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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

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

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

The role of the exchange rate for adjustment in boom and bust episodes

Martin, Reiner; Schuknecht, Ludger; Vansteenkiste, Isabel - European Central Bank - 2007

Numerous countries have experienced boom-bust episodes in asset prices in the past 20 years. This study looks at stylised facts and conducts statistical and econometric analysis for such episodes, distinguishing between industrialised countries that experienced external adjustment (via real...

Persistent link: https://www.econbiz.de/10005530783

Implications of monetary union for catching-up member states

Sánchez, Marcelo - European Central Bank - 2006

We examine the implications of monetary union for macroeconomic stabilisation in catching up participating countries. We allow member states’supply conditions to differ inside the union, especially with regard to sectoral characteristics. Sectoral productivity shocks on balance hamper the...

Persistent link: https://www.econbiz.de/10005530951

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - European Central Bank - 2002

This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of eurodollar contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on...

Persistent link: https://www.econbiz.de/10005530966

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - European Central Bank - 2014

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10011067221