Working Paper Series

From European Central Bank
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20131540: Can macroeconomists forecast risk? Event-based evidence from the euro area SPF

Geoff Kenny, Thomas Kostka and Federico Masera

20131539: Competition in bank-provided payment services

Wilko Bolt and David Humphrey

20131538: Retained interests in securitisations and implications for bank solvency

Anna Sarkisyan and Barbara Casu

20131537: Prediction using several macroeconomic models

Gianni Amisano and John Geweke

20131536: Predictive likelihood comparisons with DSGE and DSGE-VAR models

Anders Warne, Günter Coenen and Kai Christoffel

20131535: Trade adjustment in the European Union - a structural estimation approach

Chiara Osbat and Vesna Corbo

20131534: Spatial considerations on the PPP debate

Michele Ca' Zorzi and Alexander Chudik

20131533: Optimal asset structure of a bank - bank reactions to stressful market conditions

Grzegorz Hałaj

20131532: The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?

Michael Ehrmann, Chiara Osbat, Jan Stráský and Lenno Uusküla

20131531: Exploring the steady-state relationship between credit and GDP for a small open economy: the case of Ireland

Robert Kelly, Kieran McQuinn and Rebecca Stuart

20131530: Innocent bystanders: how foreign uncertainty shocks harm exporters

Daria Taglioni and Veronika Zavacka

20131529: Fiscal regimes in the EU

Antonio Afonso and C. Priscilla Toffano

20131528: The ECB's non-standard monetary policy measures: the role of institutional factors and financial structure

Philippine Cour-Thimann and Bernhard Winkler

20131527: Heterogeneous transmission mechanism: monetary policy and financial fragility in the euro area

Matteo Ciccarelli, Angela Maddaloni and Jose-Luis Peydro

20131526: A dynamic limit order market with fast and slow traders

Peter Hoffmann

20131525: Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks

Ivan Jaccard

20131524: Bank leverage cycles

Carlos Thomas and Galo Nuño

20131523: Estimating GVAR weight matrices

Marco Gross

20131522: What does a financial shock do? First international evidence

Livio Stracca and Fabio Fornari

20131521: Financial frictions in the euro area: a Bayesian assessment

Stefania Villa

20131520: The pricing of G7 sovereign bond spreads: the times, they are a-changin

Michael Ehrmann and Antonello D'Agostino

20131519: Adverse selection, market access and inter-market competition

Peter Hoffmann

20131518: Fiscal composition and long-term growth

Antonio Afonso and Joao Jalles

20131517: Employment duration and shifts into retirement in the EU

Corrado Macchiarelli and Ted Aranki

20131516: Bank-firm relationships and the survival of non-financial firms during the financial crisis 2008-2009

Kim Abildgren, Birgitte Vølund Buchholst and Jonas Staghøj

20131515: Non-performing loans: what matters in addition to the economic cycle?

Roland Beck, Petr Jakubík and Anamaria Piloiu

20131514: Booms and systemic banking crises

Frank Smets, Fabrice Collard and Frédéric Boissay

20131513: Fiscal stimulus in times of high debt: reconsidering multipliers and twin deficits

Christiane Nickel and Andreas Tudyka

20131512: Learning about wage and price mark-ups in euro area countries

Elena Angelini, Alistair Dieppe and Beatrice Pierluigi

20131511: Fiscal consolidations and bank balance sheets

Sebastian Hauptmeier, Jacopo Cimadomo and Tom Zimmermann

20131510: Macro-networks: an application to the euro area financial accounts

Olli Castrén and Michela Rancan

20131509: On policymakers' loss function and the evaluation of early warning systems

Peter Sarlin

20131508: A non-standard monetary policy shock: the ECB's 3-year LTROs and the shift in credit supply

Roberto De Santis and Matthieu Darracq Paries

20131507: Panel vector autoregressive models: a survey

Fabio Canova and Matteo Ciccarelli

20131506: Assessing interbank contagion using simulated networks

Christoffer Kok and Grzegorz Hałaj

20131505: Interest rate volatility: a consol rate-based measure

Vincent Brousseau and Alain Durré

20131504: International R&D Spillovers: Technology Transfer vs. R&D Synergies

Alistair Dieppe and Jan Mutl

20121503: Cost of borrowing shocks and fiscal adjustment

Nadine Leiner-Killinger, Fédéric Holm-Hadulla and Oliver de Groot

20121502: Do firms use the trade credit channel to manage growth?

Annalisa Ferrando and Klaas Mulier

20121501: Explaining EU citizens’ trust in the ECB in normal and crisis times

Michael Ehrmann, Livio Stracca and Michel Soudan

20121500: Nonlinear liquidity adjustments in the euro area overnight money market

Alain Durré and Renaud Beaupain

20121499: Risk, capital buffer and bank lending: a granular approach to the adjustment of euro area banks

Laurent Maurin and Mervi Toivanen

20121498: Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

Matteo Ciccarelli, Eva Ortega and Maria Valderrama

20121497: Bank capital and liquidity creation: Granger-causality evidence

Roman Horvath, Jakub Seidler and Laurent Weill

20121496: The ECB and the interbank market

Domenico Giannone, Lucrezia Reichlin and Michele Lenza

20121495: Bubbles, banks and financial stability

Kalin Nikolov and Kosuke Aoki

20121494: Prior selection for vector autoregressions

Domenico Giannone, Michele Lenza and Giorgio Primiceri

20121493: An alternative method for identifying booms and busts in the euro area housing market

Dieter Gerdesmeier, Barbara Roffia and Andreja Lenarčič

20121492: Bayesian analysis of recursive SVAR models with overidentifying restrictions

Andrzej Kocięcki, Michał Rubaszek and Michele Ca' Zorzi

20121491: Trade openness reduces growth volatility when countries are well diversified

Christian Saborowski, Mona Haddad, Jamus Lim and Cosimo Pancaro

20121490: A model of borrower reputation as intangible collateral

Kalin Nikolov

20121489: The business cycle implications of banks' maturity transformation

Pawel Zabczyk, Martin Andreasen and Marcelo Ferman

20121488: When the cat's away the mice will play: does regulation at home affect bank risk taking abroad?

Steven Ongena, Alexander Popov and Gregory Udell

20121487: Asymmetric information in credit markets, bank leverage cycles and macroeconomic dynamics

Ansgar Rannenberg

20121486: Leading indicators of crisis incidence: evidence from developed countries

Jan Babecký, Tomas Havranek, Jakub Matějů, Marek Rusnák, Kateřina Šmídková and Bořek Vašíček

20121485: Banking, debt and currency crises: early warning indicators for developed countries

Kateřina Šmídková, Jan Babecký, Tomas Havranek, Jakub Matějů, Marek Rusnák and Bořek Vašíček

20121484: Bank ratings: what determines their quality?

David Marques-Ibanez, Harald Hau and Sam Langfield

20121483: Gauging the effects of fiscal stimulus packages in the euro area

Roland Straub, Mathias Trabandt and Günter Coenen

20121482: Optimism bias? The elasticity puzzle in international economics revisited

Chiara Osbat and Vesna Corbo

20121481: Clearing, counterparty risk and aggregate risk

Bruno Biais, Florian Heider and Marie Hoerova

20121480: Interdependence and contagion in global asset markets

John Beirne and Jana Bricco ('Gieck')

20121479: Macroeconomic uncertainty and the impact of oil shocks

Ine Van Robays

20121478: Dual liquidity crises under alternative monetary frameworks: a financial accounts perspective

Ulrich Bindseil and Adalbert Winkler

20121477: Central bank communication on fiscal policy

Marco Catenaro, Jean-Pierre Vidal, Guido Wolswijk and Julien Allard

20121476: Aging and pension reform: extending the retirement age and human capital formation

Edgar Vogel, Alexander Ludwig and Axel Börsch-Supan

20121475: Information flows and disagreement

Cristian Badarinza and Marco Gross

20121474: Dissecting saving dynamics: measuring wealth, precautionary and credit effects

Jiri Slacalek, Martin Sommer and Christopher Carroll

20121473: Was unofficial dollarisation/euroisation an amplifier of the 'Great Recession' of 2007-09 in emerging economies

Livia Chitu

20121472: Fiscal sustainability using growth-maximising debt targets

Cristina Checherita-Westphal, Philipp Rother and Andrew Hughes Hallett

20121471: Feedback to the ECB's monetary analysis: the Bank of Russia's experience with some key tools

Alexey Ponomarenko, Elena Vasilieva and Franziska Schobert

20121470: Optimal portfolio choice with predictability in house prices and transaction costs

Stefano Corradin, Jose Fillat and Carles Vergara-Alert

20121469: Loan supply shocks and the business cycle

Alberto Musso and Luca Gambetti

20121468: Modelling the time varying determinants of portfolio flows to emerging markets

Marco Lo Duca

20121467: The interplay of economic reforms and monetary policy: the case of the euro area

Francesco Drudi, Alain Durré and Francesco Mongelli

20121466: History, gravity and international finance

Arnaud Mehl, Barry Eichengreen and Livia Chitu

20121465: Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries

Antonio Afonso and Joao Jalles

20121464: An MVAR framework to capture extreme events in macro-prudential stress tests

Paolo Guarda, Abdelaziz Rouabah and John Theal

20121463: Macroeconomic implications of time-varying risk premia

Francois Gourio

20121462: A global perspective on inflation and propagation channels

Luca Gattini, Huw Pill and Ludger Schuknecht

20121461: House price responsiveness of housing investments across major European economies

Luca Gattini and Ioannis Ganoulis

20121460: Financial structures and the real effects of credit-supply shocks in Denmark 1922-2011

Kim Abildgren

20121459: Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008

Bernd Schwaab, Siem Jan Koopman and Andre Lucas

20121458: Business cycles, monetary transmission and shocks to financial stability: empirical evidence from a new set of Danish quarterly national accounts 1948-2010

Kim Abildgren

20121457: Excessive bank risk taking and monetary policy

Itai Agur and Maria Demertzis

20121456: Bubble thy neighbor: portfolio effects and externalities from capital controls

Kristin Forbes, Marcel Fratzscher, Thomas Kostka and Roland Straub

20121455: Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years

Bernd Schnatz and Antonello D'Agostino

20121454: Asset pricing and housing supply in a production economy

Ivan Jaccard

20121453: Large shocks in menu cost models

Peter Karadi and Adam Reiff

20121452: Household leverage

Stefano Corradin

20121451: Financial markets and international risk sharing in emerging market economics

Martin Schmitz

20121450: Debt and growth: new evidence for the euro area

Anja Baum, Cristina Checherita-Westphal and Philipp Rother

20121449: Monetary and macroprudential policies

Paolo Angelini, Stefano Neri and Fabio Panetta

20121448: Anticipation of future consumption: a monetary perspective

Peter McAdam and Joao Faria

20121447: Sometimes it helps: the evolving predictive power of spreads on GDP dynamics

Giulio Nicoletti and Raffaele Passaro

20121446: How informative are the subjective density forecasts of macroeconomists?

Geoff Kenny, Thomas Kostka and Federico Masera

20121445: Credit risk in general equilibrium

Jürgen Eichberger, Klaus Rheinberger and Martin Summer

20121444: The perils of aggregating foreign variables in panel data models

Michele Ca' Zorzi, Alistair Dieppe and Alexander Chudik

20121443: The structural determinants of the US competitiveness in the last decades: a "trade-revealing" analysis

Filippo di Mauro, Massimo Del Gatto, Joseph Gruber and Benjamin Mandel

20121442: Global exchange rate configurations: Do oil shocks matter?

Livio Stracca, Maurizio Michael Habib and Sascha Buetzer

20121441: Thousands of models, one story: current account imbalances in the global economy

Michele Ca' Zorzi, Alistair Dieppe and Alexander Chudik