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Can adjustment costs explain the variability and counter-cyclicality of the labour share at the firm and aggregate level?

Vermeulen, Philip - European Central Bank - 2007

This paper shows that adjustment costs modelled as firing costs of moderate size go a long way in explaining the variability and counter-cyclicality of the labour share at the firm and aggregate level. Firing costs cause firms to hire less in recessions and hire less in booms causing wage costs...

Persistent link: https://www.econbiz.de/10005344834

A theory of the currency denomination of international trade

Bacchetta, Philippe; Van Wincoop, Eric - European Central Bank - 2002

Nominal rigidities due to menu costs have become a standard element in closed economy macroeconomic modelling. The 'New Open Economy Macroeconomics' literature has investigated the implications of nominal rigidities in an open economy context and found that the currency in which prices are set...

Persistent link: https://www.econbiz.de/10005344954

Macroeconomic modelling of CBDC : a critical review

Bindseil, Ulrich (contributor); Senner, Richard (contributor) - European Central Bank - 2024

and real-world central banking. This paper reviews how macroeconomics has since 2016 approached the possible introduction …

Persistent link: https://www.econbiz.de/10015275456

Is there a single frontier in a single European banking market?

Bos, Jaap W. B.; Schmiedel, Heiko - European Central Bank - 2006

EU. Using a data set of more than 5000 large commercial banks from all major European banking markets over the period … 1993-2004, the application of meta-frontiers enables us to assess the existence of a single and integrated European banking … market. We find evidence in favor of a single European banking market characterized by cost and profit meta …

Persistent link: https://www.econbiz.de/10005530694

Equity and bond market signals as leading indicators of bank fragility

Gropp, Reint; Vesala, Jukka; Vulpes, Giuseppe - European Central Bank - 2002

We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...

Persistent link: https://www.econbiz.de/10005530777

Banks' financial distress, lending supply and consumption expenditure

Damar, H. Evren; Gropp, Reint; Mordel, Adi - European Central Bank - 2014

We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks...

Persistent link: https://www.econbiz.de/10011067238

Deposit insurance, moral hazard and market monitoring

Gropp, Reint; Vesala, Jukka - European Central Bank - 2004

banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non …

Persistent link: https://www.econbiz.de/10005004531

Cross-border bank contagion in Europe

Gropp, Reint; Lo Duca, Marco; Vesala, Jukka - European Central Bank - 2006

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances”) as a function of variables measuring...

Persistent link: https://www.econbiz.de/10005004534

Deposit insurance and moral hazard: does the counterfactual matter?

Gropp, Reint; Vesala, Jukka - European Central Bank - 2001

banking systems have been characterised by strong implicit insurance operating through the expectation of public intervention …

Persistent link: https://www.econbiz.de/10005004538

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - European Central Bank - 2003

This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10005222346