This paper examines the asymmetry in global spillovers from Fed policy across tightening versus easing episodes several examples of which have been on display since the global financial crisis (GFC). We build a dynamic general equilibrium model featuring: (i) occasionally binding collateral...

The change in macroeconomic conditions since the ECB's strategy review in 2021 towards an environment characterised by above-target inflation, high interest rates, and renewed concerns about elevated government debt has been a vocal reminder of the intricate interdependencies between monetary...

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

The following sections provide a description of the methodology used as part of the Supervisory Review and Evaluation Process (SREP) for assessing the interest rate risk in the banking book (IRRBB) and credit spread risk in the banking book (CSRBB) of significant institutions. The ECB uses a...

The ECB has collected data on the unrealised losses of significant institutions under its direct supervision with a view to enhancing the assessment of risk in the held-to-maturity portfolios of euro area banks and to furthering its monitoring of interest rate risk and liquidity risk.