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Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The...

Persistent link: https://www.econbiz.de/10010753741

How wages respond to shocks: asymmetry in the speed of adjustment

Rõõm, Tairi; Dabusinskas, Aurelijus - European Central Bank - 2011

The time series of various economic variables often exhibit asymmetry: decreases in the values tend to be sharp and … fast, whereas increases usually occur slowly and gradually. We detect signs of an analogous asymmetry in firms’ wage … shocks in the same variables. As well as describing the presence of asymmetry in the speed of wage adjustment, we investigate …

Persistent link: https://www.econbiz.de/10009024966

Is there a role for domestic demand pressure on export performance?

Soares Esteves, Paulo; Rua, António - European Central Bank - 2013

Traditionally, exports behavior is modeled only as a function of the foreign demand and the real exchange rate. However, it is by now widely acknowledged that these variables are not able to fully explain exports developments. This paper suggests considering domestic demand pressure as an...

Persistent link: https://www.econbiz.de/10010709537

Asymmetries in bank lending behaviour. Austria during the 1990s

Kaufmann, Sylvia - European Central Bank - 2001

This paper investigates both cross-sectional asymmetry (related to bank-specific characteristics like size and … to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is …-sectional asymmetry. JEL Classification: C11, C23, E51 …

Persistent link: https://www.econbiz.de/10005530769

The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US

Kaufmann, Sylvia; Valderrama, Maria Teresa - European Central Bank - 2007

We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Persistent link: https://www.econbiz.de/10005530956

Instability and nonlinearity in the euro area Phillips curve

Musso, Alberto; Stracca, Livio; van Dijk, Dick - European Central Bank - 2007

This paper provides a comprehensive analysis of the functional form of the euro area Phillips curve over the past three decades. In particular, compared to previous literature we analyse the stability of the relationship in detail, especially as regards the possibility of a time-varying mean of...

Persistent link: https://www.econbiz.de/10005530964

China's dominance hypothesis and the emergence of a tri-polar global currency system

Fratzscher, Marcel; Mehl, Arnaud - European Central Bank - 2011

This paper assesses whether the international monetary system is already tripolar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi is already the dominant currency in Asia,...

Persistent link: https://www.econbiz.de/10009367477

The scapegoat theory of exchange rates: the first tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - European Central Bank - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10010686765

Capital controls and foreign exchange policy

Fratzscher, Marcel - European Central Bank - 2012

The empirical analysis of the paper suggests that an FX policy objective and concerns about an overheating of the domestic economy have been the two main motives for the (re-)introduction and persistence of capital controls over the past decade. Capital controls are strongly associated with...

Persistent link: https://www.econbiz.de/10010686784

The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?

Ehrmann, Michael; Osbat, Chiara; Stráský, Jan; … - European Central Bank - 2013

This paper studies the determinants of the euro exchange rate during the European sovereign debt crisis, allowing a role for macroeconomic fundamentals, policy actions and the public debate by policy makers. It finds that the euro exchange rate mainly danced to its own tune, with a particularly...

Persistent link: https://www.econbiz.de/10010686885