Working Paper Series

From European Central Bank
60640 Frankfurt am Main, Germany.
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20141640: What drives the market share changes? price versus non-price factors

Julia Wörz and Konstantins Benkovskis

20141639: The distribution of debt across euro area countries: the role of individual characteristics, institutions and credit conditions

Olympia Bover, Philip Du Caju, Panagiota Tzamourani, Ernesto Villanueva, Eva Sierminska, Yvonne McCarthy, Jose Casado, Sónia Costa and Tibor Zavadil

20141638: Central clearing and collateral demand

Martin Scheicher, Guillaume Vuillemey and Darrell Duffie

20141637: Characterizing very high uncertainty episodes

Martin Bijsterbosch and Pierre Guérin

20141636: The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR

Olga Arratibel and Henrike Michaelis

20141635: Does the federal reserve staff still beat private forecasters?

Alexander Jung, Makram El-Shagi and Sebastian Giesen

20141634: Micro-based evidence of EU competitiveness: the CompNet database

Emmanuel Dhyne, Davide Zurlo, Charlotte Sandoz-Dit-Bragard, Bogdan Chiriacescu, Ana-Maria Cazacu, Tibor Lalinsky, Elena Biewen, Sven Blank, Philipp Meinen, Jan Hagemejer, Patry Tello, Antonio Rodríguez-Caloca, Urška Čede, Jaanika Meriküll, Stefania Rossetti, Emanuele Forlani, Filippo di Mauro, Antoine Berthou, Kamil Galuscak, Carlo Altomonte, Luca David Opromolla, João Amador, Ana Cristina Soares, Paloma Lopez-Garcia, Nicola Benatti, Chiara Angeloni, Matteo Bugamelli, D’Aurizio, Leandro, Giorgio Barba Navaretti and Péter Harasztosi

20141633: Buffer-stock saving in a Krusell-Smith world

Christopher Carroll, Jiri Slacalek and Kiichi Tokuoka

20141632: Anchoring the yield curve using survey expectations

Raffaella Giacomini, Carlo Altavilla and Giuseppe Ragusa

20141631: Household risk management and actual mortgage choice in the euro area

Michael Ehrmann and Michael Ziegelmeyer

20141630: Financial flexibility across the euro area and the UK

Annalisa Ferrando, Maria-Teresa Marchica and Roberto Mura

20141629: The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market

Massimo Giuliodori, Roel Beetsma, Frank de Jong and Daniel Widijanto

20141628: Cross-border production chains and business cycle co-movement between Central and Eastern European countries and euro area member states

Plamen Iossifov

20141627: Spatial dependence in commercial property prices: micro evidence from the Netherlands

Selin Özyurt

20131626: Observation driven mixed-measurement dynamic factor models with an application to credit risk

Bernd Schwaab, Siem Jan Koopman, Andre Lucas and Drew Creal

20131625: The pricing of sovereign risk and contagion during the European sovereign debt crisis

Marcel Fratzscher and John Beirne

20131624: Trade, productivity improvements and welfare: an endogenous market structure framework

Letizia Montinari

20131623: Market pricing of credit rating signals

Magdalena Grothe

20131622: Dealing with a liquidity trap when government debt matters: optimal time-consistent monetary and fiscal policy

Matthias Burgert and Sebastian Schmidt

20131621: Conditional and joint credit risk

Bernd Schwaab, Andre Lucas and Xin Zhang

20131620: The rise of China and India: blessing or curse for the advanced countries?

Livio Stracca

20131619: Micro and macro analysis on household income, wealth and saving in the euro area

Ilja Kristian Kavonius and Juha Honkkila

20131618: Growth, real exchange rates and trade protectionism since the financial crisis

Georgios Georgiadis and Johannes Gräb

20131617: Crowding-out or co-existence? the competitive position of EU members and China in global merchandise trade

Julia Wörz, Konstantins Benkovskis, Maria Silgoner and Katharina Steiner

20131616: Firms' export dynamics: experience vs. size

Antoine Berthou and Vincent Vicard

20131615: Fragmentation, incomes and jobs: an analysis of European competitiveness

Marcel Timmer, Bart Los, Robert Stehrer and Gaaitzen de Vries

20131614: On the measurement of foreign direct investment and its relationship to activities of multinational corporations

Konstantin Wacker

20131613: House price cycles in Europe

Alessandro Fontana and Stefano Corradin

20131612: Non-price competitiveness of exports from emerging countries

Julia Wörz and Konstantins Benkovskis

20131611: Bank reactions after capital shortfalls

Christoffer Kok and Glenn Schepens

20131610: Central bank collateral, asset fire sales, regulation and liquidity

Ulrich Bindseil

20131609: Foreign investors and risk shocks: seeking a safe haven or running for the exit?

Livio Stracca and Maurizio Michael Habib

20131608: Optimal control with heterogeneous agents in continuous time

Galo Nuño

20131607: Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system

Massimiliano Affinito

20131606: Credit constraints and investment in human capital: training evidence from transition economies

Alexander Popov

20131605: Is quantity theory still alive?

Pedro Teles and Harald Uhlig

20131604: Setting countercyclical capital buffers based on early warning models: would it work?

Carsten Detken, Tuomas Peltonen, Willem Schudel and Markus Behn

20131603: Competition in the Portuguese economy: insights from a profit elasticity approach

João Amador and Ana Cristina Soares

20131602: High frequency trading and price discovery

Jonathan Brogaard, Terrence Hendershott and Ryan Riordan

20131601: How do firms in Argentina get financing to export?

Tomás Castagnino, D’Amato, Laura and Máximo Sangiácomo

20131600: Granger-causal-priority and choice of variables in vector autoregressions

Marek Jarociński and Bartosz Maćkowiak

20131599: Disentangling the bond-CDS nexus: a stress test model of the CDS market

Tuomas Peltonen and Guillaume Vuillemey

20131598: The performance impact of firm ownership transformation in China

John Beirne, Guy S. Liu and Pei Sun

20131597: Predicting distress in European banks

Frank Betz, Silviu Oprica, Tuomas Peltonen and Peter Sarlin

20131596: Managers' mobility, trade performance, and wages

Giordano Mion and Luca David Opromolla

20131595: Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis

Massimo Giuliodori, Roel Beetsma, Frank de Jong and Daniel Widijanto

20131594: Is there a role for domestic demand pressure on export performance?

António Rua and Paulo Esteves

20131593: Monetary policy, bank capital and credit supply: a role for discouraged and informally rejected firms

Alexander Popov

20131592: Bridging the banking sector with the real economy: a financial stability perspective

Adrian Costeiu and Florian Neagu

20131591: Sudden stop of capital flows and the consequences for the banking sector and the real economy

Florian Neagu and Irina Mihai

20131590: Interest rate swaps and corporate default

Urban Jermann and Vivian Yue

20131589: Macroprudential policy instruments and economic imbalances in the euro area

Marcin Kolasa, Michal Brzoza-Brzezina and Krzysztof Makarski

20131588: The design of national fiscal frameworks and their budgetary impact

Carolin Nerlich and Wolf Heinrich Reuter

20131587: Assessing asset purchases within the ECB’s securities markets programme

Bernd Schwaab and Fabian Eser

20131586: What’s going on behind the euro area Beveridge curve(s)?

Juuso Vanhala, Boele Bonthuis and Valerie Jarvis

20131585: On the fortunes of stock exchanges and their reversals: evidence from foreign listings

Nuno Fernandes and Mariassunta Giannetti

20131584: Macroeconomic imbalances: a question of trust?

Livio Stracca, Sascha Buetzer and Christina Jordan

20131583: The network structure of the CDS market and its determinants

Martin Scheicher, Tuomas Peltonen and Guillaume Vuillemey

20131582: Risks to price stability, the zero lower bound and forward guidance: a real-time assessment

Günter Coenen and Anders Warne

20131581: Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models

John Duca and John Muellbauer

20131580: A predictability test for a small number of nested models

Kirstin Hubrich, Eleonora Granziera and Hyungsik Moon

20131579: Does the Greenspan era provide evidence on leadership in the FOMC?

Makram El-Shagi and Alexander Jung

20131578: Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets

Adrian Buss

20131577: Firms’ financing constraints: do perceptions match the actual situation?

Annalisa Ferrando and Klaas Mulier

20131576: Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk

Michele Ca' Zorzi, Michał Rubaszek and Jakub Mućk

20131575: Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K

João Sousa and Ricardo Sousa

20131574: A market-based approach to sector risk determinants and transmission in the euro area

Martín Saldías

20131573: The global effects of the euro debt crisis

Livio Stracca

20131572: Retail payments and the real economy

Heiko Schmiedel, Iftekhar Hasan and Tania De Renzis

20131571: Professional forecasters and the real-time forecasting performance of an estimated new keynesian model for the euro area

Frank Smets, Anders Warne and Raf Wouters

20131570: Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR

Christoffer Kok and Marco Gross

20131569: Regime-switching global vector autoregressive models

Marco Gross and Michael Binder

20131568: Bank lending and monetary transmission in the euro area

Roberto De Santis and Paolo Surico

20131567: Determinants of banking system fragility: a regional perspective

Hans Degryse, Muhammad Ather Elahi and María Penas

20131566: Domestic credit growth and international capital flows

Philip Lane and Peter McQuade

20131565: Risk, uncertainty and monetary policy

Marco Lo Duca, Marie Hoerova and Geert Bekaert

20131564: Now-casting and the real-time data flow

Domenico Giannone, Lucrezia Reichlin, Marta Banbura and Michele Modugno

20131563: A financial systemic stress index for Greece

Dimitrios Louzis and Angelos Vouldis

20131562: The effectiveness of the non-standard policy measures during the financial crises: the experiences of the federal reserve and the European Central Bank

Jens Eisenschmidt, Seth Carpenter and Selva Demiralp

20131561: A twin crisis with multiple banks of issue: Spain in the 1860s

Galo Nuño Barrau, Alessio Moro and Pedro Tedde

20131560: Monetary policy, macroprudential policy and banking stability: evidence from the euro area

Angela Maddaloni and Jose-Luis Peydro

20131559: Fishing in the same pool? export strengths and competitiveness of China and CESEE in the EU-15 Market

Julia Wörz, Maria Silgoner, Katharina Steiner and Christian Schitter

20131558: The dynamics of spillover effects during the European sovereign debt crisis

Andreas Beyer and Adrian Alter

20131557: On the international spillovers of US quantitative easing

Marcel Fratzscher, Roland Straub and Marco Lo Duca

20131556: Measuring institutional competitiveness in Europe

Stefan Huemer, Beatrice Scheubel and Florian Walch

20131555: Hidden gems and borrowers with dirty little secrets: investment in soft information, borrower self-selection and competition

Reint Gropp, Christian Gruendl and Andre Guettler

20131554: Business groups as hierarchies of firms: determinants of vertical integration and performance

Carlo Altomonte and Armando Rungi

20131553: How important is tourism for the international transmission of cyclical fluctuations? Evidence from the Mediterranean

Fabio Canova and Pietro Dallari

20131552: GDP-Inflation cyclical similarities in the CEE countries and the euro area

Corrado Macchiarelli

20131551: Bubbles, bank credit and macroprudential policies

Alexis Derviz

20131550: Forecasting fiscal time series using mixed frequency data

Thomas Warmedinger, Joan Paredes and Stylianos Asimakopoulos

20131549: Optimal CSD reshaping towards T2S

Stephan Sauer and Fabien Mercier

20131548: Large global volatility shocks, equity markets and globalisation: 1885-2011

Arnaud Mehl

20131547: Current account reversals in industrial countries: does the exchange rate regime matter?

Cosimo Pancaro

20131546: How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment

Julien Idier, Gildas Lame and Jean-Stéphane Mésonnier

20131545: Catching falling knives: speculating on market overreaction

Jean-Edouard Colliard

20131544: House prices, home equity and entrepreneurships

Alexander Popov and Stefano Corradin

20131543: Financial imbalances and household welfare: empirical evidence from the EU

Livio Stracca

20131542: Central bank liquidity provision, risk-taking and economic efficiency

Ulrich Bindseil and Juliusz Jabłecki

20131541: Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?

Eleni Angelopoulou, Hiona Balfoussia and Heather Gibson