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The reception of public signals in financial marketswhat if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...

Persistent link: https://www.econbiz.de/10005866483

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - European Central Bank - 2009

, liquidity and risk appetite. The results imply thatdeclining risk appetite and heightened concerns about market illiquidity …

Persistent link: https://www.econbiz.de/10005866585

Measuring financial integration in the euro area

Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

Persistent link: https://www.econbiz.de/10005816123

Implications for liquidity from innovation and transparency in the European corporate bond market

Laganá, Marco; Perina, Martin; Köppen-Mertes, Isabel von - European Central Bank - 2006

and transparency for liquidity of corporate bond markets. We have applied it to the illiquid segments of the European … systemic liquidity. We also found that post-trade transparency has surprisingly little bearing on liquidity in that where it … improves liquidity it is merely acting as a proxy for pre-trade transparency or transparency of holdings. We conclude that if …

Persistent link: https://www.econbiz.de/10005344808

Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - European Central Bank - 2009

There is a broad consensus that the quality of the political system and its institutionsare fundamental for a country’s prosperity. The paper focuses on political events inItaly over the past 35 years and asks whether the adoption of the euro in 1999 hashelped insulate Italy’s financial...

Persistent link: https://www.econbiz.de/10005866519

Fair value accounting and financial stability

Enria, Andrea; Cappiello, Lorenzo; Dierick, Frank; … - European Central Bank - 2004

Accounting standard setters are considering the wider use of fair value accounting. This paper focuses on the financial stability implications of a move in the banking sector from the current accounting framework to full fair value accounting. A simulation exercise is performed on how various...

Persistent link: https://www.econbiz.de/10005530668

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - European Central Bank - 2009

We estimate time-varying expected excess returns on the US stock market from 1983to 2008 using a model that jointly captures the arbitrage-free dynamics of stockreturns and nominal bond yields. The model nests the class of affine term structure (ofinterest rates) models. Stock returns and bond...

Persistent link: https://www.econbiz.de/10005866629

Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles.

Fell, J.P.C.; Levy, A. - European Central Bank - 1996

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

Persistent link: https://www.econbiz.de/10005486856

On the indeterminacy of new-Keynesian economics

Beyer, Andreas; Farmer, Roger E. A. - European Central Bank - 2004

We study identiÞcation in a class of three-equation monetary models. We argue that these models are typically not identiÞed. For any given exactly identiÞed model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to...

Persistent link: https://www.econbiz.de/10005530720

Which kind of transparency? On the need for clarity in monetary policy-making

Winkler, Bernhard - European Central Bank - 2000

In most of the existing academic literature the notion of transparency in monetary policy is defined in too simple … potentially conflicting - aspects of transparency. When there are frictions in communication or imperfections in the processing of … this perspective transparency primarily hinges on a shared mode of interpretation ('common understanding') between the …

Persistent link: https://www.econbiz.de/10005530810