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Modelling short-term interest rate spreads in the euro money market
Cassola, Nuno; Morana, Claudio - 2008
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...
Persistent link: https://www.econbiz.de/10003826033
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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011636172
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Decomposing systemic risk : the roles of contagion and common exposures
Hałaj, Grzegorz; Hipp, Ruben - 2024
We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …
Persistent link: https://www.econbiz.de/10014527066
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Using machine learning to measure financial risk in China
Al-Haschimi, Alexander; Apostolou, Apostolos; … - 2023
We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we employ topical modelling based on an unsupervised...
Persistent link: https://www.econbiz.de/10013492909
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Money, credit, monetary policy and the business cycle in the euro area : what has changed since the crisis?
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2019
This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...
Persistent link: https://www.econbiz.de/10011959310
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Tiered CBDC and the financial system
Bindseil, Ulrich - 2020
IT progress and its application to the financial industry have inspired central banks and academics to analyse the merits of central bank digital currencies (CBDC) accessible to the broad public. This paper first reviews the advantages and risks of such CBDC. It then discusses two prominent...
Persistent link: https://www.econbiz.de/10012137675
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Fire sales by euro area banks and funds : what is their asset price impact?
Mirza, Harun; Moccero, Diego; Palligkinis, Spyros; … - 2020
The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks...
Persistent link: https://www.econbiz.de/10012316976
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Estimating systemic risk for non-listed euro-area banks
Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; … - 2023
The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a sudden downturn in the economy. To overcome the shortcoming that it cannot be applied to non-listed banks, SRISK characteristics of listed banks are mapped on balance sheet...
Persistent link: https://www.econbiz.de/10014477734
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The topology of the federal funds market
Bech, Morten L.; Atalay, Enghin - 2008
We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is...
Persistent link: https://www.econbiz.de/10003826072
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Monetary policy shocks and portfolio choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10003969262