Working Paper Series

From European Central Bank
60640 Frankfurt am Main, Germany.
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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

20202399: Quantitative easing and the price-liquidity trade-off

Marien Ferdinandusse, Maximilian Freier and Annukka Ristiniemi

20202398: Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area securities register

Johannes Bubeck, Angela Maddaloni and Jose-Luis Peydro

20202397: Growth-and-risk trade-off

Luc Laeven, Gabriel Perez-Quiros and María Dolores Gadea Rivas

20202396: A framework for assessing the costs of pension reform reversals

Daniel Baksa, Zsuzsa Munkacsi and Carolin Nerlich

20202395: The dynamics of non-performing loans during banking crises: a new database

Anil Ari, Lev Ratnovski and Sophia Chen

20202394: Average inflation targeting and the interest rate lower bound

Taisuke Nakata, Sebastian Schmidt and Flora Budianto

20202393: Risk characteristics of covered bonds: monitoring beyond ratings

Magdalena Grothe and Jana Zeyer

20202392: Baldwin vs. Cecchini revisited: the growth impact of the European Single Market

David Sondermann and Jonne Lehtimäki

20202391: Can government intervention make firms more investment-ready? A randomized experiment in the Western Balkans

Ernest Dautović, Ana Paula Cusolito and David McKenzie

20202390: Monetary policy, investment and firm heterogeneity

Annalisa Ferrando, Philip Vermeulen and Elena Durante

20202389: Indebtedness and spending: what happens when the music stops?

Julia Le Blanc and Reamonn Lydon

20202388: International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme

Michael Fidora, Martin Schmitz and Katharina Bergant

20202387: Attention to the tail(s): global financial conditions and exchange rate risks

Andrej Sokol and Fernando Eguren-Martin

20202386: Cyclical drivers of euro area consumption: what can we learn from durable goods?

Georgi Krustev and André Casalis

20202385: Monetary policy and regional inequality

Oliver de Groot, Sebastian Hauptmeier, Fédéric Holm-Hadulla and Katerina Nikalexi

20202384: The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios

Ben Craig, Margherita Giuzio and Sandra Paterlini

20202383: Exchange rate shocks and inflation comovement in the euro area

Danilo Leiva-Leon, Jaime Martinez-Martin and Eva Ortega

20202382: Demographics and inflation in the euro area: a two-sector new Keynesian perspective

Eliza Lis, Christiane Nickel and Andrea Papetti

20202381: Real-time weakness of the global economy: a first assessment of the coronavirus crisis

Gabriel Perez-Quiros, Eyno Rots and Danilo Leiva-Leon

20202380: Financial policy in an exuberant world

Ansgar Walther

20202379: Debt rule design in theory and practice: the SGP’s debt benchmark revisited

Sebastian Hauptmeier and Christophe Kamps

20202378: Density forecast combinations: the real-time dimension

Peter McAdam and Anders Warne

20202377: Monetary policy and bank stability: the analytical toolbox reviewed

Ugo Albertazzi, Francesca Barbiero, David Marques-Ibanez, Alexander Popov, Rodriguez d’Acri, Costanza and Thomas Vlassopoulos

20202376: Macroprudential policy measures: macroeconomic impact and interaction with monetary policy

Gabriele Cozzi, Matthieu Darracq Paries, Peter Karadi, Jenny Körner, Christoffer Kok, Falk Mazelis, Kalin Nikolov, Elena Rancoita, Alejandro Van der Ghote and Julien Weber

20202375: Trust in the central bank and inflation expectation

Dimitris Christelis, Dimitris Georgarakos, Tullio Jappelli and Maarten van Rooij

20202374: The interbank market puzzle

Franklin Allen, Giovanni Covi, Xian Gu, Oskar Kowalewski and Mattia Montagna

20202373: Simulating fire sales in a system of banks and asset managers

Susanna Calimani, Grzegorz Hałaj and Dawid Żochowski

20202372: Pensions and household savings: cross-country heterogeneity in Europe

Muriel Roger, Frédérique Savignac and d’Addio, Anna

20202371: Forecast performance in the ECB SPF: ability or chance?

Aidan Meyler

20202370: Estimating the optimal inflation target from trends in relative prices

Klaus Adam and Henning Weber

20202369: Price dividend ratio and long-run stock returns: a score driven state space model

Davide Delle Monache, Fabrizio Venditti and Ivan Petrella

20202368: Strategic interactions and price dynamics in the global oil market

Irma Alonso Alvarez, Virginia Di Nino and Fabrizio Venditti

20202367: Lifting the banking veil: credit standards’ harmonization through lending transparency

Jung Koo Kang, Maria Loumioti and Regina Wittenberg-Moerman

20202366: Restructuring sovereign bonds: holdouts, haircuts and the effectiveness of CACs

Julian Schumacher, Christoph Trebesch and Chuck Fang

20202365: A cointegration model of money and wealth

Katrin Assenmacher and Andreas Beyer

20202364: The impact of the ECB’s targeted long-term refinancing operations on banks’ lending policies: the role of competition

Desislava Andreeva and Miguel Garcia-Posada

20202363: The long-run information effect of central bank communication

Stephen Hansen, Michael McMahon and Matthew Tong

20202362: Non-linear exchange rate pass-through to euro area inflation: a local projection approach

Roberta Colavecchio and Ieva Rubene

20202361: Firm or bank weakness? Access to finance since the European sovereign debt crisis

Giuseppe Corbisiero and Donata Faccia

20202360: Rising protectionism and global value chains: quantifying the general equilibrium effects

Rita Cappariello, Vanessa Gunnella, Sebastian Franco-Bedoya and Gianmarco Ottaviano

20202359: Economic policy uncertainty in the euro area: an unsupervised machine learning approach

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

20202358: The predictive power of equilibrium exchange rate models

Andrej Mijakovic, Michał Rubaszek, Michele Ca' Zorzi and Adam Cap

20202357: Wealth effect on consumption during the sovereign debt crisis: households heterogeneity in the euro area

Bertrand Garbinti, Pierre Lamarche, Frédérique Savignac and Charlélie Lecanu

20202356: Bank funding costs and solvency

Cosimo Pancaro, Dawid Żochowski and Guillaume Arnould

20202355: The fundamentals of safe assets

Maurizio Michael Habib, Livio Stracca and Fabrizio Venditti

20202354: A Phillips curve for the euro area

Laurence Ball and Sandeep Mazumder

20202353: Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies

Katarzyna Budnik and Gerhard Rünstler

20202352: Effects of state-dependent forward guidance, large-scale asset purchases and fiscal stimulus in a low-interest-rate environment

Günter Coenen, Carlos Montes-Galdón and Frank Smets

20202351: Tiered CBDC and the financial system

Ulrich Bindseil

20202350: Unconventional monetary policy and funding liquidity risk

Adrien d'Avernas, Quentin Vandeweyer and Matthieu Darracq Paries

20202349: Banking supervision, monetary policy and risk-taking: big data evidence from 15 credit registers

Carlo Altavilla, Miguel Boucinha, Jose-Luis Peydro and Frank Smets

20192348: A new approach to Early Warning Systems for small European banks

Michael Bräuning, Despo Malikkidou, Giorgio Scricco and Stefano Scalone

20192347: Measuring the procyclicality of impairment accounting regimes: a comparison between IFRS 9 and US GAAP

Alejandro Buesa, Francisco Javier Población García and Javier Tarancón

20192346: A tale of two decades: the ECB’s monetary policy at 20

Massimo Rostagno, Carlo Altavilla, Giacomo Carboni, Wolfgang Lemke, Roberto Motto, Arthur Saint Guilhem and Jonathan Yiangou

20192345: Exploring Okun’s law asymmetry: an endogenous threshold LSTR approach

Dimitris Christopoulos, Peter McAdam and Elias Tzavalis

20192344: Fiscal activism in the euro area and in other advanced economies: new evidence

Maria Grazia Attinasi, Alessandra Anna Palazzo and Beatrice Pierluigi

20192343: Disaggregate income and wealth effects in the largest euro area countries

Gabe de Bondt, Arne Gieseck, Zivile Zekaite and Pablo Herrero

20192342: Interdependencies in the euro area derivatives clearing network: a multi-layer network approach

Simonetta Rosati and Francesco Vacirca

20192341: Firms’ expectations on the availability of credit since the financial crisis

Annalisa Ferrando, Ioannis Ganoulis and Carsten Preuss