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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm

Gutiérrez, Puigvert; Maria, Josep; Fortiana Gregori, Josep - European Central Bank - 2008

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...

Persistent link: https://www.econbiz.de/10005530673

Price setting in German manufacturing: new evidence from new survey data

Stahl, Harald - European Central Bank - 2005

This paper presents new evidence on the formation of producer prices based on a onetime survey that was conducted on a sample of 1200 German firms in manufacturing in June 2004. Most of the firms have price-setting power and apply mark-up pricing. Indexation is negligible. Fixed nominal...

Persistent link: https://www.econbiz.de/10005530792

Euro area banking sector integration: using hierarchical cluster analysis techniques

Kok, Christoffer; Gutiérrez, Puigvert; Maria, Josep - European Central Bank - 2006

In this study we apply cluster analysis techniques, including a novel smoothing method, to detect some basic patterns and trends in the euro area banking sector in terms of the degree of homogeneity of countries. We find that in the period 1998-2004 the banking sectors in the euro area countries...

Persistent link: https://www.econbiz.de/10005530960

Patterns of current account adjustment: insights from past experience

Algieri, Bernardina; Bracke, Thierry - European Central Bank - 2007

The paper examines over seventy episodes of current account adjustment in industrial and major emerging market economies. It argues that these episodes were characterised by strongly divergent economic developments. To reduce this divergence, the paper classifies episodes with similar...

Persistent link: https://www.econbiz.de/10004999747

Institutional features of wage bargaining in 23 European countries, the US and Japan

Du Caju, Philip; Gautier, Erwan; Momferatou, Daphne; … - European Central Bank - 2008

This paper presents information on wage bargaining institutions, collected using a standardised questionnaire. Our data provide information from 1995 and 2006, for four sectors of activity and the aggregate economy, considering 23 European countries, plus the US and Japan. Main findings include...

Persistent link: https://www.econbiz.de/10005344868

The microstructure of the euro money market

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

and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …

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

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - European Central Bank - 2003

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. JEL Classification: C22, C51, G13, G15 …

Persistent link: https://www.econbiz.de/10005530978

The effect of G20 summits on global financial markets

Lo Duca, Marco; Stracca, Livio - European Central Bank - 2014

equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis. Our main finding …

Persistent link: https://www.econbiz.de/10011067256

The determinants of public deficit volatility

Agnello, Luca; Sousa, Ricardo M. - European Central Bank - 2009

This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less … democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper …

Persistent link: https://www.econbiz.de/10005002762

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - European Central Bank - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10005222395