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The microstructure of the euro money market
Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - 2001
This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...
Persistent link: https://www.econbiz.de/10011604126
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Shocks, Structures or Monetary Policies? The Euro Area and US After 2001
Christiano, Lawrence J. - 2007
out to be only a slowdown, and inflation never departed from levels consistent with the ECB's quantitative definition of …
Persistent link: https://www.econbiz.de/10012776610
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Comovements in Volatility in the Euro Money Market
Cassola, Nuno; Morana, Claudio - 2021
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....
Persistent link: https://www.econbiz.de/10013317311
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Lending-of-Last-Resort is as Lending-of-Last-Resort Does : Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area
Garcia de Andoain, Carlos - 2016
This paper investigates the impact of ample liquidity provision by the European Central Bank on the functioning of the overnight unsecured interbank market from 2008 to 2014. We use novel data on interbank transactions derived from TARGET2, the main euro area payment system. To identify...
Persistent link: https://www.econbiz.de/10012998230
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Euro Area Inflation Differentials : The Role of Fiscal Policies Revisited
Checherita-Westphal, Cristina D.; Leiner-Killinger, Nadine - 2023
This paper provides a comprehensive empirical analysis of the role of discretionary fiscal policy for inflation … is difficult to find robust evidence of the fiscal policy stance or impulse impacting directly on inflation differentials …. We do find, however, support for an indirect effect of discretionary fiscal policy on inflation differentials working …
Persistent link: https://www.econbiz.de/10014257756
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Euro Area Market Reactions to the Monetary Developments Press Release
Coffinet, Jerome; Gouteron, Sylvain - 2021
Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest...
Persistent link: https://www.econbiz.de/10013316901
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The ECB's New Multi-Country Model for the Euro Area : NMCM - Simulated with Rational Expectations
Dieppe, Alistair - 2011
households, where output is in the short run demand-determined and monopolistically competing firms set prices and factor demands …
Persistent link: https://www.econbiz.de/10013128296
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Forecasting Euro Area Inflation Using Targeted Predictors : Is Money Coming Back?
Falagiarda, Matteo - 2017
monetary and credit aggregates are very often selected among the top predictors of inflation, with their predictive power … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …
Persistent link: https://www.econbiz.de/10012963628
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Do Monetary Indicators Lead Euro Area Inflation?
Hofmann, Boris - 2021
indicators in predicting euro area HICP inflation out-of-sample over the period first quarter 1999 till third quarter 2006 …
Persistent link: https://www.econbiz.de/10013316597
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Modeling Anti-Inflationary Monetary Targeting : With an Application to Romania
Sanchez, Marcelo - 2010
monetary targeted variable to have an impact on inflation. We apply a rather general framework to the Romanian experience with …
Persistent link: https://www.econbiz.de/10013144573