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1462 entries found on 74 pages. starting on record 81 ending on 100

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Title: The Role of Electoral and Party Systems in the Development of Fiscal Institutions in the Central and Eastern European
Countries
Abstract
The literature on fiscal institutions has established a connection between the design of fiscal institutions and a country's political fundamentals. The paper includes a review of the party and electoral systems in the Central and Eastern European countries (the CEECs) and then reaches conclusions on what modes of fiscal governance ('commitment', 'delegation', 'fiefdom') these countries should have developed based on their political fundamentals. Two major conclusions stand out. First, all of the countries have multi-dimensional social cleavage space which, together with the dominance of proportional electoral systems, suggests diverse party systems. This is a recipe for multi-party governments. Indeed, coalition governments have been dominant in the CEECs suggesting in turn that the majority of these countries should be leaning towards commitment approach. Second, the collapse of communism and consequent social changes led rather unsurprisingly to a certain political turmoil. This was evident especially during the first half of the 1990s. Some countries were affected more than others. Party structures have been in a constant change and reforms in the electoral laws have not been uncommon resulting in some countries to frequent shifts between different government types. This suggests that these countries have not been able to develop a coherent way to tackle the common pool resource problem. The reality largely confirms these expectations. The results therefore indicate that no 'onesize-fits-all' solutions exist in fiscal management. Consequently, the design of such institutions should pay due attention to the political factors, alongside with the economic ones. The results indicate further that a certain degree of political stability is a prerequisite for stable fiscal conditions. [Urheber s. Copyright]
Author: Yläoutinen, Sami
Series Title: ZEI working paper ; B13,2004
Publisher: Zentrum für Europäische Integrationsforschung
Year: 2004
Language: en
Ressource: Einzelne Berichte, Studien
Keyword: EU expansionfiscal policyparty systemelectoral system
Subject: Political parties. Interest groupsElections. Electoral lawFinancing. Private finance. Financial policy
Countries Scheme: Europe. General Resources
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Title: Does the yield spread predict recessions in the euro area?
Abstract
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the ten-year government bond rate and the threemonth interbank rate outperforms all the other spreads in predicting recessions in the euro area. The result is confirmed when the autoregressive series of the state of the economy is added in the same model. The forecast accuracy of the spread between 10-year and 3-month interest rates is explored in an exercise of out-of-sample forecasting. This yield spread appears to contain information which goes beyond the information already available in the history of output, providing further evidence of the potential usefulness of this indicator for monetary policy purposes. [Fabio Moneta]
Author: Moneta, Fabio
Series Title: Working paper series / European Central Bank ; 294
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesReturn to capitalShort-term forecastHolding periodProbit modelTerm structure of interest rates
Subject: Business cyclesInvestment returns. Financial market. Interest rates
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Title: Optimal allotment policy in the Eurosystem's main refinancing operations
Abstract
On several occasions during the period 2001-2003, the European Central Bank (ECB) decided to deviate from its "neutral" benchmark allotment rule, with the effect of not alleviating a temporary liquidity shortage in the banking system. This is remarkable because it implied the possibility of short-term interest rates raising significantly above the main policy rate. In the present paper, we show that when the monetary authority cares for both liquidity and interest rate conditions, the optimal allotment policy may entail a discontinuous reaction to initial conditions. More precisely, we prove that there is a threshold level for the accumulated aggregate liquidity position in the banking system prior to the last operation in a given maintenance period, so that the benchmark allotment is optimal whenever liquidity conditions are above the threshold, and a tight allotment is optimal whenever liquidity conditions are below the threshold. [Christian Ewerhart, Nuno Cassola, Steen Ejerskov, Natacha Valla]
Author: Ewerhart, Christian | Cassola, Nuno | Ejerskov, Steen | Valla, Natacha
Series Title: Working paper series / European Central Bank ; 295
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Bank liquidityEU countriesMonetary PolicyRefinancingCentral BankInterest rate policy
Subject: Currency. Monetary policyInvestment returns. Financial market. Interest rates
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Title: Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Abstract
Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited 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 reference prior distribution with an optional small open economy effect is proposed and a Gibbs sampler is derived for a straightforward evaluation of the posterior distribution. The methods are used to analyze the effects of monetary policy in Sweden. [Mattias Villani, Anders Warne]
Author: Villani, Mattias | Warne, Anders
Series Title: Working paper series / European Central Bank ; 296
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicySmall open economyCointegrationSwedenTheoryVAR model
Subject: Foreign trade. Trade relationsCurrency. Monetary policy
Countries Scheme: Sweden
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Title: Measurement of contagion in banks' equity prices
Abstract
This paper uses the co-incidence of extreme shocks to banks' risk to examine within country and across country contagion among large EU banks. Banks' risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two or more banks simultaneously is consistent with the assumption of a multivariate normal or a student t distribution. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify "systemically important" banks in the EU. [Reint Gropp, Gerard Moerman]
Author: Gropp, Reint | Moerman, Gerard
Series Title: Working paper series / European Central Bank ; 297
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesMonte Carlo methodShockTheory
Subject: Investment returns. Financial market. Interest rates
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Title: The lender of last resort
Title (other): a 21st century approach
Abstract
The classical Bagehot's conception of a Lender of Last Resort (LOLR) that lends to illiquid banks has been criticized on two grounds: on the one hand, the distinction between insolvency and illiquidity is not clear cut; on the other a fully collateralized repo market allows Central Banks to provide the adequate aggregated amount of liquidity and leave the responsibility of lending uncollateralized to the banks. The object of this paper is to analyze rigorously these issues by providing a framework where liquidity shocks cannot be distinguished from solvency ones and ask whether there is a need for a LOLR and how should it operate. Determining the optimal LOLR policy requires a careful modeling of the structure of the interbank market and of the closure policy. In our set up, the results depend upon the existence of moral hazard. If the main source of moral hazard is the banks' lack of incentives to screen loans, then the LOLR may have to intervene to improve the efficiency of an unsecured interbank market; if instead, the main source of moral hazard is loans monitoring, then the interbank market should be secured and the LOLR should never intervene. [Xavier Freixas, Bruno M. Parigi and Jean-Charles Rochet]
Author: Freixas, Xavier | Parigi, Bruno M. | Rochet, Jean-Charles
Series Title: Working paper series / European Central Bank ; 298
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Bank liquidityMoney MarketLender of last resortTheory
Subject: Currency. Monetary policyInvestment returns. Financial market. Interest rates
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Title: Import prices and pricing-to-market effects in the euro area
Abstract
Pricing-to-market (PTM) behaviour implies that exporters adjust their prices to the prevailing prices in their export markets. For the importing country, PTM effects can be interpreted as a measure of the stability of domestic prices against foreign price and exchange rate developments. PTM behaviour can be attributed to the level of competitiveness and price stickiness in the importing country. This paper investigates PTM behaviour in the euro area from the importing country's perspective, for both individual countries and the euro area as a whole. Analysis firstly involves the estimation of PTM effects in the five largest euro area countries. Secondly, PTM effects in the euro area as a whole are estimated to be slightly higher than one half. The results from illustrative simulations suggest that the increase in euro-area inflation during the first two years of monetary union can be largely attributed to oil price and exchange rate developments. [Thomas Warmedinger]
Author: Warmedinger, Thomas
Series Title: Working paper series / European Central Bank ; 299
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Trade priceEU countriesExchange rate pass-throughMonetary PolicyExchange rate policy
Subject: Currency. Monetary policyInternational monetary system
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Title: Developing statistical indicators of the integration of the euro area banking system
Abstract
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 sophisticated statistics which can also be used in other contexts and datasets. We then apply this framework to unconsolidated balance sheet data of banks, aggregated at the national level. The paper offers three main empirical conclusions. First, within the euro area the gap between the cross-border banking activity in wholesale and retail markets is widening. Second, at the same time, with the exception of the home bias, even in retail markets there is increasing neutrality towards the location of the counterparty. Third, following a moderate decline in the wake of EMU, London is once again gaining market shares. [Michele Manna]
Author: Manna,Michele
Series Title: Working paper series / European Central Bank ; 300
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: BankSingle European marketEU countriesEuropean Economic and Monetary UnionFinancial market
Subject: Foreign trade. Trade relationsPublic finance. Banking. International monetary relationsCurrency. Monetary policy
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Title: Deposit insurance, moral hazard and market monitoring
Abstract
The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data yields evidence consistent with the model, suggesting that explicit deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated debt holders. We further find that credible limits to the safety net reduce risk taking of smaller banks with low charter values and sizeable subordinated debt shares only. However, we also find that the introduction of explicit deposit insurance tends to increase the share of insured deposits in banks' liabilities. [Reint Gropp and Jukka Vesala]
Author: Gropp, Reint | Vesala, Jukka
Series Title: Working paper series / European Central Bank ; 302
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesDeposit insuranceMoral hazardTheory
Subject: Public finance. Banking. International monetary relationsInsurance. Insurance risks
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Title: Fiscal policy events and interest rate swap spreads
Title (other): evidence from the EU
Abstract
In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we identify the fiscal policy events and qualitatively assess the views of capital market participants. Secondly, we estimate the impact of these fiscal events on the interest rate swap spreads, which is our measure for the risk premium. According to our results the reaction of swap spreads, where it turned out to be significant, has been mostly around five basis points or less. [António Afonso and Rolf Strauch]
Author: Afonso, António | Strauch, Rolf
Series Title: Working paper series / European Central Bank ; 303
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean stability pactEuropean Economic and Monetary UnionFinancial marketFiscal PolicyCredibilityInterest rate swap
Subject: Currency. Monetary policyInvestment returns. Financial market. Interest rates
Countries Scheme: Europe. General Resources
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Title: Equilibrium unemployment, job flows and inflation dynamics
Abstract
In order to explain the joint fluctuations of output, inflation and the labor market, this paper first develops a general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price rigidities. Then, it estimates a set of structural parameters characterizing the dynamics of the labor market using an application of the minimum distance estimation. The estimated model can explain the cyclical behavior of employment, hours per worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the labor input at the extensive margin leads to a significantly lower elasticity of marginal costs with respect to output. This helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of the model to account for the joint dynamics of output and inflation rely on its ability to explain the dynamics in the labor market. [Antonella Trigari]
Author: Trigari, Antonella
Series Title: Working paper series / European Central Bank ; 304
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: General equilibriumMonetary PolicyInflationBusiness CyclePrice stickinessShockTheoryTheory of unemployment
Subject: Economic development. Economic growthBusiness cyclesCurrency. Monetary policyEmployment and unemployment
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Title: Budgetary forecasts in Europe - the track record of stability and convergence programmes
Abstract
We analyse the performance of budgetary and growth forecasts of all stability and convergence programmes submitted by EU member states over the last decade. Differences emerge for the bias in budgetary projections across countries. As a second step we explore whether economic, political and institutional factors can explain this pattern. Our analysis indicates that the cyclical position and the form of fiscal governance are major determinants of forecast biases. Projected changes in the budgetary position are mainly affected by the cycle, the need of convergence before EMU and by electoral cycles. [Rolf Strauch, Mark Hallerberg and Jürgen von Hagen]
Author: Strauch, Rolf | Hallerberg, Mark | Hagen, Jürgen von
Series Title: Working paper series / European Central Bank ; 307
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean stability pactForecastPublic BudgetingPublic Budget
Subject: European Communities and European Union in generalPublic finance. Taxation
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Title: International risk-sharing and the transmission of productivity shocks
Abstract
A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset markets and a low price elasticity of tradables can account quantitatively for these properties of real exchange rates. The low price elasticity stems from distribution services, intensive in local inputs, which drive a wedge between producer and consumer prices and lower the impact of terms-of-trade changes on optimal agents' decisions. Two very different patterns of the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated with a strengthening, the other with a deterioration of the terms of trade and real exchange rate. Evidence on the effect of technology shocks to U.S. manufacturing, identified through long-run restrictions, is found in support of the first transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. [Giancarlo Corsetti, Luca Dedola and Sylvain Leduc]
Author: Corsetti, Giancarlo | Dedola, Luca | Leduc, Sylvain
Series Title: Working paper series / European Central Bank ; 308
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: International financial marketLaw of one pricePurchasing power parityOECD countriesProductivityShockTerms of tradeUnited States
Subject: Economic and growth policiesInvestment returns. Financial market. Interest ratesInternational investments. Capital movements
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Title: Monetary policy shocks in the euro area and global liquidity spillovers
Abstract
This paper analyses the international transmission of monetary shocks with a special focus on the effects of foreign money ("global liquidity") on the euro area. We estimate structural VAR models for the euro area and the global economy including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity leads to permanent increases in the euro area M3 aggregate and the price level, a temporary rise in real output and a temporary appreciation of the real effective exchange rate of the euro. Moreover, we find that innovations in global liquidity play an important role in explaining price and output fluctuations in the euro area and in the global economy. [João Sousa and Andrea Zaghini]
Author: Sousa, João | Zaghini, Andrea
Series Title: Working paper series / European Central Bank ; 309
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionMonetary PolicyShockTheoryMonetary transmissionForeign exchange reserves
Subject: Currency. Monetary policyInternational monetary system
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Title: International equity flows and returns
Title (other): a quantative equilibrium approach
Abstract
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors' international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build and unwind foreign equity positions gradually and (iii ) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries. [Rui Albuquerque, Gregory H. Bauer and Martin Schneider]
Author: Albuquerque, Rui | Bauer, Gregory H. | Schneider, Martin
Series Title: Working paper series / European Central Bank ; 310
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketAsymmetric informationForeign direct investmentFinancial marketCapital mobilityTheory
Subject: Investment returns. Financial market. Interest ratesInternational investments. Capital movements
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Title: Current accounts dynamics in OECD and EU acceding countries
Title (other): an intertemporal approach
Abstract
The paper extends the standard intertemporal model of the current account to include two important stylised facts: (1) the persistence of current account positions and (2) the relevance of the fiscal balance. Specifically, the paper derives a closed form solution for consumption in the presence of habit persistence and liquidity constraints, which allows us to obtain a dynamic model for the current account where fiscal deficits have an effect. The model is estimated for a panel of 33 countries, including the ten EU acceding countries and structural current account positions are derived. A parsimonious specification including relative income, relative investment and the fiscal balance explains well past current account developments. A key finding of the paper is that, from an intertemporal perspective, current accounts in most acceding countries are currently broadly in line with their structural current account positions. [Matthieu Bussière, Marcel Fratzscher and Gernot J. Müller]
Author: Bussière, Matthieu | Fratzscher, Marcel | Müller, Gernot J.
Series Title: Working paper series / European Central Bank ; 311
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU enlargementCurrent account balanceOECD countriesEastern EuropeBorrowing constraints
Subject: International investments. Capital movements
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Title: The high-yield segment of the corporate bond market
Title (other): a diffusion modelling approach for the United States, the United Kingdom and the euro area
Abstract
This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer influence factor and autonomous speed of diffusion. The latter is found to be higher in Europe than in the United States as also macroeconomic factors are considered. The high-yield bond diffusion pattern is significantly affected by financing need variables, e.g. leverage buy-outs, mergers and acquisitions, and industrial production growth, and return or financing cost variables, e.g. stock market return and the spread between the yield on speculative-grade and BBB-rated investment-grade bonds. These findings suggest that the diffusion of new financial products depends on the macroeconomic environment and can be quickly in case of the diffusion from a pioneer country to later adopting countries. [Gabe de Bondt and David Marqués]
Author: Bondt, Gabe de | Marqués, David
Series Title: Working paper series / European Central Bank ; 313
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesFinancial innovationUnited KingdomCorporate bondDiffusion of innovationsReturn to capitalUnited States
Subject: Investment returns. Financial market. Interest rates
Countries Scheme: United KingdomUSA
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Title: Exchange rate risks and asset prices in a small open economy
Abstract
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy for the foreign cash order flow. Then, the asset pricing model is decomposed into the standard ICCAPM no-arbitrage setup characterized by a pricing kernel, in which, however, the 'autarky' exchange rate is unobserved, and an additional equation that links this autarchic currency price with the FX order flow. The model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the asset markets and determine the dynamics of the pricing kernel, the autarchic exchange rate and the FX order flow. A comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role, should disclose the existence of a 'nonfundamental' source of a systematic divergence of the observed and the autarchic (i.e. fundamental) FX returns. The model is calibrated and tested on the Czech koruna/euro exchange rate in a setting with seven Czech and euro area asset returns. [Alexis Derviz]
Author: Derviz, Alexis
Series Title: Working paper series / European Central Bank ; 314
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Capital asset pricing modelEU countriesEuroTheoryCzech RepublicExchange rate
Subject: Currency. Monetary policy
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Title: Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Abstract
This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that market expectations are systematically asymmetric around monetary policy actions of the ECB. Around monetary policy tightening, option-implied yield distributions are positively skewed, indicating that market participants attach higher probabilities for sharp yield increases than for sharp decreases. Correspondingly, around loosening of the policy, implied yield distributions are negatively skewed, suggesting that markets assign higher probabilities for sharp yield decreases than for increases. Furthermore, the results indicate that market expectations are significantly altered around monetary policy actions, as asymmetries in market expectations tend to increase before changes in the monetary policy stance, and to decrease afterwards. [Sami Vähämaa]
Author: Vähämaa, Sami
Series Title: Working paper series / European Central Bank ; 315
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: GermanyEU countriesMonetary PolicyRational expectationsCentral BankPublic bond
Subject: Currency. Monetary policyFinancing. Private finance. Financial policy
Countries Scheme: Germany. General Resources
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Title: Cooperation in international banking supervision
Abstract
This paper analyzes cooperation between sovereign national authorities in the supervision and regulation of a multinational bank. We take a political economy approach to regulation and assume that supervisors maximize the welfare of their own country. The communication between the supervisors is modeled as a "cheap talk"game. We show that: (1) unless the interests of the countries are perfectly aligned, Þrst best closure regulation cannot be implemented; (2) the more aligned the interests are, the higher is welfare; (3) the bank can allocate its investments strategically across countries to escape closure. [Cornelia Holthausen and Thomas Rønde]
Author: Holthausen, Cornelia | Rønde, Thomas
Series Title: Working paper series / European Central Bank ; 316
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Banking supervisionMultinational bankInternational cooperationTheoryWorld
Subject: Financial institutions. Credit systems. Payment systems
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