Working Paper Series

From European Central Bank
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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

Martin Saldias

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

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 Halaj

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 Halaj

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