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(Un)Predictability and macroeconomic stability

D’Agostino, Antonello; Giannone, Domenico; Surico, Paolo - European Central Bank - 2006

This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve’s Greenbook and the Survey of Professional Forecasters, we...

Persistent link: https://www.econbiz.de/10005222383

IMF lending and geopolitics

Reynaud, Julien; Vauday, Julien - European Central Bank - 2008

There is growing awareness that the distribution of IMF facilities may not be influenced only by the economic needs of the borrowers. This paper focuses on the fact that the IMF may favour geopolitically important countries in the distribution of IMF loans, differentiating between concessional...

Persistent link: https://www.econbiz.de/10005033408

Factor analysis in a New-Keynesian model

Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; … - European Central Bank - 2005

New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...

Persistent link: https://www.econbiz.de/10005222400

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 … therelationship between observed index returns and macroeconomic news as well as marketbasedproxies of default risk, interest rates …, liquidity and risk appetite. The results imply thatdeclining risk appetite and heightened concerns about market illiquidity …

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

structure (ofinterest rates) models. Stock returns and bond yields as well as risk premia are affinefunctions of the state …

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

Housing Finance in the Euro Area.

Drudi, Francesco; Köhler-Ulbrich, Petra; Protopapa, Marco - European Central Bank - 2009

This report analyses the main developments in housing finance in the euro area in the decade, covering the period from 1999 to 2007. It looks at mortgage indebtedness, various characteristics of loans for house purchase, the funding of such loans and the spreads between the interest rates on...

Persistent link: https://www.econbiz.de/10004969142

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - European Central Bank - 2008

, policy interventions, and credit risk) is assessed by jointly modelling their behaviour. We show that, after August 2007 … hand, the broad range of collateral accepted by the ECB. We also show that after August 2007, the ECB steered the “risk …

Persistent link: https://www.econbiz.de/10005344818

Global macro-financial shocks and expected default frequencies in the euro area

Castrén, Olli; Dées, Stéphane; Zaher, Fadi - European Central Bank - 2008

Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive(GVAR) model and constructing a linking satellite equation for the firm-level...

Persistent link: https://www.econbiz.de/10005344829

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - European Central Bank - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model … decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

Persistent link: https://www.econbiz.de/10008549311

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - European Central Bank - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …

Persistent link: https://www.econbiz.de/10008478976