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Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The...

Persistent link: https://www.econbiz.de/10010753741

Asymmetries in bank lending behaviour. Austria during the 1990s

Kaufmann, Sylvia - European Central Bank - 2001

This paper investigates both cross-sectional asymmetry (related to bank-specific characteristics like size and … to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is …-sectional asymmetry. JEL Classification: C11, C23, E51 …

Persistent link: https://www.econbiz.de/10005530769

The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US

Kaufmann, Sylvia; Valderrama, Maria Teresa - European Central Bank - 2007

We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Persistent link: https://www.econbiz.de/10005530956

Instability and nonlinearity in the euro area Phillips curve

Musso, Alberto; Stracca, Livio; van Dijk, Dick - European Central Bank - 2007

This paper provides a comprehensive analysis of the functional form of the euro area Phillips curve over the past three decades. In particular, compared to previous literature we analyse the stability of the relationship in detail, especially as regards the possibility of a time-varying mean of...

Persistent link: https://www.econbiz.de/10005530964

Is there a role for domestic demand pressure on export performance?

Soares Esteves, Paulo; Rua, António - European Central Bank - 2013

Traditionally, exports behavior is modeled only as a function of the foreign demand and the real exchange rate. However, it is by now widely acknowledged that these variables are not able to fully explain exports developments. This paper suggests considering domestic demand pressure as an...

Persistent link: https://www.econbiz.de/10010709537

How wages respond to shocks: asymmetry in the speed of adjustment

Rõõm, Tairi; Dabusinskas, Aurelijus - European Central Bank - 2011

The time series of various economic variables often exhibit asymmetry: decreases in the values tend to be sharp and … fast, whereas increases usually occur slowly and gradually. We detect signs of an analogous asymmetry in firms’ wage … shocks in the same variables. As well as describing the presence of asymmetry in the speed of wage adjustment, we investigate …

Persistent link: https://www.econbiz.de/10009024966

Asset prices, exchange rates and the current account

Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - European Central Bank - 2007

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...

Persistent link: https://www.econbiz.de/10005344873

China's dominance hypothesis and the emergence of a tri-polar global currency system

Fratzscher, Marcel; Mehl, Arnaud - European Central Bank - 2011

This paper assesses whether the international monetary system is already tripolar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi is already the dominant currency in Asia,...

Persistent link: https://www.econbiz.de/10009367477

Chronicle of currency collapses: re-examining the effects on output

Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - European Central Bank - 2010

The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period...

Persistent link: https://www.econbiz.de/10008597022

Global commodity cycles and linkages a FAVAR approach

Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - European Central Bank - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10008476127