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National prices and wage setting in a currency union

Sánchez, Marcelo - European Central Bank - 2009

Existing work on wage bargaining (as exemplified by Cukierman and Lippi, 2001) typicallypredicts more aggressive wage setting under monetary union. This insight has not beenconfirmed by the EMU experience, which has been characterised by wage moderation,thereby eliciting criticism from Posen and...

Persistent link: https://www.econbiz.de/10005866574

Measuring monetary policy expectations from financial market instruments

Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen - European Central Bank - 2008

This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants’ expectations of future UK monetary policy rates. We attempt to evaluate these instruments and curves in terms of their ability to forecast policy rates over the period...

Persistent link: https://www.econbiz.de/10005344961

Purdah: on the rationale for central bank silence around policy meetings

Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2008

on grounds that such communication may create excessive market volatility and unnecessary speculation. This short paper … times more strongly to statements in the purdah before FOMC meetings than during other times, and market volatility … increases (compared to a volatility reduction induced by statements otherwise). The findings thus offer relevant insights about …

Persistent link: https://www.econbiz.de/10005816165

Financial markets' behavior around episodes of large changes in the fiscal stance

Ardagna, Silvia - European Central Bank - 2004

Using a panel of OECD countries from 1960 to 2002, this paper shows that financial markets value fiscal discipline. Interest rates, particularly those of long-term government bonds, decrease when countries' fiscal position improves and increase around periods of budget deteriorations. Stock...

Persistent link: https://www.econbiz.de/10005816222

An international analysis of earnings, stock prices and bond yields

Durré, Alain; Giot, Pierre - European Central Bank - 2005

This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...

Persistent link: https://www.econbiz.de/10005816225

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

Government bond risk premiums in the EU revisited: the impact of the financial crisis

Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - European Central Bank - 2010

This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of...

Persistent link: https://www.econbiz.de/10008541290

Government risk premiums in the bond market: EMU and Canada

Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - European Central Bank - 2008

This paper focuses on risk premiums paid by central governments in Europe and sub-national governments in Germany, Spain, and Canada. With regard to the European governments, we are interested in how these premiums were affected by the introduction of the euro. Using data for bond yield spreads...

Persistent link: https://www.econbiz.de/10005004535

The reception of public signals in financial markets - what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase … more important role in aligning agents’ information set, thus leading to a stronger volatility reduction. The empirical …

Persistent link: https://www.econbiz.de/10005068625

An application of index numbers theory to interest rates

Huerga, Javier; Steklacova, Lucia - European Central Bank - 2008

This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in individual component rates (“interest rate effect”) from those caused by changes in the weights of each component (“weight effect”), on the basis of the “difference” index...

Persistent link: https://www.econbiz.de/10005530730