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Aggregate loans to the euro area private sector

Calza, Alessandro; Manrique, Marta; Sousa, João - European Central Bank - 2003

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic variables is found. Besides real GDP and prices,...

Persistent link: https://www.econbiz.de/10005344909

Output and inflation responses to credit shocks: are there threshold effects in the euro area?

Calza, Alessandro; Sousa, João - European Central Bank - 2005

This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The … effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of …

Persistent link: https://www.econbiz.de/10005816303

Monetary Transmission in the Euro Area : Where Do We Stand?

Mojon, Benoît; Kashyap, Anil K.; Angeloni, Ignazio; … - European Central Bank - 2002

Drawing on recent Eurosystem research that uses a range of econometric techniques and a number of new data sets, we propose a comprehensive description of how monetary policy affects the euro area economy. We focus mainly on three questions: (1) what are the stylised facts concerning the...

Persistent link: https://www.econbiz.de/10005070389

Asset price misalignments and the role of money and credit

Gerdesmeier, Dieter; Reimers, Hans-Eggert; Roffia, Barbara - European Central Bank - 2009

This paper contributes to the literature on the properties of money and creditindicators for detecting asset price misalignments. After a review of the evidence inthe literature on this issue, the paper discusses the approaches that can be consideredto detect asset price busts. Considering a...

Persistent link: https://www.econbiz.de/10005866513

The bank lending survey for the euro area

Berg, Jesper; Ferrando, Annalisa; Bondt, Gabe de; … - European Central Bank - 2005

discusses the importance of credit developments for both the economy and the functioning of monetary policy, and further … survey for the euro area lies in particular in the way it provides greater insight into developments in credit standards, non …-interest rate credit conditions and terms, the risk perception of banks and the willingness of banks to lend. Credit standards are …

Persistent link: https://www.econbiz.de/10005530667

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita; Marques, Carlos Robalo - European Central Bank - 2009

This paper investigates the dynamics of aggregate wages and prices in the UnitedStates (US) and the Euro Area (EA) with a special focus on persistence of real wages,wage and price inflation. The analysis is conducted within a structural vector errorcorrectionmodel, where the structural shocks...

Persistent link: https://www.econbiz.de/10005866514

Forecasting the world economy in the short-term

Jakaitiene, Audrone; Dées, Stephane - European Central Bank - 2009

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, rst, at ranking various forecasting methods in terms...

Persistent link: https://www.econbiz.de/10005866572

Monetary policy shocks in a two-sector open economy: an empirical study

Llaudes, Ricardo - European Central Bank - 2007

This paper studies the effects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR frame- work. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...

Persistent link: https://www.econbiz.de/10005816156

Duration, volume and volatility impact of trades

Manganelli, Simone - European Central Bank - 2002

This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an econometric reduced form that incorporates causal and feedback effects among these variables. We construct impulse-response functions that show how the system reacts to a...

Persistent link: https://www.econbiz.de/10005816171

Does information help recovering structural shocks from past observations?

Giannone, Domenico; Reichlin, Lucrezia - European Central Bank - 2006

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural Second, can the problem of nonfundamentalness be solved by considering additional information? The answer to the first question is “yes”...

Persistent link: https://www.econbiz.de/10005816321

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