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The reception of public signals in financial marketswhat if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...

Persistent link: https://www.econbiz.de/10005866483

Persistence, the transmission mechanism and robust monetary policy

Angeloni, Ignazio; Coenen, Günter; Smets, Frank - European Central Bank - 2003

In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks in an estimated DSGE model of euro area. We then analyse its impact on optimal monetary policy and investigate the performance of various monetary policies when the policy...

Persistent link: https://www.econbiz.de/10005344927

The impact of the euro on money and bond markets

Santillán, Javier; Bayle, Marc; Thygesen, Christian - European Central Bank - 2000

The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction … notably regarding the bond market which lags behind in terms of liquidity, market completeness and overall size compared to … the US corporate bond market. Analysis of the barriers to integration, which do not seem to be specific to these markets …

Persistent link: https://www.econbiz.de/10004969144

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

Forecasting with a Bayesian DSGE model: an application to the euro area

Smets, Frank; Wouters, Raf - European Central Bank - 2004

In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. This paper illustrates how modern sticky-price dynamic stochastic general equilibrium models, estimated using Bayesian techniques, can...

Persistent link: https://www.econbiz.de/10005162894

Convergence and anchoring of yield curves in the euro area

Ehrmann, Michael; Fratzscher, Marcel; Gürkaynak, Refet S. - European Central Bank - 2007

We study the convergence of European bond markets and the anchoring of inflation expectations in euro area countries … using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU …) has led to substantial convergence in euro area sovereign bond markets in terms of interest rate levels, unconditional …

Persistent link: https://www.econbiz.de/10005530722

What horizon for price stability

Smets, Frank - European Central Bank - 2000

This paper analyses in a unified framework the twin issues of the appropriate horizon for achieving price stability in the face of unexpected disturbances and the choice of a price level versus an inflation objective. Using a small estimated forward-looking model of the euro area economy, the...

Persistent link: https://www.econbiz.de/10005530807

Some stylised facts on the euro area business cycle

Agresti, Anna Maria; Mojon, Benoît - European Central Bank - 2001

This paper presents stylised facts about the business cycle of the euro area. The results suggest that the stylised facts for the euro area economy and the US are very similar. The magnitude of the fluctuations in consumption, investment, prices, inflation, interest rate, monetary aggregates...

Persistent link: https://www.econbiz.de/10005530940

An estimated stochastic dynamic general equilibrium model of the euro area

Smets, Frank; Wouters, Raf - European Central Bank - 2002

This paper develops and estimates a stochastic dynamic general equilibrium (SDGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...

Persistent link: https://www.econbiz.de/10005222316

Risks to price stability, the zero lower bound and forward guidance: a real-time assessment

Coenen, Günter; Warne, Anders - European Central Bank - 2013

This paper employs stochastic simulations of the New Area-Wide Model—a micro-founded open-economy model developed at the ECB—to investigate the consequences of the zero lower bound on nominal interest rates for the evolution of risks to price stability in the euro area during the recent...

Persistent link: https://www.econbiz.de/10010693493

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