This paper contributes to the literature on the properties of money and creditindicators for detecting asset price misalignments. After a review of the evidence inthe literature on this issue, the paper discusses the approaches that can be consideredto detect asset price busts. Considering a...

A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

Liquidity provision through its repo auctions has been one of the main instrumentsof the European Central Bank (ECB) to address the recent tensions infinancial markets since summer 2007. In this paper, we analyse banks’ biddingbehaviour in the ECB’s main refinancing operations (MROs) during...

This European Central Bank (ECB) publication - Stress Test Analytics for Macroprudential Purposes in the euro area (STAMP€) - offers a suite of analytical tools for those interested in stress-testing frameworks and has been developed by ECB staff over the past few years.

The TITUS exercise, held on 4 November 2015, was a crisis communication exercise involving the Eurosystem's payment system oversight function, TARGET2 operators and all critical payment infrastructures processing the euro, including some of their major participants. The participants were...

I study economies where banks do not fully internalize the social costs of default, which distorts their lending decisions. In all these economies, a common general equilibrium effect leads to aggregate over-investment. As a result, under laissez-faire, crises are too frequent and too costly...

I develop a model of money market funds (MMFs) to study the ability of sponsor support to provide stability to the industry. I find that strategic complementarities in the sponsors support decisions can make MMFs vulnerable to runs different from the canonical bank-runs: it may lead to runs of...

This paper assesses the trends of some main macroeconomic and macro-financial variables across different time horizons related to systemic banking crises. Specifically, by gradually shifting the observation horizon of the same statistical model across time, it observes how these variables are...