Since 1999, the European Central Bank (ECB) conducts a quarterly survey of the economic outlook in the euro area among professional forecasters. This article investigates the relationship between macroeconomic uncertainty, measured as the dispersion in economic forecasts across survey...

This article uses the Survey of Professional Forecasters (SPF) to investigate the added value of the Taylor rule in interest rate forecasting. We interpret the Taylor rule as a set of macroeconomic restrictions that can be imposed on each individual professional forecaster's predictions of...

The two decades prior to the credit crisis witnessed a strategic shift from a traditional, relationships-oriented model (ROM) to a transactions-oriented model (TOM) of financial intermediation in developed countries. A concurrent trend has been a persistent decline in average bank interest...

This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative...

This article employs panel cointegration techniques to explore the impact of the euro crisis on the relationship between deposit rates and deposit holdings in the euro area. For the period prior to the crisis, no significant relationship between these variables can be established. In contrast,...

At the start of the EMU, concerns about fiscal and monetary stability dominated the academic debate. In contrast, financial stability issues were largely overlooked. Since then, more attention has been paid to the implications of the EMU for financial regulation and supervision and to the...

We provide empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from participants in the Survey of Professional Forecasters over the period 1969 to...