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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

Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters

Koop, Gary; Onorante, Luca - European Central Bank - 2012

relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New …

Persistent link: https://www.econbiz.de/10010686766

Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

Ciccarelli, Matteo; Ortega, Eva; Valderrama, Maria Teresa - European Central Bank - 2012

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out...

Persistent link: https://www.econbiz.de/10010686836

Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - European Central Bank - 2012

We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default-specific (frailty), and industry-specific effects. Discrete...

Persistent link: https://www.econbiz.de/10010686837

Bank-firm relationships and the survival of non-financial firms during the financial crisis 2008-2009

Abildgren, Kim; Vølund Buchholst, Birgitte; Staghøj, Jonas - European Central Bank - 2013

Utilising a unique data set with annual accounts from around 37,000 Danish non-financial firms spanning almost one and a half decade, we offer microeconometric evidence on bankfirm relationships and the survival of firms during the financial crisis 2008-9. Within the framework of...

Persistent link: https://www.econbiz.de/10010686855

Heterogeneous transmission mechanism: monetary policy and financial fragility in the euro area

Ciccarelli, Matteo; Maddaloni, Angela; Peydró, José-Luis - European Central Bank - 2013

The Euro area economic activity and banking sector have shown substantial fragility over the last years with remarkable … affected the transmission mechanism of the single Euro area monetary policy during the crisis until the end of 2011. The …

Persistent link: https://www.econbiz.de/10010686876