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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 … individual uncertainty. By combining and exploiting these types of ex-ante inflation uncertainty, results suggest that central … 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
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Monetary policy strategies to navigate post-pandemic inflation : an assessment using the ECB's New Area-Wide Model
Darracq Pariès, Matthieu; Kornprobst, Antoine; … - 2024
We evaluate how the euro area economy would have performed since mid-2021 under alternative monetary policy strategies. We use the ECB's workhorse estimated DSGE model and contrast actual policy conduct against alternative strategies which differ in their "lower-for-longer" commitment as well as...
Persistent link: https://www.econbiz.de/10014527121
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The ECB's tracker : nowcasting the press conferences of the ECB
Marozzi, Armando - 2021
Central Bank (ECB) exploiting the ow of conventional and textual data that become available between two consecutive press …
Persistent link: https://www.econbiz.de/10012648896
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The implications of liquidity regulation for monetary policy implementation and the central bank balance sheet size : an empirical analysis of the euro area
Kedan, Danielle; Ventula Veghazy, Alexia - 2021
We analyse the impact of the Liquidity Coverage Ratio (LCR) on the demand for central bank reserves in the euro area …. Specifically, our results suggest that banks with low LCRs relative to peers increased their central bank reserve holdings as a …
Persistent link: https://www.econbiz.de/10012420275
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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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The Phillips curve at the ECB
Eser, Fabian; Karadi, Peter; Lane, Philip R.; Moretti, Laura - 2020
evidence supports the view that the absorption of slack and a firm anchoring of in ation expectations remain central to …
Persistent link: https://www.econbiz.de/10012212851
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ECB-Global : introducing ECB's global macroeconomic model for spillover analysis
Dieppe, Alistair; Georgiadis, Georgios; Ricci, Martino; … - 2017
In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to the domestic economy. We develop a semi-structural multi-country model with rich real and financial channels of international shock propagation for the euro area, the US, Japan,...
Persistent link: https://www.econbiz.de/10011636171