Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …

This monthly monetary model for the euro area is gradually constructed from its two constituting components: a money …

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission … along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both …

-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major … price-cost markup contributed to disinflation in the Euro area during the 1980s. …

Four years after the introduction of the euro, this paper provides an overview of the current structure and integration … of the euro area financial systems and related policy initiatives. We first compare the euro area financial structure … with that of the United States and Japan. Using new and comprehensive financial account data, we also describe how the euro …

transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector … leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system …

handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A …