Working Paper Series

From European Central Bank
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20161940: How competitiveness shocks affect macroeconomic performance across euro area countries

Karsten Staehr and Robert Vermeulen

20161939: Impact of the asset purchase programme on euro area government bond yields using market news

Roberto De Santis

20161938: Bond risk premia, macroeconomic factors and financial crisis in the euro area

Garcí­a, Juan Angel and Sebastian E. V. Werner

20161937: The invisible hand of the government: “Moral suasion” during the European sovereign debt crisis

Steven Ongena, Alexander Popov and Neeltje Van Horen

20161936: Trade in value added: do we need new measures of competitiveness?

Maria Silgoner, Paul Ramskogler and Kirsten Lommatzsch

20161935: Assessing the costs and benefits of capital-based macroprudential policy

Tuomas Peltonen, Marco Gross and Markus Behn

20161934: The BEAR toolbox

Alistair Dieppe, Björn van Roye and Romain Legrand

20161933: News and noise in the housing market

Andrea Giovanni Gazzani

20161932: Credit market competition and liquidity crises

Elena Carletti and Agnese Leonello

20161931: Networks of value added trade

João Amador and Sonia Cabral

20161930: Credit spreads, economic activity and fragmentation

Roberto De Santis

20161929: A portfolio demand approach for broad money in the euro area

Alexander Jung

20161928: The limits of model-based regulation

Markus Behn, Rainer Haselmann and Vikrant Vig

20161927: Violating the law of one price: the role of non-conventional monetary policy

Stefano Corradin and Maria Rodriguez-Moreno

20161926: Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?

Alexander Jung

20161925: Stressed interbank markets: evidence from the European financial and sovereign debt crisis

Florian Heider, Carlos Garcia-de-Andoain, Juan Carlos Frutos de Andres and Patrick Papsdorf

20161924: Pricing sovereign credit risk of an emerging market

Gonzalo Camba-Mendez, Dobromil Serwa, Konrad Kostrzewa and Anna Marszal

20161923: EAGLE-FLI. A macroeconomic model of banking and financial interdependence in the euro area

Pascal Jacquinot, Massimiliano Pisani, Sandra Gomes, Nikola Bokan and Andrea Gerali

20161922: Global credit risk: world country and industry factors

Bernd Schwaab, Siem Jan Koopman and Andre Lucas

20161921: The real exchange rate and economic growth: revisiting the case using external instruments

Livio Stracca, Elitza Mileva and Maurizio Michael Habib

20161920: Making sense of the EU wide stress test: a comparison with the SRISK approach

Carmelo Salleo, Timotej Homar and Heinrich Kick

20161919: Liquidity, innovation, and endogenous growth

Semyon Malamud and Francesca Zucchi

20161918: Collateral damage? On collateral, corporate financing and performance

Steven Ongena, Geraldo Cerqueiro and Kasper Roszbach

20161917: Search-based endogenous asset liquidity and the macroeconomy

Sören Radde and Wei Cui

20161916: Bank capital structure and the credit channel of central bank asset purchases

Christoffer Kok, Matthieu Darracq Paries and Grzegorz Hałaj

20161915: Business, housing and credit cycles

Gerhard Rünstler and Marente Vlekke

20161914: The effect of bank shocks on firm-level and aggregate investment

João Amador and Arne Nagengast

20161913: The risky steady state and the interest rate lower bound

Sebastian Schmidt, Taisuke Nakata and Timothy Hills

20161912: Determinants of euro-denominated corporate bond spreads

Elizaveta Krylova

20161911: Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area

Elizaveta Krylova

20161910: Waking up from the American dream: on the experience of young Americans during the housing boom of the 2000s

Alexander Popov and Luc Laeven

20161909: On domestic demand and export performance in the euro area countries: does export concentration matter?

Paulo Esteves and Elvira Prades

20161908: Unemployment risk and over-indebtedness

Philip Du Caju, Francois Rycx and Ilan Tojerow

20161907: Estimating the top tail of the wealth distribution

Philip Vermeulen

20161906: The collateral channel of open market operations

Nuno Cassola and Francois Koulischer

20161905: Exchange rate forecasting with DSGE models

Michele Ca' Zorzi, Marcin Kolasa and Michał Rubaszek

20161904: The housing market, household portfolios and the German consumer

John Muellbauer, Felix Geiger and Manuel Rupprecht

20161903: Bank leverage and monetary policy's risk-taking channel: evidence from the United States

Luc Laeven, Dell’Ariccia, Giovanni and Gustavo A. Suarez

20161902: Export characteristics and output volatility: comparative firm-level evidence for CEE countries

Bogdan Chiriacescu, Tibor Lalinsky, Urška Čede, Jaanika Meriküll and Péter Harasztosi

20161901: Price drift before U.S. macroeconomic news: private information about public announcements?

Georg Strasser, Alexander Kurov, Alessio Sancetta and Marketa Halova Wolfe

20161900: Toward robust early-warning models: a horse race, ensembles and model uncertainty

Peter Sarlin and Markus Holopainen

20161899: Monetary policy according to HANK

Greg Kaplan, Benjamin Moll and Giovanni L. Violante

20161898: Credit risk spillover between financials and sovereigns in the euro area during 2007-2015

Olivier Vergote

20161897: Restoring rational choice: The challenge of consumer financial regulation

John Campbell

20161896: Dynamic balance sheet model with liquidity risk

Grzegorz Hałaj

20161895: Credit, asset prices and business cycles at the global level

Stephane Dees

20161894: Sovereign risk and bank risk-taking

Anil Ari

20161893: On the design of data sets for forecasting with dynamic factor models

Gerhard Rünstler

20161892: A lost generation? Education decisions and employment outcomes during the U.S. housing boom-bust cycle of the 2000s

Alexander Popov and Luc Laeven

20161891: Parsing financial fragmentation in the euro area: a multi-country DSGE perspective

Matthieu Darracq Paries, Pascal Jacquinot and Niki Papadopoulou

20161890: Does slack influence public and private labor market interactions?

Ana Lamo, Javier Pérez and Enrique Moral-Benito

20161889: Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market

Arnaud Mehl, Barry Eichengreen and Romain Lafarguette

20161888: The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model

Christoffer Kok, Marco Gross and Dawid Żochowski

20161887: Network Dependence in the Euro Area Money Market

Gerhard Rünstler

20161886: Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area

Simone Manganelli, Florian Heider, Marie Hoerova and Carlos Garcia-de-Andoain

20161885: Advances in multivariate back-testing for credit risk underestimation

Stephan Sauer, François Coppens, Manuel Mayer, Laurent Millischer, Florian Resch and Klaas Schulze

20161884: Lenders on the storm of wholesale funding shocks: Saved by the central bank?

Leo de Haan, Philip Vermeulen and Jan Willem End

20161883: Is fiscal consolidation self-defeating? A Panel-VAR analysis for the Euro area countries

Maria Grazia Attinasi and Luca Metelli

20161882: Is the intrinsic value of macroeconomic news announcements related to their asset price impact?

Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega

20161881: Assessing the efficacy of borrower-based macroprudential policy using an integrated micro-macro model for European households

Marco Gross and Francisco Javier Población García

20161880: Reserve accumulation, inflation and moral hazard: Evidence from a natural experiment

Livia Chitu

20161879: Taking gravity online: the role of virtual proximity in international finance

Martin Schmitz and Christiane Hellmanzik

20161878: Sovereign to corporate risk spillovers

Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler

20161877: Credit subsidies

Isabel Correia, Fiorella De Fiore, Pedro Teles and Oreste Tristani

20161876: Bank networks from text: interrelations, centrality and determinants

Peter Sarlin and Samuel Rönnqvist

20161875: The information in systemic risk rankings

Bernd Schwaab, Siem Jan Koopman, Andre Lucas and Federico Calogero Nucera

20161874: Cash management and payment choices: a simulation model with international comparisons

Carlos Alberto Arango, David Bounie, Yassine Bouhdaoui, Martina Eschelbach and Lola Hernandez-van Gijsel

20151873: Dating systemic financial stress episodes in the EU countries

Tuomas Peltonen, Benjamin Klaus and Thibaut Duprey

20151872: Fiscal rules, fiscal space and procyclical fiscal policy

Carolin Nerlich and Wolf Heinrich Reuter

20151871: How do speed and security influence consumers' payment behavior?

Scott Schuh and Joanna Stavins

20151870: Regional dynamics of economic performance in the EU: To what extent spatial spillovers matter?

Stephane Dees and Selin Özyurt

20151869: Spillovers from the ECB's non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis

Peter McQuade, Matteo Falagiarda and Marcel Tirpák

20151868: To bi, or not to bi? Differences in spillover estimates from bilateral and multilateral multi-country models

Georgios Georgiadis

20151867: A note on implementing the Durbin and Koopman simulation smoother

Marek Jarociński

20151866: Interconnectedness of the banking sector as a vulnerability to crises

Tuomas Peltonen, Peter Sarlin and Michela Rancan

20151865: Inflation forecasts: Are market-based and survey-based measures informative?

Aidan Meyler and Magdalena Grothe

20151864: Asset purchase programmes and financial markets: lessons from the euro area

Roberto Motto, Carlo Altavilla and Giacomo Carboni

20151863: Fiscal multipliers during consolidation: evidence from the European Union

Philipp Rother and Alessandro Cugnasca

20151862: Worker flows in the European Union during the Great Recession

Juan F Jimeno, Jose Casado and Cristina Fernandez

20151861: Loan supply, credit markets and the euro area financial crisis

Carlo Altavilla, Matthieu Darracq Paries and Giulio Nicoletti

20151860: What drives forbearance - evidence from the ECB Comprehensive Assessment

Carmelo Salleo, Timotej Homar and Heinrich Kick

20151859: Corporate investment and bank-dependent borrowers during the recent financial crisis

Philip Vermeulen and Andra Buca

20151858: Fiscal policy adjustments in the euro area stressed countries: new evidence from non-linear models with state-varying thresholds

Roberto De Santis, Gabriella Legrenzi and Costas Milas

20151857: International spillovers in inflation expectations

Matteo Ciccarelli and Juan Angel García

20151856: Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy

Antonello D'Agostino and Jacopo Cimadomo

20151855: Quantitative effects of the shale oil revolution

Galo Nuño Barrau and Cristiana Manescu

20151854: Determinants of global spillovers from US monetary policy

Georgios Georgiadis

20151853: Price level changes and the redistribution of nominal wealth across the euro area

Klaus Adam and Junyi Zhu

20151852: Financial literacy and savings account returns

Dimitris Georgarakos, Roman Inderst and Florian Deuflhard

20151851: A rotated Dynamic Nelson-Siegel model with macro-financial applications

Ken Nyholm

20151850: Jagged cliffs and stumbling blocks: interest rate pass-through fragmentation during the Euro area crisis

Sarah Holton and d’Acri, Costanza Rodriguez

20151849: Drivers of banks' cost of debt and long-term benefits of regulation - an empirical analysis based on EU banks

Laurent Maurin and Artus Galiay

20151848: Systemic risk rankings and network centrality in the European banking sector

Valerie De Bruyckere

20151847: Private wealth across European countries: the role of income, inheritance and the welfare state

Pirmin Fessler and Martin Schürz

20151846: Characterising the financial cycle: a multivariate and time-varying approach

Paul Hiebert, Tuomas Peltonen and Yves Schüler

20151845: A false sense of security in applying handpicked equations for stress test purposes

Marco Gross and Francisco Javier Población García

20151844: Domestic and multilateral effects of capital controls in emerging markets

Martin Bijsterbosch, Matteo Falagiarda, Gurnain Pasricha and Joshua Aizenman

20151843: Debt overhang and deleveraging in the US household sector: gauging the impact on consumption

Bruno Albuquerque and Georgi Krustev

20151842: The real effects of credit constraints: evidence from discouraged borrowers in the euro area

Annalisa Ferrando and Klaas Mulier

20151841: Inattention to rare events

Bartosz Maćkowiak and Mirko Wiederholt