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Supervisory policy stimulus : evidence from the euro area dividend recommendation
Dautovic, Ernest; Gambacorta, Leonardo; Reghezza, Alessio - 2023
estimate the impact of the ECB's dividend recommendation on bank lending and risk-taking. To address identification issues, we …
Persistent link: https://www.econbiz.de/10014278602
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Business models of the banks in the euro area
Farnè, Matteo; Vouldis, Angelos - 2017
dimensionality reduction optimally, given the nature of our dataset which features a large number of dimensions for each bank ('fat …
Persistent link: https://www.econbiz.de/10011656196
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Macroprudential policy in a monetary union with cross-border banking
Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2019
We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and Spain),...
Persistent link: https://www.econbiz.de/10011996735
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Rules and discretion(s) in prudential regulation and supervision : evidence from EU banks in the run-up to the crisis
Maddaloni, Angela; Scopelliti, Alessandro - 2019
framework were more likely to require public support during the crisis. We instrument some characteristics of bank balance … sheets with these prudential indicators to investigate how they affect bank resilience. The share of non-interest income …
Persistent link: https://www.econbiz.de/10012009213
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Monetary policy and bank equity values in a time of low interest rates
Ampudia, Miguel; Heuvel, Skander van den - 2018
This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the press statements and press conferences announcing monetary...
Persistent link: https://www.econbiz.de/10011928956
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Banks' risk-taking within a banking union
Farnè, Matteo; Vouldis, Angelos - 2021
We study the relationship between banks' size and risk-taking in the context of supranational banking supervision. Consistently with theoretical work on banking unions and in contrast to analyses emphasising incentives under- pinned by the too-big-to-fail effect, we find an inverse relationship...
Persistent link: https://www.econbiz.de/10012627903
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Introducing ECB-BASE : the blueprint of the new ECB semi-structural model for the euro area
Angelini, Elena; Bokan, Nikola; Christoffel, Kai; … - 2019
This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...
Persistent link: https://www.econbiz.de/10012098167
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The portfolio of euro area fund investors and ECB monetary policy announcements
Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2017
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...
Persistent link: https://www.econbiz.de/10011764397
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ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty
Fernandes, Cecilia Melo - 2021
uncertainty and sheds light on how central bank information shocks operate. The paper finds that ECB communication of new outlook … bank information acts as a "coordination device" able to influence opinions and actions. Most importantly, it generates a … unconditional aggregate mean. The results of this paper not only help to explain the impact of new central bank information, but …
Persistent link: https://www.econbiz.de/10012603073
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Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis
Quint, Dominic; Tristani, Oreste - 2017
We study the macroeconomic consequences of the money market tensions associated with the .nancial crisis in the euro area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response functions to calibrate key parameters of a Smets and Wouters...
Persistent link: https://www.econbiz.de/10011754899