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Leaning Against the Wind : Macroprudential Policy and the Financial Cycle
Kok, Christoffer - 2019
Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about “leaning against the wind” (LAW) along three lines. First, we evaluate the cost and benefits of LAW using the Svensson (2017)...
Persistent link: https://www.econbiz.de/10012894739
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The Benefits and Costs of Adjusting Bank Capitalisation : Evidence From Euro Area Countries
Budnik, Katarzyna Barbara - 2019
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...
Persistent link: https://www.econbiz.de/10012872287
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The German block of the ESCB multi-country model
Vetlov, Igor; Warmedinger, Thomas - 2006
The paper presents the German block of the ESCB multi-country model. It builds on previous modelling work on the Area Wide Model and other country blocks of the ESCB multicountry-model. Whilst being analogous to these models in following a common modelling approach and the same theoretical...
Persistent link: https://www.econbiz.de/10011604700
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Profit Dynamics Across the Largest Euro Area Countries and Sectors
Maurin, Laurent - 2011
This paper explores the behavior of profits in the four largest euro area countries (Germany, France, Italy and Spain …
Persistent link: https://www.econbiz.de/10013117688
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Household's Portfolio Structure in Germany - Analysis of Financial Accounts Data 1959-2009
Ramb, Fred - 2011
Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interest rate elasticities were calculated using a unique new quarterly financial accounts macro data set which covers the period from...
Persistent link: https://www.econbiz.de/10013124189
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Modeling Euro Area Bond Yields Using a Time-Varying Factor Model
Adam, Tomas - 2017
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...
Persistent link: https://www.econbiz.de/10012963728
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The Cyclicality of Effective Wages Within Employer-Employee Matches : Evidence from German Panel Data
Anger, Silke - 2008
workers who received overtime payments. The procyclicality of earnings revealed for Germany is of comparable size with the one …
Persistent link: https://www.econbiz.de/10012773491
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Modelling Ireland's Exchange Rates : From EMS to EMU
Bond, Derek - 2007
This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 … to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10012775859
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Mind the Gap : A Multi-Country BVAR Benchmark for the Eurosystem Projections
Angelini, Elena - 2019
The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of...
Persistent link: https://www.econbiz.de/10012893903
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Dissecting Long-Term Bund Yields in the Run-Up to the ECB's Public Sector Purchase Programme
Lemke, Wolfgang - 2017
Starting in summer 2014, markets began to build up expectations that the European Central Bank (ECB) would embark on large-scale sovereign bond purchases. The ECB's Public Sector Purchase Programme (PSPP) was eventually announced on 22 January 2015 and purchases started in March. Both during the...
Persistent link: https://www.econbiz.de/10012944299