The power system has to deal with three main sources of uncertainty: demand uncertainty and load prediction errors, failure of power plants and uncertainty of wind. The growing share of wind and other intermittent generation sources in the European supply increases the uncertainty about power...

This paper proposes a new mutual exciting regime-switching model where crises can spread contagiously across countries. Each country has its own hidden stochastic process that determines whether it is in a normal or crisis regime. The mutual-excitation component allows interactions in the Markov...

This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...

This paper estimates a regime switching Taylor Rule for the European Central Bank (ECB) in order to investigate some potential nonlinearities in the forward-looking policy reaction function within a real-time framework. In order to compare observed and predicted policy behavior, the paper...

In this paper, instead of likelihood based methods that are fragile under model uncertainty, we use entropy based methods on time-ordered household income data to recover income distribution information on European countries and obtain income inequality estimates. For information recovery, we...

We present some stylised facts about the composition of public investment in Europe and analyse its determinants, with a special focus on the role of fiscal decentralisation. The empirical analysis is conducted both for levels of different types of public investment and for their shares in total...

In the present study we investigate the relationship between foreign ownership and innovation activities using the firm-level data of the third Community Innovation Survey (CIS) covering 12 European countries. Probit estimates based on 28,000 firms observations show that foreign owned firms are...

This paper estimates relative risk aversion using the observed shares of risky assets and characteristics of households from the Household Finance and Consumption Survey of the European Central Bank. Given that the risky share is a fractional response variable belonging to [0, 1], this paper...

The paper sets out to analyze the allocations of financial resources accruing to the European regions from the Regional, Rural Development and Agricultural policies of the European Union in order to assess their territorial coordination and synergies and their degree of compatibility with the...

This paper investigates motives of banks to borrow funds from the ECB through its first two series of targeted longer-term refinancing operations (TLTROs) allotted between September 2014 and March 2017. We quantify that the top-three parameters that determine banks' take-up decisions are the...