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Market dynamics associated with credit ratings - a literature review

Gonzalez, Fernando; Haas, François; Johannes, Ronald; … - European Central Bank - 2004

This paper investigates the potential impact of the growing influence of the opinions of credit rating agencies (CRAs) on market dynamics. This impact can be seen as a consequence of the information content of the ratings themselves or indirectly as a consequence of the "hardwiring" of ratings...

Persistent link: https://www.econbiz.de/10005816128

Governance of securities clearing and settlement systems

Russo, Daniela; Hart, Terry L.; Papathanassiou, Chryssa - European Central Bank - 2004

In the context of securities clearing and settlement systems, the nature of governance arrangements acquires a … light of the analysis of this paper, and pending a further evolution in the regulation of securities clearing and settlement … jurisdiction, securities clearing and settlement systems should adopt and ensure effective implementation of the highest corporate …

Persistent link: https://www.econbiz.de/10005222254

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000

related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still …

Persistent link: https://www.econbiz.de/10005344911

Competition and stability: what's special about banking?

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

considerations for payment systems. A core part of the paper is an analysis of the relative roles of competition and supervisory …

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

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

Conditional and joint credit risk

Lucas, André; Schwaab, Bernd; Zhang, Xin - European Central Bank - 2013

We propose an empirical framework to assess joint and conditional probabilities of credit events from CDS prices observed in the market. Our model is based on a dynamic skewed-t distribution that captures many salient features of CDS data, including skewed and heavy-tailed changes in the price...

Persistent link: https://www.econbiz.de/10010753762

The Gulf Cooperation Council countries – economic structures, recent developments and role in the global economy

Sturm, Michael; Strasky, Jan; Adolf, Petra; Peschel, Dominik - European Central Bank - 2008

In the wake of high and rising oil prices since 2003, the member states of the Gulf Cooperation Council (GCC) have seen dynamic economic development, enhancing their role in the global economy as investors and trade partners. Real GDP growth has been buoyant, with non-oil activity expanding...

Persistent link: https://www.econbiz.de/10005816131

Monetary policy and the stock market in the euro area

Cassola, Nuno; Morana, Claudio - European Central Bank - 2002

In this paper we study the role of the stock market in the transmission mechanism in the euro area and evaluate whether price stability and financial stability are mutually consistent and complementary objectives. Four major conclusions can be drawn from our work. First, stock prices and more...

Persistent link: https://www.econbiz.de/10005816237

The fiscal costs of financial instability revisited

Eschenbach, Felix; Schuknecht, Ludger - European Central Bank - 2002

This paper conducts a comprehensive analysis of the fiscal costs of financial instability (defined as major asset price changes and including, as extreme cases, financial crises). The study identifies three channels to fiscal accounts: 1) revenue effects on capital gains, asset turnover and...

Persistent link: https://www.econbiz.de/10005816281

Run-prone banking and asset markets

Hoerova, Marie - European Central Bank - 2007

I analyze the role that asset markets play in the performance and stability of the run-prone banking sector. Banks 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...

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