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Hedge funds and their implications for financial stability

Garbaravicius, Tomas; Dierick, Frank - European Central Bank - 2005

The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...

Persistent link: https://www.econbiz.de/10005530646

Measuring financial integration in the euro area

Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

Persistent link: https://www.econbiz.de/10005816123

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 … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …

Persistent link: https://www.econbiz.de/10008784826

Capital flows, push versus pull factors and the global financial crisis

Fratzscher, Marcel - European Central Bank - 2011

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that …

Persistent link: https://www.econbiz.de/10009216681

Liquidity (risk) concepts: definitions and interactions

Nikolaou, Kleopatra - European Central Bank - 2009

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central … risk. JEL Classification: G10, G20 …

Persistent link: https://www.econbiz.de/10005002810

Bank risk and monetary policy

Altunbas, Yener; Gambacorta, Leonardo; … - European Central Bank - 2009

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new … ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators …. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the …

Persistent link: https://www.econbiz.de/10005037602

The central bank as a risk manager: quantifying and forecasting inflation risks

Kilian, Lutz; Manganelli, Simone - European Central Bank - 2003

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation … within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to …

Persistent link: https://www.econbiz.de/10005530801

Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis

Chudik, Alexander; Fratzscher, Marcel - European Central Bank - 2012

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

Persistent link: https://www.econbiz.de/10010686821

Securitization, bank lending and credit quality: the case of Spain

Carbó-Valverde, Santiago; Marqués-Ibáñez, David; … - European Central Bank - 2011

While the 2007-2010 financial crisis has hit a variety of countries asymmetrically, the case of Spain is particularly illustrative: this country experienced a pronounced housing bubble partly funded via spectacular developments in its securitization markets leading to looser credit standards and...

Persistent link: https://www.econbiz.de/10009003443

Banking sector output measurement in the euro area - a modified approach

Colangelo, Antonio; Inklaar, Robert - European Central Bank - 2010

that rather than using the single short-term, low-risk interest rate as in current official statistics, reference rates … should more closely match the risk characteristics of loans and deposits. For the euro area, imputed bank output is, on …

Persistent link: https://www.econbiz.de/10008587760