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The reception of public signals in financial marketswhat if central bank communication becomes stale?

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

-term interest rates to the Bank of England’s inflation report andto macroeconomic announcements. Due to the quarterly frequency at …, the more timehas elapsed since the latest release of an inflation report, market volatility shouldincrease, the price …

Persistent link: https://www.econbiz.de/10005866483

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - European Central Bank - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...

Persistent link: https://www.econbiz.de/10005866585

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - European Central Bank - 2009

variables: the dividend yield, two factors driving the one-periodreal interest rate and the rate of inflation. The model …

Persistent link: https://www.econbiz.de/10005866629

Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles.

Fell, J.P.C.; Levy, A. - European Central Bank - 1996

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

Persistent link: https://www.econbiz.de/10005486856

The Role of Short Rates and Foreign Long Rates in the Determination of Long-Term Interest Rates

Fell, J.P.C. - European Central Bank - 1996

This study examines the changing relationship between domestic long-term , domestic short-term and foreign long-term interest rates.

Persistent link: https://www.econbiz.de/10005641235

The bank lending survey for the euro area

Berg, Jesper; Ferrando, Annalisa; Bondt, Gabe de; … - European Central Bank - 2005

This occasional paper explains why the bank lending survey was developed by the ECB and describes its main features. It discusses the importance of credit developments for both the economy and the functioning of monetary policy, and further clarifies why the survey was introduced. Furthermore,...

Persistent link: https://www.econbiz.de/10005530667

Measuring financial integration in the euro area

Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

Persistent link: https://www.econbiz.de/10005816123

Definition of price stability, range and point inflation targets: the anchoring of long-term inflation expectations

Rodriguez-Palenzuela, Diego; Castelnuovo, Efrem; … - European Central Bank - 2003

JEL Classification: E52, E61, E31, E42, E43

Persistent link: https://www.econbiz.de/10005530707

Explicit inflation objectives and macroeconomic outcomes

Levin, Andrew T.; Natalucci, Fabio M.; Piger, Jeremy M. - European Central Bank - 2004

We find evidence that adopting an explicit inflation objective plays a role in anchoring long-run inflation … expectations and in reducing the intrinsic persistence of inflation. For the period 1994-2003, private-sector long-run inflation … forecasts exhibit significant correlation with lagged inflation for a number of industrial economies, including the United …

Persistent link: https://www.econbiz.de/10005079098

How much does the public know about the ECB's monetary policy? Evidence from a survey of Dutch households

van der Cruijsen, Carin; Jansen, David-Jan; de Haan, Jakob - European Central Bank - 2010

's ability to form realistic inflation expectations. JEL Classification: D12, D84, E52, E58 …

Persistent link: https://www.econbiz.de/10008694054

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