FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

forecasts that are consistent with a (mostly forward-looking) New Keynesian Phillips Curve for the euro area. The estimation … results suggest that euro-area inflation forecasts have reacted less to unemployment forecasts after the start of the … financial crisis but another cost measure (energy inflation) remains significant. This finding is consistent with a flatter …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effect on these assets' return volatility if investors have …

This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation …. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and … power for inflation developments, as compared to statistical benchmark models. Therefore, for horizons of one and two years …