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Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - European Central Bank - 2014

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10011067221

Has the Euro affected the choice of invoicing currency?

Ligthart, Jenny E.; Werner, Sebastian E. V. - European Central Bank - 2012

We present a new approach to study empirically the effect of the introduction of the euro on the pattern of currency … invoicing after the introduction of the euro, whereas the home currency share of non-eurozone countries fell slightly. In … addition, the euro as a vehicle currency has overtaken the role of the US dollar in Norwegian imports. The substantial rise in …

Persistent link: https://www.econbiz.de/10010686764

The mutating euro area crisis: is the balance between "sceptics" and "advocates" shifting?

Mongelli, Francesco Paolo - European Central Bank - 2013

The destructive potential of the sovereign debt crisis of the euro area has been slowly abating since last summer, but … euro area, and the other being an erosion of trust in the viability of the euro area itself. Such concerns have led to talk … the crisis or the future of the euro area. While the crisis is a traumatic wake-up call, it is also a catalyst for change …

Persistent link: https://www.econbiz.de/10010688313

One currency, one price? Euro changeover-related inflation in Estonia

Meriküll, Jaanika; Rõõm, Tairi - European Central Bank - 2014

This paper studies euro changeover-related inflation using disaggregated price level data. The difference …-in-differences approach is used and the control group for the treatment country, Estonia, is built from 12 euro area countries. The Nielsen … overall inflationary effect of euro adoption was modest, the effects were significantly different across various market …

Persistent link: https://www.econbiz.de/10011067230

Was unofficial dollarisation/euroisation an amplifier of the 'Great Recession' of 2007-09 in emerging economies

Chiţu, Livia - European Central Bank - 2012

This paper investigates whether, and if so why, the recent ‘Great Recession’ was more severe in unofficially dollarised/euroised economies than in other economies. To that end, the paper builds on a novel dataset on unofficial dollarisation/euroisation to test whether the latter was a...

Persistent link: https://www.econbiz.de/10010686813

Commonality in hedge fund returns: driving factors and implications

Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - European Central Bank - 2014

We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

Persistent link: https://www.econbiz.de/10010753747

Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models

Duca, John; Muellbauer, John - European Central Bank - 2013

After the global financial crisis, there is greater awareness of the need to understand the interactions between the financial sector and the real economy and hence the potential for financial instability. Data from the financial flow of funds, previously relatively neglected, are now seen as...

Persistent link: https://www.econbiz.de/10010693498

Modelling the time varying determinants of portfolio flows to emerging markets

Lo Duca, Marco - European Central Bank - 2012

This paper studies how the drivers of portfolio flows change across periods with a model where regression coefficients endogenously change over time in a continuous fashion. The empirical analysis of daily equity portfolio flows to emerging markets shows that the regression coefficients display...

Persistent link: https://www.econbiz.de/10010686726

A twin crisis with multiple banks of issue: Spain in the 1860s

Moro, Alessio; Nuño, Galo; Tedde, Pedro - European Central Bank - 2013

We document the twin crisis that affected Spain in the mid-1860s. First, we trace back its origins to the international crisis of 1864-66. Next, we describe the particular banking sector of Spain, characterized by the coexistence of the Bank of Spain with multiple local banks of issue. We...

Persistent link: https://www.econbiz.de/10010686742

The interplay of economic reforms and monetary policy: the case of the euro area

Drudi, Francesco; Durré, Alain; Mongelli, Francesco Paolo - European Central Bank - 2012

from September 2008 until spring 2010; and the euro area sovereign debt crisis from spring 2010 to the current period … the euro area. It has brought unprecedented challenges for the monetary union and triggered extraordinary adjustments in … both monetary policy and institutional arrangements at the euro area level. The purpose of this article is to outline the …

Persistent link: https://www.econbiz.de/10010686761