-asset price movements in a sign-restricted BVAR model to analyse the extent to which euro area and US yields, equity prices, and … the euro-US dollar exchange rate are jointly driven by monetary policy, macro and global risk factors. A novelty is that … of euro area financial variables. Euro area shocks transmit much less to US financial markets in comparison, with global …

This paper develops composite indicators of financial integration within the euro area for both price-based and … in per capita real GDP growth in euro area countries. This correlation is found to be stronger the higher a country …

The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of … and Eurozone risk) on Government bond returns, in the two groups of countries (EMU and non-EMU) in EU-15. Our empirical … evidence suggests that the impact of the introduction of the euro on the degree of integration of European Government bond …

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …

transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector … leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system …

This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank … the euro area during the sovereign debt crisis, and in credit developments characterising the post-crisis recovery … representation of euro area firms of small and medium size. Our findings suggest that, while firm balance sheet factors have been …

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA …

impact on the cointegration properties in empirical modelling, the monetary model in Coenen &Vega (2001) based on fixed … the choice of aggregation method. - Aggregation ; Flexible weights ; Eurowide money demand ; Cointegration …

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an … money demand model. -- Money Demand ; Parameter Constancy ; Wealth ; Cointegration ; Vector Error Correction Model …