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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

An empirical study of liquidity and information effects of order flow on exchange rates

Breedon, Francis; Vitale, Paolo - European Central Bank - 2004

We propose a simple structural model of exchange rate determination which draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...

Persistent link: https://www.econbiz.de/10005816262

Trading European sovereign bonds: the microstructure of the MTS trading platforms

Cheung, Yiu Chung; de Jong, Frank; Rindi, Barbara - European Central Bank - 2005

We study the microstructure of the MTS Global Market bond trading system, which is the largest interdealer trading system for Eurozone government bonds. Using a unique new dataset we find that quoted and effective spreads are related to maturity and trading intensity. Securities can be traded on...

Persistent link: https://www.econbiz.de/10005816314

A market microstructure analysis of foreign exchange intervention

Vitale, Paolo - European Central Bank - 2006

We formulate a market microstructure model of exchange determination we employ to investigate the impact of foreign exchange intervention on exchange rates and on foreign exchange (FX) market conditions. With our formulation we show i) how foreign exchange intervention influences exchange rates...

Persistent link: https://www.econbiz.de/10004999745

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - European Central Bank - 2004

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

Persistent link: https://www.econbiz.de/10005530776

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

Implications for liquidity from innovation and transparency in the European corporate bond market

Laganá, Marco; Perina, Martin; Köppen-Mertes, Isabel von - European Central Bank - 2006

and transparency for liquidity of corporate bond markets. We have applied it to the illiquid segments of the European … systemic liquidity. We also found that post-trade transparency has surprisingly little bearing on liquidity in that where it … improves liquidity it is merely acting as a proxy for pre-trade transparency or transparency of holdings. We conclude that if …

Persistent link: https://www.econbiz.de/10005344808

Quantitative goals for monetary policy

Fatás, Antonio; Mihov, Ilian; Rose, Andrew K. - European Central Bank - 2006

We study empirically the macroeconomic effects of an explicit de jure quantitative goal for monetary policy. Quantitative goals take three forms: exchange rates, money growth rates, and inflation targets. We analyze the effects on inflation of both having a quantitative target, and of hitting a...

Persistent link: https://www.econbiz.de/10005344838

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

Does the general public know what central banks do? Is this kind of knowledge relevant? Using a survey of Dutch households, we investigate these questions for the case of the European Central Bank (ECB). Our findings suggest that knowledge on the ECB’s objectives is far from perfect. Both a...

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

Purdah: on the rationale for central bank silence around policy meetings

Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2008

. This practice is remarkable, as it seems to contradict the virtue of transparency by requiring central banks to withhold … the limits to central bank transparency. JEL Classification: E58, E52, E43 …

Persistent link: https://www.econbiz.de/10005816165