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Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Securitization, bank lending and credit quality

Carbó-Valverde, Santiago; Marqués-Ibáñez, David; … - 2011

deterioration of credit in this country considering rating changes in individual securitized deals and on balance sheet bank … performance is found to lead rating changes with a lag of four quarters. Importantly, bank characteristics (in particular …, observed solvency, cash flow generation and cost efficiency) also affect ratings considerably. Additionally, these other bank …

Persistent link: https://www.econbiz.de/10009640768

Bank mergers, competition and liquidity

Carletti, Elena; Hartmann, Philipp; Spagnolo, Giancarlo - 2003

We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete … in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase … expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a …

Persistent link: https://www.econbiz.de/10009635892

Developing statistical indicators of the integration of the euro area banking system

Manna,Michele - 2004

This paper discusses a wide range of indicators of the degree of integration of the euro area banking system. It is concerned with volume data, a less developed field of research compared with studies on prices/rates. We first set out a methodological framework, a mixture of elementary and more...

Persistent link: https://www.econbiz.de/10009636523

Modelling inflation in the euro area

Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10009636545

Estimating the rank of the spectral density matrix

Camba-Mendez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive deﬁnite matrix estimate...

Persistent link: https://www.econbiz.de/10009639403

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10009639853

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

This paper examines the issue of the impact of aggregation in the empirical analysis of euro area labour markets. A Phillips Curve describing the adjustment of unit labour costs is estimated at the national and aggregate level for the 5 largest euro area countries. Potential sources of...

Persistent link: https://www.econbiz.de/10009639854

Imposing parsimony in cross-country growth regressions

Jarociński, Marek - 2010

The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth regression. The underlying prior is that many of the considered variables need to be excluded from...

Persistent link: https://www.econbiz.de/10009640306

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