be small due to low levels of securities cross-holdings in the interbank network. We also quantify the impact of a bail-in on the different liability holders. Finally, we compute the effect of the bail-in on the network topology in each layer. We find that a bail-in significantly reshapes interbank linkages within specific seniority put options stock halted. Banks are usually better informed on the loans they originate stock options division c deduction other financial intermediaries.

As a result, securitized loans might be of lower credit quality than otherwise similar non-securitized loans. We assess the effect of securitization activity on loans. Financial institutions are key to allocate capital to its most productive uses.

In order to examine the relationship between productivity and bank credit in the context of different financial market set-ups, we introduce a model of overlapping generations of entrepreneurs under complete and incomplete credit markets. Then, we exploit firm-level data for France, Germany and Italy to explore the relation between bank credit and productivity following the main derivations of the model. We estimate an extended set of elasticities of bank credit with respect to a series of productivity measures of firms.

We focus not only on the elasticity between bank credit and productivity during the stock brokers burke county year, but also on the elasticity between credit and future realised productivity.

Our estimates show a clear Eurozone core-periphery divide, the elasticities between credit and productivity estimated in France and Germany are consistent with complete markets, whereas in Italy they are consistent with incomplete markets. The implication is that in Italy firms turn to be constrained in their long-term investments and bank credit is allocated less efficiently than in France and Germany. Hence capital misallocation by banks can be a key driver of the long-standing slow productivity growth that characterises Italy and other periphery countries.

Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention tourist exchange rate us dollar to euro. We start from the benchmark rational inattention problem.

An agent tracks a variable of interest that follows a Gaussian process. The agent chooses how to pay attention to this variable. The agent aims to minimize, say, the mean squared error subject to how dogpile makes money constraint on information flow, as in Sims The optimal signal weights html form radio button selected by default be computed from a simple extension of the Kalman filter: We provide several analytical results regarding those signal weights.

We also prove the equivalence of several different formulations of the information flow constraint. We conclude with general equilibrium applications from Macroeconomics.

Most euro area countries have entered an unprecedented ageing process: This implies an ever smaller fraction of the working age population in total population, leading to changes in consumption and saving behaviours and having an important impact on the macroeconomy. In this paper we focus on the relationship between demographic change and inflation. We find that based on a cointegrated VAR model there is a positive long-run relationship between inflation and the growth rate of working-age population as a share in total population in the euro area countries as a whole, but also in the US and Germany.

We also find that this relation is mitigated by the effect of monetary policy, which we account for by including the short-term interest rate in our analysis. One caveat of the analysis could be that the empirical relationship as found does not sufficiently take into account changes in policy settings following the high inflation experiences in the s. Our findings support the view that demographic trends are among the forces that shape the economic environment in which monetary policy operates.

This is particularly relevant for countries, like many in Europe, that face an ageing process. Inflation in the euro area has been falling since how to earn money in silkroad online, turned negative at the end of and remained below target thereafter.

This paper employs a Bayesian VAR to quantify the contribution of a set of structural shocks, identified by means of sign restrictions, to inflation and economic activity.

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Shocks to oil supply do not tell the full story about the disinflation that started inas both aggregate demand and monetary policy shocks also played an important role. The lower bound to policy rates turned the European Central Bank ECB conventional monetary policy de facto contractionary. A country analysis confirms that the negative effects of oil supply and monetary policy shocks on inflation was widespread, albeit with different intensity across countries. The ECB unconventional measures since contributed to raising inflation and economic activity in all the countries.

All in all, our analysis confirms the appropriateness of the ECB asset purchase programme. We develop a theoretical model that features a business cycle-dependent relation between out- put, price inflation and inflation expectations, augmenting the model by Svensson with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory Macklem The theoretical model motivates our empirical assessment for the euro area, based on a regime-switching Phillips curve and a regime-switching monetary structural VAR, employing different filter-based, semi-structural model-based and Bayesian factor model-implied output gaps.

The analysis confirms the presence of a pronounced convex relationship between inflation and the output gap, meaning that the coefficient in the Phillips curve on the output gap recurringly increases during times of expansion and abates during recessions.

The regime switching VAR reveals the business cycle dependence of macroeconomic responses to monetary policy shocks: Expansionary monetary investment brokers las vegas nv induces less pressure on inflation at times of weak as opposed to strong growth; thereby rationalizing relatively stronger expansionary policy, including unconventional volume-based policy such as the Expanded Asset Purchase Programme EAPP of the ECB, during times of deep recession.

In this paper we analyse the exchange rate pass-through ERPT in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain.

For that purpose we use Bayesian VARs with identi? Our results emphasize that pass-through in the euro area is not constant over time - it may depend on a composition of economic shocks governing the exchange rate. Regarding the relative importance of individual shocks, it seems that pass-through is the strongest when the exchange rate movement is triggered by relative monetary policy shocks and the exchange rate shocks. Our shock-dependent measure of ERPT points to a large but volatile pass-through to import prices and overall very small pass-through to consumer in?

This paper examines the process of adjustment of prices in Italy to determine whether nominal flexibility, measured by the frequency of price changes, has increased in the recent years of protracted stagnation and double-dip recession. The analysis is based on a large micro-level dataset of individual prices collected monthly by Istat from to for the Consumer Price Index.

We find that both the european union trade policy domestic institutions and systemic factors of prices adjusted monthly and the average size of the adjustment have risen significantly since the period, in particular for downward changes.

This greater flexibility is related in part to stock broker fiduciary duty spread of modern distribution structures.

Our estimates further indicate that the recession has affected the price adjustment mechanism: The response of US inflation to the high levels of spare capacity during the Great Recession of was rather muted. At the same time, it has been argued that the short-term unemployment gap has a more prominent role in determining inflation, and either the closing of this gap or non-linearities in the Phillips curve could lead to a sudden pick-up in inflation.

We revisit these issues by estimating Phillips curves over Q1 to Q1. Our main findings suggest that a Phillips curve model that takes into account inflation persistence, inflation expectations, supply shocks and labour market slack as determinants explains rather well the behaviour of inflation after the Great Recession, with little evidence of a "missing deflation puzzle".

More important than the choice of the slack measure is the consideration of time-variation in the slope. In fact, we find that Phillips curve models with time-varying slope coefficients are able to outperform significantly the constant-slope model as well as other non-linear models over QQ1. In the immediate wake of the Great Recession we didn't see the disinflation that most models predicted and, subsequently, we didn't see the inflation they predicted.

We show that these puzzles disappear in a Vector Autoregressive model that properly accounts for domestic and global club penguin game money maker online. Such a model reveals, among others, that domestic factors explain much of the inflation dynamics in the euro area missing inflation episode.

Consequently, economists and models that excessively focused on the global nature of inflation were liable to miss the contribution of deflationary domestic shocks during this episode. This paper analyses the distribution of long-term inflation expectations in the euro area using individual density forecasts from the ECB Survey of Professional Forecasters. We exploit the panel dimension in this dataset to examine whether this distribution became less stable following the Great Recession, subsequent sovereign debt crisis and period when the lower bound on nominal best buy ipad restocking fee 2016 rates became binding.

Our results suggest that the distribution did change along several dimensions. We document a small downward shift in mean long-run expectations toward the end of our sample although they remain aligned with the ECB definition of price stability. More notably, however, we identify a trend toward a more uncertain and negatively skewed distribution with higher tail risk. Another main finding is that key features of the distribution are influenced by macroeconomic news, including the ex post historical track record of the central bank.

Did the decline in inflation rates from to and the low levels of market-based inflation expectations lead to de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation-linked swap ILS rates.

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail co-movements between short- and long-term distributions of inflation expectations, estimated from daily quotes of inflation derivatives.

We find that, duringaverage correlations between short- and long-term inflation expectations rose sharply; moreover, negative tail events impacting short-term beliefs have been increasingly channeled to long-term views, triggering both downward revisions in expectations and upward changes in uncertainty. Overall, our results signal a risk of downside de-anchoring of long-term inflation expectations. We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period.

First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, following Natoli and Sigalotti To quantify the degree of anchoring, we also propose a new indicator based on the results of a logistic regression, measuring the odds that strong negative shocks to short-term expectations are channelled to large declines in long-term expectations.

The results reveal, for the euro area, an increase in the de-anchoring risk during the last quarter of ; while showing a significant reduction after the peak, our de-anchoring indicator remains high and volatile in and Expectations in the US and UK are instead found to be firmly anchored.

The effects of the unconventional monetary policy UMP measures undertaken by the U. Federal Reserve and other major central banks remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has been largely overlooked.

Our analysis provides two key insights. First, the anchoring of inflation expectations deteriorated significantly since late Second, the expansion of the Fed. The paper studies how a prolonged period of subdued price developments may induce a de-anchoring of inflation expectations from the central bank's objective.

This is shown within a framework where agents form expectations using adaptive learning, choosing among a set of alternative forecasting models. The analysis is accompanied by empirical evidence on the properties of inflation expectations in the euro area.

Our results also suggest that monetary policy may lose effectiveness if delayed too much, as expectations are allowed to drift away from target for too long. In this paper we investigate how income growth rates in one country are affected by growth rates in partner countries, testing for the importance of pairwise country links as well as characteristics of the receiving country trade and financial openness, exchange rate regime, fiscal variables.

We find that trade integration fosters the spill-over of business cycles, both bilaterally and as a country characteristic trade openness. Results for financial integration are mixed; financial links as pairwise country characteristic are either insignificant or negatively signed indicating a dampening of cross country spill-oversbut financial openness as characteristic of the receiving country amplifies spill-overs.

We find no evidence for a role of the exchange rate regime. Finally, we find that higher government spending and debt reduces countries. Determination, Term Structure, and Effects G This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up to the aftermath of the financial crisis by mapping them on a set of macro factors. It builds on an existing discrete time affine Gaussian model of the term structure model of nominal bonds, real bonds and equity and extends it by three important innovations.

Firstly, allowing for structural shifts in inflation expectations. Secondly, accounting for the relevance of the zero lower bound in the period after by modelling a so-called shadow rate and deriving asset prices by explicitly considering the zero lower bound.

Finally, calculating the standard errors to correctly capture the multi-step nature of the estimation process, which results in substantially larger standard errors than previously reported for the model. We achieve statistically signicant risk premia by imposing restrictions on the matrix of risk premia.

Taken together, these modifications allow to better model asset prices also during the financial crisis and the ensuing economic environment of sluggish growth, low inflation rates, interest rates close to zero and quantitative easing. We propose a shadow-rate term structure model for the euro area yield curve from to mid, when bond yields had turned negative at various maturities.

Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change over time. We estimate that it has first ranged marginally above zero, but has decreased to bps in September We derive the impact of a changing lower bound on the yield curve and interpret the impact of the September ECB rate cut from this perspective.

Our model matches survey forecasts of short rates and the decline in yield volatility during the low-rate period better than a benchmark affine model. We estimate that since mid the horizon when short rates are expected to exceed 25 bps again has ranged between 18 and 62 months.

This paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from the euro area Household Finance and Consumption Survey and the U. Survey of Consumer Finance, it first documents that there are, respectively, 3.

Low-income households, unemployed households and those with a poor education are the most likely to be affected, and remarkably more so in the United States than in the euro area. At the same time, there is a role for government policies in fostering financial inclusion. Using a propensity score matching approach to estimate the effects of being unbanked, it is found that banked households report substantially higher net wealth than their unbanked counterparts, with a gap of around.

Revenue elasticities play a key role in forecasting, monitoring and analysing public finances under the European fiscal framework, which largely builds on cyclically adjusted indicators.

This paper investigates whether there is evidence for dynamic. Please keep in mind that the papers are published in the name of the author s. Their views do not necessarily reflect those of the ECB.

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Abstract JEL Classification E2: Abstract JEL Classification E Jonathan Acosta SmithMichael GrillJan Hannes Lang. Abstract JEL Classification G Abstract This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. Antonio Dias Da SilvaAudrey GivoneDavid Sondermann. Abstract JEL Classification C Derrick KanngiesserReiner MartinLaurent MaurinDiego Moccero.

Abstract We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identied with sign restrictions. Ivan JaccardFrank Smets. Abstract JEL Classification F Luca GambettiAlberto Musso. Abstract This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme APP announced by the European Central Bank ECB in January Abstract In light of persistently large net foreign liability NFL positions in several euro area countries, we analyse episodes of sizeable NFL reductions for a broad sample of advanced and emerging economies.

Andrea NoceraMoreno Roma. Abstract We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macroeconomy and the role of house prices in the monetary policy transmission, across euro area countries.

Konstantinos DellisDavid Sondermann. Abstract JEL Classification D Abstract Lobbying can provide policy makers with important sector-specific information and thereby facilitating informed decisions.

Abstract The paper identifies the business models followed by banks in the euro area utilising a proprietary dataset collected in the context of the supervisory reporting of the Single Supervisory Mechanism. Household Finance and Consumption Network HFCN. Abstract JEL Classification Z1: Abstract This paper examines the role of culture in households saving decisions.

Abstract The Great Recession has been characterised by the two stylized facts: Abstract This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously.

Konstantinos DellisDavid SondermannIsabel Vansteenkiste. Abstract This paper investigates the role of economic structures as determinants of FDI inows. Stefano CorradinAngela Maddaloni. Erik FrohmVanessa Gunnella. Abstract This paper studies the role of global input-output linkages in transmitting economic disturbances in the international economy.

Andrea MoroDaniela MareschAnnalisa FerrandoGregory F. Reamonn LydonTara McIndoe-Calder. Abstract Drawing on the Household Finance and Consumption Survey HFCS and complementary administrative data sources, we simulate household balance sheets at the micro level for the period. Arzu UlucTomasz Wieladek. Abstract We study the effect of changes to bank-specific capital requirements on mortgage loan supply with a new loan-level dataset containing all mortgages issued in the UK between Q2 and Q2.

Abstract We show that traditional gravity variables play a significant role in explaining trade flows related to global value chain participation We find evidence that cooperation costs — measured by linguistic and geographical proximity — are more relevant for trade that reflects cross-border production sharing.

Eyal DvirGeorg Strasser. Abstract We study cross-country price differences in the European market for new passenger cars based on detailed pricing and technical data. Abstract What are the drivers of business cycle fluctuations? Thibaut DupreyBenjamin Klaus. Roel BeetsmaMassimo GiuliodoriJesper HansonFrank de Jong.

Abstract Earlier research has shown that euro area primary public debt markets affect secondary markets. Abstract JEL Classification C3: Abstract This paper studies spillovers among US and European sovereign yields.

Oana-Maria GeorgescuMarco GrossDaniel KappChristoffer Kok. Abstract Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks.

Ryan ChahrouryGaetano Gaballoz. Abstract We estimate the response of euro area sovereign bond yields to purchase operations under the ECBs Public Sector Purchase Programme PSPPusing granular data on all PSPP-eligible securities at daily frequency.

Maddalena RonchiFilippo di Mauro. Abstract JEL Classification J Luca DedolaGiulia RivoltaLivio Stracca. Abstract JEL Classification F3: Abstract This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. Abstract This paper studies export adjustment to negative shocks in currency unions.

Abstract This paper illustrates the main features of the Labour Module of the CompNet dataset which provides indicators of firm growth over the period across 17 EU 13 euro area countries and 9 macro-sectors. BlinderMichael EhrmannJakob de HaanDavid-Jan Jansen. Abstract We ask whether recent changes in monetary policy due to the financial crisis will be temporary or permanent. Abstract This study examines the home bias in trade in goods and services within the European Union.

Abstract In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to the domestic economy. Apostolos ApostolouJohn Beirne. Abstract This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve FED and European Central Bank ECB to emerging market economies EMEs from to Abstract In this paper we analyse to what extent the outward shift in the Portuguese Beveridge curve since has been due to structural or cyclical factors and how likely the outward shift will persist.

Abstract This study tests for the state-dependent response of monetary policy to increases in overall financial stress and financial sector-specific stress across a panel of advanced and emerging economy central banks. Martin ScheicherTuomas PeltonenMarco D'ErricoStefano Battiston. Abstract We develop a framework to analyse the Credit Default Swaps CDS market as a network of risk transfers among counterparties. Igor VetlovMaria Grazia AttinasiMagdalena Lalik.

Abstract The fiscal consolidation measures adopted in many euro area countries over Abstract This paper develops a theory of the credit cycle to account for recent evidence that capital is increasingly allocated to inefficiently risky projects over the course of the boom.

Gianluca BenignoLuca Fornaro. Abstract We provide a Keynesian growth theory in which pessimistic expectations can lead to very persistent, or even permanent, slumps characterized by unemployment and weak growth. Abstract Most studies focusing on the determinants of loss given default LGD have largely ignored possible lagged effects of the macroeconomy on LGD. Abstract JEL Classification H Abstract This paper estimates a fiscal reaction function FRF framework for euro area countries and derives a novel approach to measure fiscal fatigue.

Pascal GolecEnrico Perotti. Abstract We survey the emerging literature on safe assets. Ioannis GrintzalisDavid LodgeAna-Simona Manu.

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Abstract We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies EMEs. Abstract In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro area. Elena CarlettiAgnese LeonelloFranklin AllenItay Goldstein.

Abstract Banks are intrinsically fragile because of their role as liquidity providers. Abstract The main result in Svensson and its previous versions is that, given current knowledge and empirical estimates, the cost of using monetary policy to "lean against the wind" for nancialstability purposes exceeds the benefit by a substantial margin.

Peter HoffmannJean-Edouard Colliard. Abstract We use the introduction of a financial transaction tax FTT in France in to test competing theories on its impact. Christoffer KokCosimo PancaroHarun Mirza. Abstract This paper uses panel econometric techniques to estimate a macro- nancial model for fee and commission income over total assets for a broad sample of euro area banks.

Christoffer KokCosimo PancaroElia Berdin. Abstract In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. Clemens JobstVincent Bignon. Abstract This paper shows that a central bank can more efficiently mitigate economic crises when it broadens eligibility for its discount facility to any safe asset or solvent agent.

Abstract We investigate the interactions across current account misalignments, Real Effective Exchange Rate misalignments and financial or output gaps within EU countries. Peter SarlinGregor von Schweinitz.

Abstract Early-warning models most commonly optimize signaling thresholds on crisis probabilities. Abstract This paper studies the role of global factors in causing common movements in consumer price inflation, with particular focus on the food, housing and energy sub-indices. Michael EhrmannJonathan Talmi. Abstract Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks.

Giuseppe CappellettiGiovanni Guazzarotti. Abstract We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank market during the sovereign debt crisis in the second half of Igor VetlovMarien FerdinandusseJasper de JongJosip Funda.

Abstract We consider the effect of an increase in public investments on output in Europe against the background of a sharp drop of public investments in a number of EU countries during the crisis and subsequent policy discussions on the need to stimulate public investments.

Giovanni CespaXavier Vives. Abstract We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: Tilman BletzingerMagdalena Lalik. Abstract This paper uses two established DSGE models QUEST III and Smets-Wouters to assess the impact of fiscal spending cuts on output and, in particular, also on inflation in the euro area under alternative settings for monetary policy.

Yin-Wong CheungMenzie D. ChinnAntonio Garcia PascualYi Zhang. Abstract Previous assessments of nominal exchange rate determination, following Meese and Rogoff have focused upon a narrow set of models. Michael WedowMichael KoetterNatalia Podlich. Abstract We test if unconventional monetary policy instruments influence the competitive conduct of banks. Abstract The paper presents a model-based assessment of fiscal multipliers operating in the euro area during the period Abstract This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area.

Abstract This paper aims to derive a methodology to decompose aggregate revenue TFP changes over time into four different components. Roberta ZizzaEffrosyni Adamopoulou. Abstract We use information on monthly wage increases set by collective agreements in Italy and exploit their variation across sectors and over time in order to examine how household consumption responds to different types of positive income shocks regular tranches versus lump-sum payments.

Abstract In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Abstract This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis.

Abstract We present a tractable framework to assess the systemic implications of bail-in. Abstract Banks are usually better informed on the loans they originate than other financial intermediaries. Filippo di MauroGianmarco I. OttavianoFadi Hassan. Abstract Financial institutions are key to allocate capital to its most productive uses. Abstract Dynamic rational inattention problems used to be difficult to solve.

Christiane NickelElena BobeicaEliza LisYiqiao Sun. Abstract Most euro area countries have entered an unprecedented ageing process: Stefano NeriAndrea NobiliAntonio M.

Abstract Inflation in the euro area has been falling since mid, turned negative at the end of and remained below target thereafter. Willi SemmlerMarco Gross. Abstract We develop a theoretical model that features a business cycle-dependent relation between out- put, price inflation and inflation expectations, augmenting the model by Svensson with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory Macklem Mariarosaria ComunaleDavor Kunovac.

Abstract In this paper we analyse the exchange rate pass-through ERPT in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain. Silvia FabianiMario Porqueddu. Abstract This paper examines the process of adjustment of prices in Italy to determine whether nominal flexibility, measured by the frequency of price changes, has increased in the recent years of protracted stagnation and double-dip recession.

Ursel BaumannBruno Albuquerque. Abstract The response of US inflation to the high levels of spare capacity during the Great Recession of was rather muted. Abstract In the immediate wake of the Great Recession we didn't see the disinflation that most models predicted and, subsequently, we didn't see the inflation they predicted.

Geoff KennyJonas Dovern. Abstract This paper analyses the distribution of long-term inflation expectations in the euro area using individual density forecasts from the ECB Survey of Professional Forecasters.

Abstract Did the decline in inflation rates from to and the low levels of market-based inflation expectations lead to de-anchored inflation dynamics in the euro area? Filippo NatoliLaura Sigalotti. Abstract We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from onwards when long-term beliefs have substantially drifted away from the policy target.

Abstract We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. Abstract The effects of the unconventional monetary policy UMP measures undertaken by the U. Alberto LocarnoDavide Delle MonacheFabio BusettiAndrea Gerali. Abstract The paper studies how a prolonged period of subdued price developments may induce a de-anchoring of inflation expectations from the central bank's objective.

Livio StraccaLetizia Montinari. Abstract JEL Classification F1: Abstract In this paper we investigate how income growth rates in one country are affected by growth rates in partner countries, testing for the importance of pairwise country links as well as characteristics of the receiving country trade and financial openness, exchange rate regime, fiscal variables.

Abstract This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up to the aftermath of the financial crisis by mapping them on a set of macro factors. Wolfgang LemkeAndreea Liliana Vladu. Abstract We propose a shadow-rate term structure model for the euro area yield curve from to mid, when bond yields had turned negative at various maturities. Michael EhrmannMiguel Ampudia. Abstract This paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation.

Gerrit KoesterChristoph Priesmeier. Abstract Revenue elasticities play a key role in forecasting, monitoring and analysing public finances under the European fiscal framework, which largely builds on cyclically adjusted indicators. By year Full list. Twitter facebook linkedin googleplus Whatsapp email. Site directory Follow us. More information about auto-update Auto-update explained When the auto-update function is enabled, any update released on the homepage will automatically appear without the whole page being reloaded.

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