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Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management

Scalia, Antonio; Sahel, Benjamin - 2011

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/10009380425

Government deficits, wealth effects and the price level in an optimizing model

Annicchiarico, Barbara - 2003

This paper investigates the in inflationary effects of fscal policy in an optimizing general equilibrium monetary model with capital accumulation, exible prices and wealth effects. The model is calibrated to Euro Area quarterly data. Simulation results show that government defcits, high debt...

Persistent link: https://www.econbiz.de/10009635879

Inflation persistence and robust monetary policy design

Coenen, Günter - 2003

This paper investigates the performance of optimised interest rate rules when there is uncertainty about a key determinant of the monetary transmission mechanism, namely the degree of persistence characterising the inﬂation process. The paper focuses on the euro area and utilises two variants of...

Persistent link: https://www.econbiz.de/10009635885

Relevant economic issues concerning the optimal rate of inflation

Rodriguez-Palenzuela, Diego; Camba-Mendez, Gonzalo; … - 2003

This paper reviews the key economic issues concerning the welfare costs of inflation and deflation, with a view to shedding light on the desirable properties of the inflation process. Our review of the evidence on the overall costs of inflation and deflation indicates that such costs could be...

Persistent link: https://www.econbiz.de/10009635897

Downward nominal wage rigidity and the long-run Philips Curve

Coenen, Günter - 2003

This paper summarises the results of a quantitative study of the possible impact of downward nominal wage rigidity on the determination of inflation and output in the euro area and the existence of a non-vertical long-run Phillips curve. The study was undertaken in the context of the review of...

Persistent link: https://www.econbiz.de/10009635901

Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous

Barnett, William A. - 2003

We derive fundamental new theory for measuring monetary service flows aggregated over countries within the European … aggregation over countries. Our theory permits monitoring the effects of policy at the aggregate level over the euro area, while …

Persistent link: https://www.econbiz.de/10009635917

Implicit tax co-ordination under repeated policy interactions

Catenaro, Marco; Vidal, Jean-Pierre - 2003

In the context of a stylised game theoretical framework of capital tax competition, we show that when repeated policy interactions are associated to a systematic punishment of the deviating policymaker, a co-ordinated outcome can be the solution to the non co-operative tax game. This result...

Persistent link: https://www.econbiz.de/10009635918

Persistence, the transmission mechanism and robust monetary policy

Angeloni, Ignazio; Coenen, Günter; Smets, Frank - 2003

In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks in an estimated DSGE model of euro area. We then analyse its impact on optimal monetary policy and investigate the performance of various monetary policies when the policy...

Persistent link: https://www.econbiz.de/10009635926

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

Deposit insurance, moral hazard and market monitoring

Gropp, Reint; Vesala, Jukka - 2004

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...

Persistent link: https://www.econbiz.de/10009636525

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