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Declining valuations and equilibrium bidding in central bank refinancing operations

Ewerhart, Christian (contributor); Cassola, Nuno (contributor) - 2006

It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal valuations. Based on this hypothesis, we construct an equilibrium in central bank refinancing operations organised as variable rate tenders. In the case of the discriminatory...

Persistent link: https://www.econbiz.de/10003358659

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10003826033

Automatic stabilizers and economic crisis : US vs. Europe

Dolls, Mathias; Fuest, Clemens; Peichl, Andreas - 2009

income shock in the EU, compared to 32 per cent in the US. In the case of an unemployment shock 48 per cent of the shock are … absorbed in the EU, compared to 34 per cent in the US. This cushioning of disposable income leads to a demand stabilization of … 23 to 32 per cent in the EU and 19 per cent in the US. There is large heterogeneity within the EU. Automatic stabilizers …

Persistent link: https://www.econbiz.de/10003879344

The redistributive effects of tax benefit systems in the enlarged EU

Fuest, Clemens; Niehues, Judith; Peichl, Andreas - 2009

the redistributive effects of different tax benefit instruments in the enlarged EU based on two approaches. Inequality …

Persistent link: https://www.econbiz.de/10003906234

Structural econometric approach to bidding in the main refinancing operations of the Eurosystem

Cassola, Nuno (contributor); Ewerhart, Christian (contributor) - 2007

This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...

Persistent link: https://www.econbiz.de/10003516661

Automatic stabilizers, economic crisis and income distribution in Europe

Dolls, Mathias; Fuest, Clemens; Peichl, Andreas - 2010

This paper investigates to what extent the tax and transfer systems in Europe protect households at different income levels against losses in current income caused by economic downturns like the present financial crisis. We use a multi country micro simulation model to analyse how shocks on...

Persistent link: https://www.econbiz.de/10003959997

The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times

Cassola, Nuno; Huetl, Michael - 2010

We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...

Persistent link: https://www.econbiz.de/10008659390

The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds

Cassola, Nuno; Hortaçsu, Ali; Kastl, Jakub - 2011

We study European banks’ demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency,...

Persistent link: https://www.econbiz.de/10009380433

Fiscal union in Europe? : redistributive and stabilising effects of an EU tax-benefit system

Bargain, Olivier; Dolls, Mathias; Fuest, Clemens; … - 2012

study the economic effects of introducing two elements of a fiscal union: Firstly, an EU-wide tax and transfer system and … secondly, an EU-wide system of fiscal equalisation. Using the European tax-benefit calculator EUROMOD, we exploit … countries. These effects depend on income levels and the structures of the existing national tax and transfer systems. The EU …

Persistent link: https://www.econbiz.de/10009545267

Equality of opportunity and redistribution in Europe

Dunnzlaff, Lina; Neumann, Dirk; Niehues, Judith; … - 2010

-Saxon countries. For Eastern Europe, our results are less definite. Looking at the impact of the tax and benefit schemes in the EU, it …

Persistent link: https://www.econbiz.de/10009313331