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CISS - a composite indicator of systemic stress in the financial system

Holló, Dániel; Kremer, Manfred; Duca, Marco Lo - European Central Bank - 2012

This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...

Persistent link: https://www.econbiz.de/10010538811

The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US

Kaufmann, Sylvia; Valderrama, Maria Teresa - European Central Bank - 2007

We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Persistent link: https://www.econbiz.de/10005530956

CISS - a composite indicator of systemic stress in the financial system

Holló, Dániel; Kremer, Manfred; Lo Duca, Marco - European Central Bank - 2012

Persistent link: https://www.econbiz.de/10010686804

The transformation of the European financial system : second ECB Central Banking Conference, October 2002, Frankfurt, Germany

Gaspar, Vítor (contributor) - 2003

Persistent link: https://www.econbiz.de/10004719190

Report on financial structures

2002

Persistent link: https://www.econbiz.de/10004775182

Competition and stability: what's special about banking?

Carletti, Elena; Hartmann, Philipp - European Central Bank - 2002

This paper examines the relationship between competition policies and policies to preserve stability in the banking … considerations for payment systems. A core part of the paper is an analysis of the relative roles of competition and supervisory … countries giving a stronger role to prudential supervisors than to competition authorities and other countries doing it the …

Persistent link: https://www.econbiz.de/10005344959

Why accounting matters: a central bank perspective

Schwarz, Claudia; Karakitsos, Polychronis; Merriman, Niall - European Central Bank - 2014

This paper analyses how accounting frameworks can affect three important areas of responsibility of many central banks, namely monetary policy, financial stability and banking supervision. The identified effects of accounting rules and accounting information on the activities of a central bank...

Persistent link: https://www.econbiz.de/10011115258

Welfare-based monetary policy rules in an estimated DSGE model of the US economy

Juillard, Michel; Karam, Philippe; Laxton, Douglas; … - European Central Bank - 2006

We develop and estimate a stylized micro-founded model of the US economy. Next we compute the parameters of a simple interest rate policy rule that maximizes the unconditional mean of utility. We show that such a welfare-based rule lies close to the Taylor efficiency frontier. A counterfactual...

Persistent link: https://www.econbiz.de/10005025577

A new approach to measuring competition in the loan markets of the euro area

van Leuvensteijn, Michiel; Bikker, Jacob A.; Van … - European Central Bank - 2007

This paper is the first that applies a new measure of competition, the Boone indicator, to the banking industry. This … approach is able to measure competition of bank market segments, such as the loan market, whereas many well-known measures of … competition can consider the entire banking market only. A caveat of the Boone-indicator may be that it assumes that banks …

Persistent link: https://www.econbiz.de/10005344896

Structural features of distributive trades and their impact on prices in the euro area

European Central Bank; Task Force of the Monetary … - 2011

policy perspective, it highlights the importance of structural reforms that help enhance competition in this sector. This …

Persistent link: https://www.econbiz.de/10009327809