Do asset prices affect real activity? This question has taken on a new importance in recent years, as asset values first surged at the end of 1990s and, thereafter, dramatically retreated. This report reviews the available theoretical and empirical evidence regarding asset price and wealth...

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...

The Eurosystem's Advisory Group on Market Infrastructures for Securities and Collateral (AMI-SeCo) has set the goal of harmonising the processing of corporate actions (CA), based on the ISO 20022 standard. In December 2017 the AMI-SeCo identified a series of harmonisation needs, which served as...

We construct a measure of a bank's relative creditworthiness from Eurosystem's proprietary overnight loan data: the bank's "average overnight borrowing rate spread, relative to overnight rate index" (AOR). We investigate the dynamic relationship between the AOR and the credit default swap spread...

This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. Using a Markov-switching unobserved component model, we...

The Eurosystem's Advisory Group on Market Infrastructures for Securities and Collateral (AMI-SeCo) has set the goal of harmonising the processing of corporate actions (CA), based on the ISO 20022 standard. A series of harmonisation needs were identified by the AMI-SeCo in December 2017 which...

The Eurosystem's Advisory Group on Market Infrastructures for Securities and Collateral (AMI-SeCo) has set the goal of harmonising the processing of corporate actions (CA), based on the ISO 20022 standard. The harmonisation needs were identified by the AMI-SeCo in December 2017 and served as the...