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Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - European Central Bank - 2003

JEL Classification: F36, G15

Persistent link: https://www.econbiz.de/10005222331

Investment, the cost of capital, and monetary policy in the nineties in France: a panel data investigation

Chatelain, Jean-Bernard; Tiomo, André - European Central Bank - 2001

Using a large panel of 6,946 French manufacturing firms, this paper investigates the effect of monetary policy on investment from 1990 to 1999 through the cost-of-capital and the cash-flow channels. We compare several specifications of neo-classical demand for capital, taking into account...

Persistent link: https://www.econbiz.de/10005344839

Security fungibility and the cost of capital: evidence from global bonds

Miller, Darius P.; Puthenpurackal, John J. - European Central Bank - 2005

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...

Persistent link: https://www.econbiz.de/10005068628

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000

rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …

Persistent link: https://www.econbiz.de/10005344911

CISS - a composite indicator of systemic stress in the financial system

Holló, Dániel; Kremer, Manfred; Duca, Marco Lo - European Central Bank - 2012

This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...

Persistent link: https://www.econbiz.de/10010538811

Mapping the state of financial stability

Sarlin, Peter; Peltonen, Tuomas A. - European Central Bank - 2011

The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a...

Persistent link: https://www.econbiz.de/10009322547

Systemic risk-taking: amplification effects, externalities, and regulatory responses

Korinek, Anton - European Central Bank - 2011

This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...

Persistent link: https://www.econbiz.de/10009643618