Working Paper Series

From European Central Bank
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20202499: Contagion accounting

Iñaki Aldasoro, Anne-Caroline Hüser and Christoffer Kok

20202498: Benefits of macro-prudential policy in low interest rate environments

Alejandro Van der Ghote

20202497: How do banking groups react to macroprudential policies? Cross-border spillover effects of higher capital buffers on lending, risk-taking and internal markets

Giuseppe Cappelletti, Aurea Marques, Carmelo Salleo and Diego Vila Martín

20202496: Interest rate risk and monetary policy normalisation in the euro area

Alessio Reghezza, Rodriguez d’Acri, Costanza, Livia Pancotto and Philip Molyneux

20202495: Using forecast-augmented VAR evidence to dampen the forward guidance puzzle

Kai Christoffel, Oliver de Groot, Falk Mazelis and Carlos Montes-Galdón

20202494: Nowcasting business cycle turning points with stock networks and machine learning

Andres Azqueta-Gavaldon, Dominik Hirschbühl, Luca Onorante and Lorena Saiz

20202493: How news affects sectoral stock prices through earnings expectations and risk premia

Kristian Kristiansen and Anna Kirstine Hvid

20202492: Banks, low interest rates, and monetary policy transmission

Olivier Wang

20202491: Fire sales by euro area banks and funds: what is their asset price impact?

Harun Mirza, Diego Moccero, Spyros Palligkinis and Cosimo Pancaro

20202490: Do words hurt more than actions? The impact of trade tensions on financial markets

Massimo Ferrari Minesso, Maria Sole Pagliari and Frederik Kurcz

20202489: Investment funds, monetary policy, and the global financial cycle

Christoph Kaufmann

20202488: Central bank digital currency in an open economy

Massimo Ferrari Minesso, Arnaud Mehl and Livio Stracca

20202487: Reversal interest rate and macroprudential policy

Matthieu Darracq Paries, Christoffer Kok and Matthias Rottner

20202486: Interest rate-growth differentials on government debt: an empirical investigation for the euro area

Cristina Checherita-Westphal and João Domingues Semeano

20202485: The wage-price pass-through in the euro area: does the growth regime matter?

Elke Hahn

20202484: Spillover effects in international business cycles

Maximo Camacho, Gabriel Perez-Quiros and Matías Pacce

20202483: Money markets, central bank balance sheet and regulation

Stefano Corradin, Jens Eisenschmidt, Marie Hoerova, Tobias Linzert, Glenn Schepens and Jean-David Sigaux

20202482: Central bank information effects and transatlantic spillovers

Marek Jarociński

20202481: Firm-specific shocks and contagion: are banks special?

Hannah Katharina Engljähringer and Livio Stracca

20202480: The (unobservable) value of central bank’s refinancing operations

Ugo Albertazzi, Lorenzo Burlon, Nicola Pavanini and Tomas Jankauskas

20202479: The impact of G-SIB identification on bank lending: evidence from syndicated loans

Markus Behn and Alexander Schramm

20202478: Covid-19 and rural landscape: the case of Italy

Simone Manganelli, Francesco Piras and Mauro Agnoletti

20202477: Green asset pricing

Ghassane Benmir, Ivan Jaccard and Gauthier Vermandel

20202476: The (ir)relevance of the nominal lower bound for real yield curve analysis

Fabian Schupp

20202475: Financial drivers of the euro area business cycle: a DSGE-based approach

Dominik Hirschbühl, Georgi Krustev and Grigor Stoevsky

20202474: Borrowing constraints, own labour and homeownership: does it pay to paint your walls?

Peter Lindner, Thomas Mathä, Michael Ziegelmeyer and Giuseppe Pulina

20202473: Sectoral output effects of monetary policy: do sticky prices matter?

Lukas Henkel

20202472: Global financial markets and oil price shocks in real time

Fabrizio Venditti and Giovanni Veronese

20202471: Does the Phillips curve help to forecast euro area inflation?

Marta Banbura and Elena Bobeica

20202470: Financial conditions, business cycle fluctuations and growth at risk

Andrea Falconio and Simone Manganelli

20202469: Banking euro area stress test model

Katarzyna Budnik, Mirco Balatti, Ivan Dimitrov, Johannes Groß, Michael Kleemann, Tomas Reichenbachas, Francesco Sanna, Andrei Sarychev, Nadežda Siņenko and Matjaž Volk

20202468: Forecasting the Covid-19 recession and recovery: lessons from the financial crisis

Claudia Foroni, Massimiliano Marcellino and Dalibor Stevanovic

20202467: The influence of OPEC+ on oil prices: a quantitative assessment

Dominic Quint and Fabrizio Venditti

20202466: Macroeconomic risks across the globe due to the Spanish Flu

Roberto De Santis and Wouter Van der Veken

20202465: The great lockdown: pandemic response policies and bank lending conditions

Carlo Altavilla, Francesca Barbiero, Miguel Boucinha and Lorenzo Burlon

20202464: The role of IMF conditionality for central bank independence

Matthias Rau-Goehring, Bernhard Reinsberg and Andreas Kern

20202463: Bank reserves and broad money in the global financial crisis: a quantitative evaluation

Jagjit Chadha, Luisa Corrado, Jack Meaning and Tobias Schuler

20202462: The effect of macroprudential policies on credit developments in Europe 1995-2017

Katarzyna Budnik

20202461: How to estimate a VAR after March 2020

Michele Lenza and Giorgio Primiceri

20202460: Convex supply curves

Christoph Boehm and Nitya Pandalai-Nayar

20202459: The international dimension of an incomplete EMU

Demosthenes Ioannou, Livio Stracca and Maria Sole Pagliari

20202458: Vulnerable growth in the Euro Area: Measuring the financial conditions

Juan Figueres and Marek Jarociński

20202457: Culture and portfolios: trust, precautionary savings and home ownership

Johannes Fleck and Adrian Monninger

20202456: Patterns in invoicing currency in global trade

Emine Boz, Camila Casas, Georgios Georgiadis, Gita Gopinath, Helena Le Mezo, Arnaud Mehl and Tra Nguyen

20202455: A decomposition of structural revenue developments for euro area member states

Richard Morris and Lukas Reiss

20202454: Macroprudential policy and the role of institutional investors in housing markets

Manuel A. Muñoz

20202453: Nowcasting with large Bayesian vector autoregressions

Jacopo Cimadomo, Domenico Giannone, Michele Lenza, Francesca Monti and Andrej Sokol

20202452: Risk and return in international corporate bond markets

Geert Bekaert and Roberto De Santis

20202451: The simpler the better: measuring financial conditions for monetary policy and financial stability

Simone Arrigoni, Alina Bobasu and Fabrizio Venditti

20202450: Economic consequences of high public debt: evidence from three large scale DSGE models

Pablo Burriel, Cristina Checherita-Westphal, Pascal Jacquinot, Nikolai Stähler and Matthias Schön

20202449: Has regulatory capital made banks safer? Skin in the game vs moral hazard

Ernest Dautović

20202448: Inflation volatility in small and large advanced open economies

Mirco Balatti

20202447: The tipping point: interest rates and financial stability

Davide Porcellacchia

20202446: Firms’ expectations on access to finance at the early stages of the Covid-19 pandemic

Annalisa Ferrando and Ioannis Ganoulis

20202445: Determinants of the credit cycle: a flow analysis of the extensive margin

Vincenzo Cuciniello and Nicola di Iasio

20202444: Monetary policy and intangible investment

Robin Döttling and Lev Ratnovski

20202443: Interest rate setting and communication at the ECB

Philippine Cour-Thimann and Alexander Jung

20202442: Central banks in parliaments: a text analysis of the parliamentary hearings of the Bank of England, the European Central Bank and the Federal Reserve

Nicolò Fraccaroli, Alessandro Giovannini and Jean-Francois Jamet

20202441: Modeling the consumption response to the CARES Act

Christopher Carroll, Jiri Slacalek, Matthew White and Edmund Crawley

20202440: Compositional effects of O-SII capital buffers and the role of monetary policy

Giuseppe Cappelletti, Alessio Reghezza, Rodriguez d’Acri, Costanza and Martina Spaggiari

20202439: Who takes the ECB’s targeted funding?

Olivier Vergote and Tomohiro Sugo

20202438: Financial intermediation and technology: What’s old, what’s new?

Arnoud Boot, Peter Hoffmann, Luc Laeven and Lev Ratnovski

20202437: Drivers of European public debt management

Guido Wolswijk

20202436: Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions

Roberto De Santis and Wouter Van der Veken

20202435: What’s up with the Phillips Curve?

Marco Del Negro, Michele Lenza, Giorgio Primiceri and Andrea Tambalotti

20202434: Macroeconomic effects of tariffs shocks: the role of the effective lower bound and the labour market

Pascal Jacquinot, Matija Lozej and Massimiliano Pisani

20202433: Rethinking capital regulation: the case for a dividend prudential target

Manuel A. Muñoz

20202432: Bank contagion in general equilibrium

Massimo Ferrari Minesso

20202431: ECB-BASIR: a primer on the macroeconomic implications of the Covid-19 pandemic

Elena Angelini, Matthieu Darracq Paries, Srečko Zimic and Milan Damjanović

20202430: How much does aggregate demand travel across the Atlantic?

Ine Van Robays and Livio Stracca

20202429: Bank lending in the knowledge economy

Dell’Ariccia, Giovanni, Camelia Minoiu, Lev Ratnovski and Dalida Kadyrzhanova

20202428: Macroeconomic stabilisation properties of a euro area unemployment insurance scheme

Christoph Kaufmann, Maria Grazia Attinasi and Sebastian Hauptmeier

20202427: Monetary policy, markup dispersion, and aggregate TFP

Timo Reinelt and Matthias Meier

20202426: Mitigating the forward guidance puzzle: inattention, credibility, finite planning horizons and learning

Oliver de Groot and Falk Mazelis

20202425: The aggregate consequences of default risk: evidence from firm-level data

Timothy Besley, John van Reenen and Isabelle Roland

20202424: Disciplining expectations and the forward guidance puzzle

Kai Christoffel, Falk Mazelis, Carlos Montes-Galdón and Tobias Müller

20202423: On the inflation risks embedded in sovereign bond yields

Gonzalo Camba-Mendez

20202422: Bank capital regulation in a zero interest environment

Robin Döttling

20202421: Monetary policy transmission over the leverage cycle: evidence for the euro area

Gerhard Rünstler and Leonie Bräuer

20202420: Identifying financial constraints

Annalisa Ferrando, Klaas Mulier, Marijn Verschelde, Laurens Cherchye and Bram De Rock

20202419: Determinants of firms’ efficiency: do innovations and finance constraints matter? The case of European SMEs

Annalisa Ferrando, Stefania P. S. Rossi and Graziella Bonanno

20202418: Fiscal multipliers with financial fragmentation risk and interactions with monetary policy

Matthieu Darracq Paries, Niki Papadopoulou and Georg Müller

20202417: Cross-border currency exposures: new evidence based on an enhanced and updated dataset

Agustín Bénétrix, Luciana Juvenal, Martin Schmitz and Deepali Gautam

20202416: Who’s afraid of euro area monetary tightening? CESEE shouldn’t

André Geis, Isabella Moder and Tobias Schuler

20202415: Macroprudential capital requirements with non-bank finance

Kyle P. Dempsey

20202414: Twin defaults and bank capital requirements

Caterina Mendicino, Kalin Nikolov, Juan-Rubio Ramirez, Javier Suarez and Dominik Supera

20202413: Burned by leverage? Flows and fragility in bond mutual funds

Luis Molestina Vivar, Michael Wedow and Christian Weistroffer

20202412: Stock return comovement when investors are distracted: more, and more homogeneous

Michael Ehrmann and David-Jan Jansen

20202411: Do non-performing loans matter for bank lending and the business cycle in euro area countries?

Ivan Huljak, Reiner Martin, Diego Moccero and Cosimo Pancaro

20202410: Global trade in final goods and intermediate inputs: impact of FTAs and reduced “Border Effects”

Sebastian Franco-Bedoya and Erik Frohm

20202409: Loan types and the bank lending channel

Victoria Ivashina, Luc Laeven and Enrique Moral-Benito

20202408: Random forest versus logit models: which offers better early warning of fiscal stress?

Barbara Jarmulska

20202407: Monetary policy and its transmission in a globalised world

Michele Ca' Zorzi, Luca Dedola, Georgios Georgiadis, Marek Jarociński, Livio Stracca and Georg Strasser

20202406: Macroprudential regulation and leakage to the shadow banking sector

Stefan Gebauer and Falk Mazelis

20202405: Cyclical systemic risk and downside risks to bank profitability

Jan Hannes Lang and Marco Forletta

20202404: Monetary policy with judgment

Paolo Gelain and Simone Manganelli

20202403: Political referenda and investment: evidence from Scotland

Andres Azqueta-Gavaldon

20202402: Heterogeneity in corporate debt structures and the transmission of monetary policy

Fédéric Holm-Hadulla and Claire Thürwächter

20202401: Endogenous TFP, business cycle persistence and the productivity slowdown in the euro area

Michaela Elfsbacka Schmöller and Martin Spitzer

20202400: The Phillips Curve at the ECB

Fabian Eser, Peter Karadi, Philip R. Lane, Laura Moretti and Chiara Osbat