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Monetary policy, credit institutions and the bank lending channel in the euro area

Altavilla, Carlo; Andreeva, Desislava Č.; Boucinha, Miguel - 2019

As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks … crisis, in a context of financial market stress and weak bank balance sheets, unconventional monetary policy measures have … non-standard measures were successful in stimulating lending and which bank business models were more strongly affected …

Persistent link: https://www.econbiz.de/10012009071

Determinants of bank performance : evidence from replicating portfolios

Altavilla, Carlo; Begenau, Juliane; Burlon, Lorenzo; … - 2024

We construct a novel measure of bank performance, investigate its determinants, and show that it affects bank … inefficiencies, rather than monetary or regulatory measures, were the main driver of bank underperformance. We also show that higher …

Persistent link: https://www.econbiz.de/10014528253

Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model

Castelnuovo, Efrem - 2003

Successful descriptions of short-term nominal interest rates inertial behavior have frequently been obtained with small scale macro models in which a Central Banker minimizes a loss function embedding an argument labelled as interest rate smoothing. The rationale for this argument is not...

Persistent link: https://www.econbiz.de/10011325035

Monetary policy analysis in real-time: Vintage combination from a real-time dataset

Altavilla, Carlo; Ciccarelli, Matteo - 2011

reliable estimates of the policy model coefficients associated with small central bank losses, in particular during periods of …

Persistent link: https://www.econbiz.de/10010274753

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012015831