We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

This paper focuses on the downside risks to the German residential real estate market. It applies the "at-risk" methodology to the German housing market. Quantile regressions reveal that different quantiles of the house price forecast distribution are heterogeneously affected by the same...

We apply the growth-at-risk model of Adrian et al. (2019) to the German commercial real estate (CRE) market. We derive a distribution for CRE price growth four quarters ahead conditional on macro-financial variables. This approach allows us to make probability statements about the downside risk...

We apply the growth-at-risk model of Adrian et al. (2019) to the German commercial real estate (CRE) market. We derive a distribution for CRE price growth four quarters ahead conditional on macro-financial variables. This approach allows us to make probability statements about the downside risk...

Financial stability indicators can be grouped into financial stress indicators that reflect heightened spreads and market volatility, and financial vulnerability indicators that reflect credit and asset price imbalances. Based on a panel of euro area countries, we show that both types of...

Financial stability indicators can be grouped into financial stress indicators that reflect heightened spreads and market volatility, and financial vulnerability indicators that reflect credit and asset price imbalances. Based on a panel of euro area countries, we show that both types of...

Recent research developed under the ECB research task force on Monetary Policy, Macroprudential Policy and Financial Stability highlights the existence of trade-offs and spillovers that monetary policy and macroprudential authorities face when deciding on their policy interventions, Monetary...

Recent research developed under the ECB research task force on Monetary Policy, Macroprudential Policy and Financial Stability highlights the existence of trade-offs and spillovers that monetary policy and macroprudential authorities face when deciding on their policy interventions, Monetary...

We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...

We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...