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Ranking, Risk-Taking and Effort : An Analysis of the ECB's Foreign Reserves Management
Scalia, Antonio; Sahel, Benjamin - 2021
The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the …. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the … existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative …
Persistent link: https://www.econbiz.de/10013315986
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Repo markets, counterparty risk, and the 2007/2008 liquidity crisis
Ewerhart, Christian; Tapking, Jens - 2008
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral, the feasibility of secured lending, and welfare implications of the central bank's collateral framework. As an innovation, we allow for two-sided counterparty risk. In line...
Persistent link: https://www.econbiz.de/10003962085
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Inflation Dynamics with Labour Market Matching : Assessing Alternative Specifications
Christoffel, Kai Philipp; Costain, James S.; de Walque, … - 2010
This paper reviews recent approaches to modeling the labour market and assesses their implications for inflation dynamics through both their effect on marginal cost and on price-setting behaviour. In a search and matching environment, we consider the following modeling setups: right-to-manage...
Persistent link: https://www.econbiz.de/10014208182
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The Impact of Global Warming on Inflation : Averages, Seasonality and Extremes
Kotz, Maximilian; Kuik, Friderike; Lis, Eliza; Nickel, … - 2023
Understanding of the macroeconomic effects of climate change is developing rapidly, but the implications for past and future inflation remain less well understood. Here we exploit a global dataset of monthly consumer price indices to identify the causal impacts of changes in climate on...
Persistent link: https://www.econbiz.de/10014354529
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The Role of Labor Markets for Euro Area Monetary Policy
Christoffel, Kai Philipp - 2009
In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor market would alter the business cycle behaviour...
Persistent link: https://www.econbiz.de/10012764518
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Macroeconomic Adjustment to Monetary Union
Fagan, Gabriel - 2008
The move to monetary union in Europe led to convergence of interest rates among the participating countries. This was associated with notable cross-country differences in the behaviour of key macroeconomic aggregates. Compared to the low interest rate countries, former high interest rate...
Persistent link: https://www.econbiz.de/10012770251
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The New Area-Wide Model of the Euro Area : A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis
Christoffel, Kai Philipp - 2008
In this paper, we outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by ECB/Eurosystem staff. We present estimation results for the NAWM that are obtained by employing Bayesian inference...
Persistent link: https://www.econbiz.de/10012770293
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Demographics and Inflation in the Euro Area : A Two-Sector New Keynesian Perspective
Lis, Eliza - 2020
Can the aging process affect inflation? The prolonged decline of fertility and mortality rates induces a persistent downward pressure on the natural interest rate. If this development is not internalized by the monetary policy rule, inflation can be on a downward trend. Using the structure of a...
Persistent link: https://www.econbiz.de/10012838759
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Debt Rule Design in Theory and Practice : The SGP's Debt Benchmark Revisited
Hauptmeier, Sebastian - 2020
This paper is linked to two debates on fiscal policies: first, the implications of low interest-growth differentials for debt sustainability and, second, the reform of the EU fiscal governance framework. In both debates the choice of government debt anchor and the speed of adjustment take centre...
Persistent link: https://www.econbiz.de/10012840203
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A Minimal Moral Hazard Central Stabilisation Capacity for the EMU Based on World Trade
Beetsma, Roel M. W. J. - 2018
Recent debate has focused on the introduction of a central stabilisation capacity as a completing element of the Economic and Monetary Union. Its main objective would be to contribute cushioning country-specific economic shocks, especially when national fiscal stabilisers are run down. There are...
Persistent link: https://www.econbiz.de/10012923313