Similar Search Results

Background studies for the ECB's evaluation of its monetary policy strategy

Issing, Otmar (contributor) - European Central Bank - 2003

Persistent link: https://www.econbiz.de/10004820102

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

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - European Central Bank - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10008549311

Liquidity hoarding and interbank market spreads: the role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - European Central Bank - 2009

banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …

Persistent link: https://www.econbiz.de/10008558914

Run-prone banking and asset markets

Hoerova, Marie - European Central Bank - 2007

insure consumers against privately observed liquidity shocks. Asset market investments insure consumers against losses from … bank runs. If the probability of a run is small, then banks specialize fully into the provision of liquidity insurance …: They provide a higher degree of liquidity insurance when compared to the economy with banks alone. If the probability of a …

Persistent link: https://www.econbiz.de/10005816287

Keynesian government spending multipliers and spillovers in the euro area

Cwik, Tobias; Wieland, Volker - European Central Bank - 2010

The global financial crisis has lead to a renewed interest in discretionary fiscal stimulus. Advocates of discretionary measures emphasize that government spending can stimulate additional private spending — the Keynesian multiplier effect. Thus, we investigate whether the spending package...

Persistent link: https://www.econbiz.de/10008727403

Money talks

Hoerova, Marie; Monnet, Cyril; Temzelides, Ted - European Central Bank - 2009

We study credible information transmission by a benevolent Central Bank. We consider two possibilities: direct revelation through an announcement, versus indirect information transmission through monetary policy. These two ways of transmitting information have very different consequences. Since...

Persistent link: https://www.econbiz.de/10008513277

Opting out of the Great Inflation: German monetary policy after the break down of Bretton Woods

Beyer, Andreas; Gaspar, Vítor; Gerberding, Christina; … - European Central Bank - 2009

During the turbulent 1970s and 1980s the Bundesbank established an outstanding reputation in the world of central banking. Germany achieved a high degree of domestic stability and provided safe haven for investors in times of turmoil in the international financial system. Eventually the...

Persistent link: https://www.econbiz.de/10005002749

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - European Central Bank - 2013

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases...

Persistent link: https://www.econbiz.de/10010686747

Money in monetary policy design: Monetary cross-checking in the New-Keynesian model

Wieland, Volker; Beck, Günter W. - European Central Bank - 2010

In the New-Keynesian model, optimal interest rate policy under uncertainty is formulated without reference to monetary aggregates as long as certain standard assumptions on the distributions of unobservables are satisfied. The model has been criticized for failing to explain common trends in...

Persistent link: https://www.econbiz.de/10008459134