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The forecasting power of internal yield curve linkages
Modugno, Michele; Nikolaou, Kleopatra - European Central Bank - 2009
This paper investigates whether information from foreign yield curves helps forecast domestic yieldcurves out …-of-sample. A nested methodology to forecast yield curves in domestic and internationalsettings is applied on three major countries …
Persistent link: https://www.econbiz.de/10005866630
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Acquisition versus greenfield: the impact of the mode of foreign bank entry on information and bank lending rates
Claeys, Sophie; Hainz, Christa - European Central Bank - 2006
Policy makers often decide to liberalize foreign bank entry but at the same time restrict the mode of entry. We study how different entry modes affect the interest rate for loans in a model in which domestic banks possess private information about their incumbent clients but foreign banks have...
Persistent link: https://www.econbiz.de/10005222403
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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
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Modelling and Forecasting the Yield Curve under Model uncertainty
Donati, Paola; Donati, Francesco - European Central Bank - 2008
estimates and the accuracy of the out-of-sample forecasts, both at short and long forecast horizons. JEL Classification: G1, E4 …
Persistent link: https://www.econbiz.de/10005530758
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The central bank as a risk manager: quantifying and forecasting inflation risks
Kilian, Lutz; Manganelli, Simone - European Central Bank - 2003
within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … forecast the risks of worldwide deflation for horizons of up to two years. Although recently fears of worldwide deflation have …
Persistent link: https://www.econbiz.de/10005530801
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Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006
The paper shows that there is a substantial degree of heterogeneity in forecast accuracy among Fed watchers. Based on a … novel database for 268 professional forecasters since 1999, the average forecast error of FOMC decisions varies 5 to 10 … financial market volatility after FOMC meetings. Finally, Fed communication may exert an influence on forecast accuracy. JEL …
Persistent link: https://www.econbiz.de/10005530863
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Forecasting ECB monetary policy: accuracy is (still) a matter of geography
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006
countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …
Persistent link: https://www.econbiz.de/10005530894
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Empirical assessment of Monetary Policy Instruments and Procedures (MPIP) in EU Countries.
Escriva, J.L.; Fagan, F.P. - European Central Bank - 1996
This paper provides empirical evidence on the use of monetary policy instruments and procedures (MPIP) in EU countries. In particular, it focuses on three important issues which arise in this context. Fist, we examine the structural position of the EU money markets. Second , evidence is...
Persistent link: https://www.econbiz.de/10005641237
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ECB - Working paper series
European Central Bank
The ECB Working Paper Series seeks to disseminate economic research on issues that are relevant to the various tasks and functions of the ECB. The Series invites submissions of research work by ECB staff and visitors. Papers by researchers not affiliated with the ECB may also be considered for...
Persistent link: https://www.econbiz.de/10009635880
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Optimal monetary policy in a model of the credit channel
De Fiore, Fiorella; Tristani, Oreste - European Central Bank - 2009
We consider a simple extension of the basic new-Keynesian setup in which we relaxthe assumption of frictionless financial markets. In our economy, asymmetricinformation and default risk lead banks to optimally charge a lending rate above therisk-free rate. Our contribution is threefold. First,...
Persistent link: https://www.econbiz.de/10005866631