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Uncertain potential output: implications for monetary policy

Ehrmann, Michael; Smets, Frank - 2001

This paper uses a small, calibrated forward-looking model of the euro-area economy to investigate the implications of incomplete information about potential output for the conduct and the design of monetary policy. Three sets of issues are examined. First, the certainty-equivalent optimal policy...

Persistent link: https://www.econbiz.de/10011604105

Booms and systemic banking crises

Boissay, Frederic; Collard, Fabrice; Smets, Frank - 2013

The empirical literature on systemic banking crises (SBCs) has shown that SBCs are rare events that break out in the midst of credit intensive booms and bring about particularly deep and long-lasting recessions. We attempt to explain these phenomena within a dynamic general equilibrium model...

Persistent link: https://www.econbiz.de/10011605559

Market perception of sovereign credit risk in the euro area during the financial crisis

Camba-Méndez, Gonzalo; Serwa, Dobromil - 2014

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...

Persistent link: https://www.econbiz.de/10011605755

Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach

Camba-Méndez, Gonzalo; Carbó-Valverde, Santiago; … - 2014

In this paper we study the impact that financial reputation and official market interventions have on the timing and amount of debt issuance decisions by banks. To do so, we propose an extension of the two-part modelling framework of Cragg (1971, eq. 7 and 9) to accommodate random effects. We...

Persistent link: https://www.econbiz.de/10011605786

Pricing sovereign credit risk of an emerging market

Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10011605969

Bank interest rate setting in the euro area during the Great Recession

Camba-Méndez, Gonzalo; Durré, Alain; Mongelli, … - 2016

This paper sheds light on how recent financial tensions in the euro area were ultimately reflected in bank interest rate setting. We make two new contributions. First, we develop a theoretical model capturing banks financing and the rate setting choices. Banks in the model can finance themselves...

Persistent link: https://www.econbiz.de/10011606010

Banking supervision, monetary policy and risk-taking: Big data evidence from 15 credit registers

Altavilla, Carlo; Boucinha, Miguel; Peydró, José-Luis; … - 2020

We analyse the effects of supranational versus national banking supervision on credit supply, and its interactions with monetary policy. For identification, we exploit: (i) a new, proprietary dataset based on 15 European credit registers; (ii) the institutional change leading to the...

Persistent link: https://www.econbiz.de/10012389552

The first twenty years of the European Central Bank: Monetary policy

Hartmann, Philipp; Smets, Frank - 2018

On 1 June 2018 the ECB celebrated its 20th anniversary. This paper provides a comprehensive view of the ECB's monetary policy over these two decades. The first section provides a chronological account of the macroeconomic and monetary policy developments in the euro area since the adoption of...

Persistent link: https://www.econbiz.de/10012142063

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

Smets, Frank; Wouters, Raf - 2004

equilibrium models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of central … banks. First, we show that the forecasting performance of such models compares well with a-theoretical vector …

Persistent link: https://www.econbiz.de/10011604435

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area …

Persistent link: https://www.econbiz.de/10011604448