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Diversification in euro area stock markets: country versus industry

Moerman, Gerard - European Central Bank - 2004

The harmonisation of fiscal and economic policy within the European Monetary Union (EMU) has had a considerable impact on the economies of member countries in the past decade. In particular, several studies indicate that the proceeding economic integration among euro area countries has important...

Persistent link: https://www.econbiz.de/10005530737

Cross-border diversification in bank asset portfolios

Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - European Central Bank - 2005

Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...

Persistent link: https://www.econbiz.de/10005222303

The microstructure of the euro money market

Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - European Central Bank - 2001

This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...

Persistent link: https://www.econbiz.de/10005530814

Nonlinear liquidity adjustments in the euro area overnight money market

Beaupain, Renaud; Durré, Alain - European Central Bank - 2012

The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to...

Persistent link: https://www.econbiz.de/10010686861

Optimal portfolio choice with predictability in house prices and transaction costs

Corradin, Stefano; Fillat, José L.; Vergara-Alert, Carles - European Central Bank - 2012

We generalize the classic Grossman and Laroque (1990) (GL) model of optimal portfolio choice with housing and transaction costs by introducing predictability in house prices. As in the GL model, agents only move to more expensive (cheaper) houses when their wealth-to-housing ratios reach an...

Persistent link: https://www.econbiz.de/10010686863

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

Impact of bank competition on the interest rate pass-through in the euro area

van Leuvensteijn, Michiel; Kok, Christoffer; Bikker, … - European Central Bank - 2008

This paper analyses the impact of loan market competition on the interest rates applied by euro area banks to loans and … deposits during the 1994-2004 period, using a novel measure of competition called the Boone indicator. We find evidence that … stronger competition implies significantly lower spreads between bank and market interest rates for most loan market products …

Persistent link: https://www.econbiz.de/10004969191

Does product market competition reduce inflation? Evidence from EU countries and sectors

Przybyla, Marcin; Roma, Moreno - European Central Bank - 2005

In this paper we explore the link between the intensity of product market competition and inflation rates across EU … over time and as alternative proxies of competition we use the level of mark-up, profit margin, the profit rate and a … survey based “intensity of competition” variable. Results for both aggregate and sectoral panels show that the extent of …

Persistent link: https://www.econbiz.de/10005530819