This paper studies the forecasting performance of a general equilibrium model of bond yields where government bonds provide liquidity services and are, as such, an integral part of the monetary transmission mechanism. The model is estimated with Bayesian methods on Euro area data. I compare the...

We investigate how the relation between gold prices and the U.S. dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the euro and the British pound to study the pattern of volatility spillovers. We estimate the...

We address the role of information heterogeneity in the Euro interbank market for unsecured term lending. We use high-frequency quotes of bid and ask prices to estimate probabilities of informed trading for contract maturities from one month to one year. The dataset spans from November 2000 to...

The need of fiscal consolidation is likely to dominate the policy agenda in the next decade; starting from statistical evidence on the conduct of fiscal policy in the EMU area over the last decade, this paper addresses the optimality of alternative fiscal consolidation strategies. In this paper, we...

I study the dynamics of oil futures prices in the NYMEX using a large panel dataset that includes global macroeconomic indicators, financial market indices, quantities and prices of energy products. I extract common factors from the panel data series and estimate a Factor-Augmented Vector...

Purpose The purpose of this paper is to study the scope for country diversification in international portfolios of mutual funds for the “core” EMU countries. The author uses a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for...

We introduce distortionary taxes on consumption, labor and capital income into a New Keynesian model with Calvo pricing and nominal bonds. We study the relation between tax instruments and optimal monetary policy by computing simple rules for monetary and fiscal policy when one tax instrument at...

We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money...

We examine the interplay between monetary and fiscal policies in a context where disturbances to the public deficit process are a primary source of macroeconomic instability. We perform simulations of optimal targeting rules on a sticky-price model "a' la" Woodford (1997). Our investigation...