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Stremmel, Hanno - 2015

In this study, we approximate the financial cycle in Europe by combining potential common and relevant financial indicators. We consider different credit aggregates and asset prices but also incorporate banking sector indicators for 11 European countries. We develop seven different synthetic...

Persistent link: https://www.econbiz.de/10013020632

Brexit, What Brexit? Euro Area Portfolio Exposures to the United Kingdom Since the Brexit Referendum

Carvalho, Daniel; Schmitz, Martin - 2022

We study euro area investors' portfolio adjustment since the Brexit referendum in terms of securities issued in the UK … exposures to debt securities and listed shares. Our key finding is the absence of a negative "Brexit-effect" for euro area … since the Brexit referendum. The analysis also reveals an increase in the euro area's exposure to listed shares issued by UK …

Persistent link: https://www.econbiz.de/10014239454

Heterogeneous Transmission Mechanism : Monetary Policy and Financial Fragility in the Euro Area

Ciccarelli, Matteo - 2013

The Euro area economic activity and banking sector have shown substantial fragility over the last years with remarkable country heterogeneity. Using detailed data on lending conditions and standards, we analyse how financial fragility has affected the transmission mechanism of the single Euro...

Persistent link: https://www.econbiz.de/10013085173

The Implications of Liquidity Regulation for Monetary Policy Implementation and the Central Bank Balance Sheet Size : An Empirical Analysis of the Euro Area

Kedan, Danielle; Ventula Veghazy, Alexia - 2021

We analyse the impact of the Liquidity Coverage Ratio (LCR) on the demand for central bank reserves in the euro area with difference-in-differences estimation techniques. Using a novel dataset and an identification strategy that exploits the cross-country heterogeneity in the regulatory...

Persistent link: https://www.econbiz.de/10013243820

Monetary Policy, Macroprudential Policy and Banking Stability : Evidence from the Euro Area

Maddaloni, Angela - 2013

We analyze the impact on lending standards of short-term interest rates and macro-prudential policy before the 2008 crisis, and of the provision of central bank liquidity during the crisis. Exploiting the euro area institutional setting for monetary and prudential policy and using the Bank...

Persistent link: https://www.econbiz.de/10013080478

On the Optimal Control of Interbank Contagion in the Euro Area Banking System

Fukker, Gábor; Kok Sørensen, Christoffer - 2021

In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...

Persistent link: https://www.econbiz.de/10013226863

Monetary Policy and Capital Regulation in the US and Europe

Cohen-Cole, Ethan - 2010

From the onset of the 2007-2009 crisis, the Federal Reserve and the European Central Bank have aggressively lowered interest rates. Both sets of changes are at odds with an anti-inflationary stance of monetary policy; indeed, as the crisis began in August 2007 inflation expectations were high...

Persistent link: https://www.econbiz.de/10013141874

Leaning Against the Wind : Macroprudential Policy and the Financial Cycle

Kok, Christoffer - 2019

Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about “leaning against the wind” (LAW) along three lines. First, we evaluate the cost and benefits of LAW using the Svensson (2017)...

Persistent link: https://www.econbiz.de/10012894739

Comovements in Volatility in the Euro Money Market

Cassola, Nuno; Morana, Claudio - 2021

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....

Persistent link: https://www.econbiz.de/10013317311

The Euro Area Bank Lending Survey Matters : Empirical Evidence for Credit and Output Growth

Bondt, Gabe J. de; Maddaloni, Angela; Peydró, José-Luis; … - 2021

This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant leading indicator for euro area bank credit and real GDP...

Persistent link: https://www.econbiz.de/10013316257