COVID-19 has quickly emerged as a novel risk, generating feverish behavior among investors, and posing unprecedented challenges for policymakers. The empirical analysis provides evidence for a significant negative effect on stock markets of COVID-19-related measures announced in the Euro Area...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and their interdependencies in the eurozone government bond market. In particular, we examine the impact across different countries and across different maturity buckets within...

This study analyzes systemic risk contagion across the euro area by employing the Diebold-Yilmaz and the frequency connectedness methodologies with data from January 1, 1999, to January 25, 2021. We use the daily Composite Indicator of Systemic Stress (CISS) series for 11 countries in the euro...

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...

In light of the recent discussion regarding the measurement of uncertainty and its impact on economic activity, this paper derives forward-looking measures of uncertainty and directional expectations for the CHF/EUR exchange rate based on over-the-counter option data and analyses its impact on...

In July 1990, the project of the European Monetary Union (EMU) started and finally led to the introduction of the Euro in January 1999. This paper analyses the development of the government bond market integration during the three stages of the EMU. Based on the results from dynamic conditional...

We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...

Policy impact studies often suffer from endogeneity problems. Consider the case of the European Central Bank (ECB) Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downward the correlation...

This paper analyses a macro-financial VAR model for the euro area that includes -- apart from conventional measures of output, inflation and monetary policy -- a composite indicator of systemic financial stress, namely the CISS index, and total assets of the ECB balance sheet capturing the...