This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...

This study examines the changing relationship between domestic long-term , domestic short-term and foreign long-term interest rates.

This paper reviews recent approaches to modeling the labour market and assessestheir implications for in‡ation dynamics through both their e¤ect on marginalcost and on price-setting behaviour. In a search and matching environment, weconsider the following modeling setups: right-to-manage...

In this paper we present an extension of the Taylor model with staggered wages inwhich wage-setting is also influenced by reference norms (i.e. by benchmark wages).We show that reference norms can considerably increase the persistence of inflationand the extent of real wage rigidity but that...

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

This occasional paper explains why the bank lending survey was developed by the ECB and describes its main features. It discusses the importance of credit developments for both the economy and the functioning of monetary policy, and further clarifies why the survey was introduced. Furthermore,...

The main objective of this paper is to study whether the introduction of the euro hadan impact on the degree of integration of European Government bond markets. Weadopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from thebeginning of Monetary Union until June 2008, the...