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Bidding behaviour in the ECB's main refinancing operations during the financial crisis
Eisenschmidt, Jens; Hirsch, Astrid; Linzert, Tobias - 2009
Liquidity provision through its repo auctions has been one of the main instruments of the European Central Bank (ECB … unique data set comprising repo auctions from March 2004 to October 2008 with bidding data from 877 counterparties. We find …. -- Central Bank Auctions ; Financial Market Turmoil ; Panel Sample Selection Model ; Bidding Behavior ; Monetary Policy …
Persistent link: https://www.econbiz.de/10003866003
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Why the effective price for money exceeds the policy rate in the ECB tenders?
Välimäki, Tuomas - 2008
The tender spread, i.e. the difference between the effective price for money in the ECB's main refinancing operations and the prevailing policy rate, is one of the main determinants behind the evolution of the EONIA with respect to the ECB's operational target. This study assesses the reasons...
Persistent link: https://www.econbiz.de/10003826027
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Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
public debt auctions. The findings indicate that Eurosystem's asset purchase flows mitigate yield cycles during auction …
Persistent link: https://www.econbiz.de/10014527031
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It's not time to make a change : sovereign fragility and the corporate credit risk
Fornari, Fabio; Zaghini, Andrea - 2022
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...
Persistent link: https://www.econbiz.de/10013391043
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Fan charts 2.0 : flexible forecast distributions with expert judgement
Sokol, Andrej - 2021
I propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a specific view of the future evolution of some variables. This addresses a shortcoming of existing quantile regression-based models, for example the at-risk framework popularised by...
Persistent link: https://www.econbiz.de/10012705519
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The time-varying evolution of inflation risks
Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to...
Persistent link: https://www.econbiz.de/10012643282
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Capital flows-at-risk : push, pull and the role of policy
Eguren-Martin, Fernando; O'Neill, Cian; Sokol, Andrej; … - 2021
We characterise the probability distributions of various categories of gross capital flows conditional on information contained in financial asset prices in a panel of emerging market economies, with a focus on "tail" events. Our framework, based on the quantile regression methodology, allows...
Persistent link: https://www.econbiz.de/10012503534
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Vulnerable growth in the euro area : measuring the financial conditions
Figueres, Juan Manuel; Jarociński, Marek - 2020
This paper examines which measures of financial conditions are informative about the tail risks to output growth in the euro area. The Composite Indicator of Systemic Stress (CISS) is more informative than indicators focusing on narrower segments of financial markets or their simple aggregation...
Persistent link: https://www.econbiz.de/10012262990
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Financial conditions, business cycle fluctuations and growth at risk
Falconio, Andrea; Manganelli, Simone - 2020
We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector autoregression. Financial shocks have a negative, but asymmetric impact on the real economy: they substantially increase growth at risk, but have limited impact on upside potential....
Persistent link: https://www.econbiz.de/10012295559
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Attention to the tail(s) : global financial conditions and exchange rate risks
Eguren-Martin, Fernando; Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012197839