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Productivity shocks, budget deficits and the current account
Bussière, Matthieu; Fratzscher, Marcel; Müller, Gernot J. - European Central Bank - 2005
Currently the U.S. is experiencing record budget and current account deficits, a phenomenon familiar from the "Twin Deficits" discussion of the 1980s. In contrast, during the 1990s productivity growth has been identified as the primary cause of the US current account deficit. We suggest a...
Persistent link: https://www.econbiz.de/10005070392
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An Analysis of the Sectoral Balances in EY Countries.
Kennedy, N.O. - European Central Bank - 1996
This study addresses the issue of relations between the balances of individual sectors, applying standard statistical measures. A number of general observations were make. First, it is apparent that imbalances of the public, private and external sectors in most EU countries have tended to...
Persistent link: https://www.econbiz.de/10005486857
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Fiscal composition and long-term growth
Afonso, António; Jalles, João Tovar - European Central Bank - 2013
We assess the fiscal composition-growth nexus, using a large country panel, accounting for the usually encountered econometric pitfalls. Our results show that revenues have no significant impact on growth whereas expenditures have negative effects. The same is true for the OECD with the addition...
Persistent link: https://www.econbiz.de/10010686775
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Signalling fiscal stress in the euro area - a country-specific early warning system
Hernández de Cos, Pablo; Koester, Gerrit B.; … - European Central Bank - 2014
The sovereign debt crisis in the euro area has increased the interest in early warning indicators, with the aim to indicate the build?up of fiscal stress early on and to facilitate crisis prevention by a timely counteraction of fiscal and macroeconomic policies. This paper presents possible...
Persistent link: https://www.econbiz.de/10011067225
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The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market
Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - European Central Bank - 2014
We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence …
Persistent link: https://www.econbiz.de/10010753740
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Commonality in hedge fund returns: driving factors and implications
Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - European Central Bank - 2014
We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...
Persistent link: https://www.econbiz.de/10010753747
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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 generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10008549311
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Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system
Affinito, Massimiliano - European Central Bank - 2013
This paper tests the hypothesis of liquidity hoarding in the Italian banking system during the 2007-2011 global …’ interventions are ineffective because banks hoard the liquidity injected rather than channelling it on to other banks and the real … the crisis, and, contrary to widespread conjecture, the liquidity injected by the Eurosystem was intermediated among banks …
Persistent link: https://www.econbiz.de/10010709540
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Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - European Central Bank - 2011
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …
Persistent link: https://www.econbiz.de/10008784826
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Liquidity hoarding and interbank market spreads: the role of counterparty risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - European Central Bank - 2009
banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …
Persistent link: https://www.econbiz.de/10008558914