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Liquidity and credit risk premia in government bond yields

Ejsing, Jacob; Grothe, Magdalena; Grothe, Oliver - European Central Bank - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

Persistent link: https://www.econbiz.de/10010686783

Now-casting and the real-time data flow

Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - European Central Bank - 2013

The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics. In this paper we survey recent developments in economic now-casting with special focus on those models that formalize key features of how market...

Persistent link: https://www.econbiz.de/10010686867

A system approach for measuring the euro area NAIRU

Fabiani, Silvia; Mestre, Ricardo - European Central Bank - 2001

This paper addresses the issue of measuring the NAIRU for the euro area and assessing the robustness and precision of … cyclical unemployment and the output gap with a Phillips curve and stochastic laws of motion for the NAIRU and potential output … the systems themselves. The results obtained point to an estimate of the area-wide NAIRU that is robust to changes in the …

Persistent link: https://www.econbiz.de/10005530711

The Phillips curve and long-term unemployment

Llaudes, Ricardo - European Central Bank - 2005

propose a new specification of the Phillips Curve that contains different unemployment lengths in a time-varying NAIRU setting … maker: It produces more accurate forecasts of inflation and more precise estimates of the NAIRU. JEL Classification: C22, E …

Persistent link: https://www.econbiz.de/10005530821