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An automatic leading indicator, variable reduction and variable selection methods using small and large datasets : forecasting the industrial production growth for euro area economies

Camba-Méndez, Gonzalo (contributor); … - European Central Bank - 2015

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

Persistent link: https://www.econbiz.de/10015298694

Banking and currency crises : differential diagnostics for developed countries

Joy, Mark (contributor); Rusnák, Marek (contributor); … - European Central Bank - 2015

We identify a set of "rules of thumb" that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970-2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF) extension,...

Persistent link: https://www.econbiz.de/10015298886

Granger causality and regime inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu (contributor); … - European Central Bank - 2015

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

Persistent link: https://www.econbiz.de/10015298950

Characterising the financial cycle : a multivariate and time-varying approach; No 1846 / September 2015

Schüler, Yves S. (contributor); … - European Central Bank - 2015

We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

Persistent link: https://www.econbiz.de/10015297765

Climate risk, bank lending and monetary policy

Altavilla, Carlo (contributor); Boucinha, Miguel (contributor) - European Central Bank - 2024

Combining euro-area credit register and carbon emission data, we provide evidence of a climate risk-taking channel in … committed to decarbonization. Consistently with the risk-taking channel of monetary policy, tighter policy induces banks to … increase both credit risk premia and carbon emission premia, and reduce lending to high emission firms more than to low …

Persistent link: https://www.econbiz.de/10015275094

The importance of being transparent : a review of climate-related and environmental risks disclosures practices and trends : results of the 2022 supervisory assessment of institutions' climate-related and environmental risks disclosures

European Central Bank - 2023

As part of the supervisory work on the transparency of banks' risk profiles, the European Central Bank (ECB) is … (SIs) and a selected number of less significant institutions (LSIs). The assessment of C&E risk management and disclosures … and strategy, governance, risk management, and metrics and targets, as per the ECB Guide expectation 13. The review was …

Persistent link: https://www.econbiz.de/10015430074

European Central Bank - 2025

This report discloses climate-related information about the ECB's euro-denominated non-monetary policy portfolios. The report includes investments into the ECB's staff pension fund and its own funds portfolio. The ECB's efforts to reduce carbon emissions in line with the interim targets set for...

Persistent link: https://www.econbiz.de/10015430934

Uncertainty shocks, banking frictions and economic activity : N° 1825 / July 2015

Bonciani, Dario (contributor); Roye, Björn van (contributor) - European Central Bank - 2015

In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty...

Persistent link: https://www.econbiz.de/10015298353

A high frequency assessment of the ECB securities markets programme : N° 1642 / February 2014

Ghysels, Eric (contributor); Idier, Julien (contributor); … - European Central Bank - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: if Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10015302475

Density characteristics and density forecast performance : a panel analysis; N°1679, May 2014

Kenny, Geoff (contributor); Kostka, Thomas (contributor); … - European Central Bank - 2014

the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and …

Persistent link: https://www.econbiz.de/10015301871