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A framework for collateral risk control determination
Cossin, Didier; Huang, Zhijiang; Auron-Nerin, Daniel; … - 2003
capture and liquidity risk, probability of default of counterparty, etc.). The framework, which combines the recent …
Persistent link: https://www.econbiz.de/10009639858
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Detecting and interpreting financial stress in the euro area
Blix Grimaldi, Marianna - 2010
There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....
Persistent link: https://www.econbiz.de/10009640326
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A monthly monetary model with banking intermediation for the euro area
Bruggeman, Annick; Donnay, Marie - 2003
the intermediation role of the banking sector. Estimating the encompassing model over the period January 1981 - September …
Persistent link: https://www.econbiz.de/10009635913
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The minimum liquidity deficit and the maturity structure of central banks' open market operations
Eisenschmidt, Jens; Holthausen, Cornelia - 2010
This paper studies the relationship between the size of the banking sector’s refinancing needs vis-à-vis the central … the total size of the banking sector’s refinancing needs. An empirical analysis then aims at determining the size of open …. Therefore, the analysis suggests that there is a lower bound for the amount of liquidity provided through short-term operations …
Persistent link: https://www.econbiz.de/10009640515
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How does the ECB allot liquidity in its weekly main refinancing operations?
Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003
This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to … understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been … deviations of the overnight rate from the main refinancing rate. Moreover the paper finds that liquidity has affected the …
Persistent link: https://www.econbiz.de/10009635957
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Bond market inflation expectations and longer-term trends in broad monetary growth and inflation in industrial countries, 1880 - 2001
Dewald, William G. - 2003
u0093Bond Market Inflation Expectation and Longer-term Trends in Broad Monetary Growth and Inflation in Industrial Countries, 1880-2001u0094 by William G. Dewald, Professor of Economics Emeritus, Ohio State University and Former Director of Research, Federal Reserve Bank of St. Louis. Annual...
Persistent link: https://www.econbiz.de/10009635923
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The real effects of money growth in dynamic general equilibrium
Graham, Liam; Snower, Dennis J. - 2004
We analyse the effects of money growth within a standard New Keynesian framework and show that the interaction between staggered nominal contracts and money growth leads to a long-run trade-off between output and money growth. We explore the microeconomic mechanisms that lead to this trade-off,...
Persistent link: https://www.econbiz.de/10009639472
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Interest rate effects of demographic changes in a New-Keynesian life-cycle framework
Kara, Engin; Thadden, Leopold von - 2010
This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. We extend the tractable, though non-monetary overlapping-generations model of Gertler (1999) and present a small synthesis model which combines the set-up of Gertler with a...
Persistent link: https://www.econbiz.de/10009640420
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The longer term refinancing operations of the ECB
Linzert, Tobias; Nautz, Dieter; Bindseil, Ulrich - 2004
This paper employs individual bidding data to analyze the empirical performance of the longer term refinancing operations (LTROs) of the European Central Bank (ECB). We investigate how banks’ bidding behavior is related to a series of exogenous variables such as collateral costs, interest...
Persistent link: https://www.econbiz.de/10009639413
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Volatility of interest rates in the euro area
Cassola, Nuno; Morana, Claudio - 2003
liquidity effects are cyclical, confined to the end of reserve maintenance periods, and are not transmitted along the money …
Persistent link: https://www.econbiz.de/10009635972