The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector-level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to analyze whether the reaction of output and prices to interest rate and exchange rate shocks has changed across time (1996-2012) in the Polish economy. The empirical findings...

The nominal effective exchange rate (EER) of a currency is an index of the trade-weighted average of its bilateral exchange rates vis-à-vis the currencies of selected trading partners, while the real EER is derived by adjusting the nominal index for relative prices or costs. The nominal EER...

Using a novel dataset on changes in capital controls and currency-based prudential measures in 17 major emerging market economies (EMEs) over the period 2001-2011, this paper provides new evidence on domestic and multilateral (or spillover) effects of capital controls before and after the global...

The change in macroeconomic conditions since the ECB's strategy review in 2021 towards an environment characterised by above-target inflation, high interest rates, and renewed concerns about elevated government debt has been a vocal reminder of the intricate interdependencies between monetary...

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

The following sections provide a description of the methodology used as part of the Supervisory Review and Evaluation Process (SREP) for assessing the interest rate risk in the banking book (IRRBB) and credit spread risk in the banking book (CSRBB) of significant institutions. The ECB uses a...