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What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
Dötz, Niko; Fischer, Christoph - Deutsche Bundesbank - 2010
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH …
Persistent link: https://www.econbiz.de/10008564414
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An assessment of the trends in international price competitiveness among EMU countries
Fischer, Christoph - Deutsche Bundesbank - 2007
Inflation differentials within European Monetary Union (EMU) are increasingly seen as exerting adverse effects on the … price competitiveness of member countries' firms and – given the common monetary policy within EMU – as being detrimental to … international price competitiveness for EMU countries, the paper analyses whether these indicators have displayed distinctive trends …
Persistent link: https://www.econbiz.de/10005083196
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Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy
Heppke-Falk, Kirsten H.; Hüfner, Felix P. - Deutsche Bundesbank - 2004
This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation...
Persistent link: https://www.econbiz.de/10005083224
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Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark; Wolff, Guntram B. - Deutsche Bundesbank - 2006
increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …
Persistent link: https://www.econbiz.de/10005083235
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Banking and sovereign risk in the euro area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010
We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...
Persistent link: https://www.econbiz.de/10008564415
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
Halberstadt, Arne; Stapf, Jelena - Deutsche Bundesbank - 2012
to 2010 (EMU). We estimate two model specifications, one with only latent factors, and another one with a Taylor …
Persistent link: https://www.econbiz.de/10010957117
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The effectiveness of monetary policy in steering money market rates during the financial crisis
Abbassi, Puriya; Linzert, Tobias - Deutsche Bundesbank - 2012
The financial crisis has deeply affected money markets and thus, potentially, the proper functioning of the interest rate channel of monetary policy transmission. Therefore, we analyze the effectiveness of monetary policy in steering euro area money market rates looking at, first, the...
Persistent link: https://www.econbiz.de/10010957139
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Money-based interest rate rules: lessons from German data
Gerberding, Christina; Seitz, Franz; Worms, Andreas - Deutsche Bundesbank - 2007
The paper derives the monetary policy reaction function implied by money growth targeting. It consists of an interest rate response to deviations of the inflation rate from target, to the change in the output gap, to money demand shocks and to the lagged interest rate. In the second part, it is...
Persistent link: https://www.econbiz.de/10005083083
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Monetary policy and core inflation
Lenza, Michele - Deutsche Bundesbank - 2007
This paper studies optimal monetary policy responses in an economy featuring sectorial heterogeneity in the frequency of price adjustments. It shows that a central bank facing heterogeneous nominal rigidities is more likely to behave less aggressively than in a fully sticky economy. Hence, the...
Persistent link: https://www.econbiz.de/10005083240