Working Paper Series

From European Central Bank
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20192340: Peer effects in stock market participation: evidence from immigration

Anastasia Girshina, Thomas Mathä and Michael Ziegelmeyer

20192339: In the face of spillovers: prudential policies in emerging economies

Andra Coman and Simon Lloyd

20192338: Inflation trends in Asia: implications for central banks

Juan Angel García and Aubrey Poon

20192337: The global financial cycle and capital flow episodes: a wobbly link?

Beatrice Scheubel, Livio Stracca and Cédric Tille

20192336: Financial cycles, credit bubbles and stabilization policies

Tobias Schuler and Luisa Corrado

20192335: Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box

Jaime Martinez-Martin, Richard Morris, Luca Onorante and Fabio Massimo Piersanti

20192334: Firm-level employment, labour market reforms, and bank distress

Ralph Setzer and Moritz Stieglitz

20192333: Consumption response to minimum wages: evidence from Chinese households

Ernest Dautović, Harald Hau and Yi Huang

20192332: Product market regulation, business churning and productivity: evidence from the European Union countries

Robert Anderton, Benedetta Di Lupidio and Barbara Jarmulska

20192331: Interconnected banks and systemically important exposures

Alan Roncoroni, Stefano Battiston, Marco D'Errico, Grzegorz Hałaj and Christoffer Kok

20192330: Forecasting and stress testing with quantile vector autoregression

Sulkhan Chavleishvili and Simone Manganelli

20192329: Unconventional monetary policy and corporate bond issuance

Roberto De Santis and Andrea Zaghini

20192328: Accuracy and determinants of self-assessed euro area house prices

Julien Le Roux and Moreno Roma

20192327: Global value chain participation and exchange rate pass-through

Georgios Georgiadis, Johannes Gräb and Makram Khalil

20192326: The impact of central bank liquidity support on banks’ balance sheets

Leo de Haan, Sarah Holton and Jan Willem End

20192325: Inducing sparsity and shrinkage in time-varying parameter models

Florian Huber, Gary Koop and Luca Onorante

20192324: Hours of work polarisation?

António Dias Da Silva, Athene Laws and Filippos Petroulakis

20192323: Investment funds under stress

Eduardo Maqui, Matthias Sydow and Régis Gourdel

20192322: Fixed rate versus adjustable rate mortgages: evidence from euro area banks

Ugo Albertazzi, Steven Ongena and Fulvia Fringuellotti

20192321: Introducing dominant currency pricing in the ECB’s global macroeconomic model

Georgios Georgiadis and Saskia Mösle

20192320: Modelling yields at the lower bound through regime shifts

Peter Hördahl and Oreste Tristani

20192319: Financial integration in Europe through the lens of composite indicators

Peter Hoffmann, Manfred Kremer and Sonia Zaharia

20192318: Finance and carbon emissions

Ralph De Haas and Alexander Popov

20192317: Has the new bail-in framework increased the yield spread between subordinated and senior bonds?

Irene Pablos Nuevo

20192316: Stock price cycles and business cycles

Klaus Adam and Sebastian Merkel

20192315: Introducing ECB-BASE: The blueprint of the new ECB semi-structural model for the euro area

Elena Angelini, Nikola Bokan, Kai Christoffel, Matteo Ciccarelli and Srečko Zimic

20192314: ECB corporate QE and the loan supply to bank-dependent firms

Frank Betz and Roberto De Santis

20192313: Regulating the doom loop

Spyros Alogoskoufis and Sam Langfield

20192312: Effects of labour and product market regulation on worker flows: evidence for the euro area using micro data

Robert Anderton and Benedetta Di Lupidio

20192311: Interbank rate uncertainty and bank lending

Carlo Altavilla, Giacomo Carboni, Michele Lenza and Harald Uhlig

20192310: Detecting turning points in global economic activity

Ursel Baumann, Ramon Gomez-Salvador and Franz Seitz

20192309: Much ado about nothing? The shale oil revolution and the global supply curve

Claudia Foroni and Livio Stracca

20192308: Dominant-currency pricing and the global output spillovers from US dollar appreciation

Georgios Georgiadis and Ben Schumann

20192307: Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Alexander Chudik and Georgios Georgiadis

20192306: A macroeconomic vulnerability model for the euro area

David Sondermann and Nico Zorell

20192305: The cost-efficiency and productivity growth of euro area banks

Ivan Huljak, Reiner Martin and Diego Moccero

20192304: Expectations-driven liquidity traps: implications for monetary and fiscal policy

Taisuke Nakata and Sebastian Schmidt

20192303: Monetary policy shocks and the health of banks

Alexander Jung and Harald Uhlig

20192302: The macroeconomic effects of international uncertainty

Jesus Crespo Cuaresma, Florian Huber and Luca Onorante

20192301: International debt and Special Purpose Entities: evidence from Ireland

Vahagn Galstyan, Eduardo Maqui and Peter McQuade

20192300: Fast trading and the virtue of entropy: evidence from the foreign exchange market

Giancarlo Corsetti, Romain Lafarguette and Arnaud Mehl

20192299: Insurers’ investment strategies: pro- or countercyclical?

Margherita Giuzio and Linda Rousová

20192298: Behind the scenes of the beauty contest: window dressing and the G-SIB framework

Markus Behn, Giacomo Mangiante, Laura Parisi and Michael Wedow

20192297: Monetary policy, macroprudential policy, and financial stability

David Martinez-Miera and Rafael Repullo

20192296: Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Javier Ojea Ferreiro

20192295: Phillips curves in the euro area

Laura Moretti, Luca Onorante and Shayan Zakipour Saber

20192294: An agent-based model for the assessment of LTV caps

Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Francisco Javier Población García

20192293: Tracing the impact of the ECB’s asset purchase programme on the yield curve

Fabian Eser, Wolfgang Lemke, Ken Nyholm, Sören Radde and Andreea Liliana Vladu

20192292: Impact of higher capital buffers on banks’ lending and risk-taking: evidence from the euro area experiments

Giuseppe Cappelletti, Aurea Marques, Paolo Varraso, Žymantas Budrys and Jonas Peeters

20192291: An analysis of the Eurosystem/ECB projections

Georgios Kontogeorgos and Kyriacos Lambrias

20192290: Competition among high-frequency traders, and market quality

Johannes Breckenfelder

20192289: Is there a zero lower bound? The effects of negative policy rates on banks and firms

Carlo Altavilla, Lorenzo Burlon, Mariassunta Giannetti and Sarah Holton

20192288: The procyclicality of banking: evidence from the euro area

Harry Huizinga and Luc Laeven

20192287: The architecture of supervision

Miguel Ampudia, Thorsten Beck, Andreas Beyer, Jean-Edouard Colliard, Agnese Leonello, Angela Maddaloni and David Marques-Ibanez

20192286: Bank capital in the short and in the long run

Caterina Mendicino, Kalin Nikolov, Javier Suarez and Dominik Supera

20192285: Cross-border effects of prudential regulation: evidence from the euro area

Dawid Żochowski, Fabio Franch and Luca Nocciola

20192284: Rules and discretion(s) in prudential regulation and supervision: evidence from EU banks in the run-up to the crisis

Angela Maddaloni and Alessandro Scopelliti

20192283: Negative interest rates, excess liquidity and retail deposits: banks’ reaction to unconventional monetary policy in the euro area

Selva Demiralp, Jens Eisenschmidt and Thomas Vlassopoulos

20192282: EME financial conditions: which global shocks matter?

David Lodge and Ana-Simona Manu

20192281: Measuring euro area monetary policy

Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Roberto Motto and Giuseppe Ragusa

20192280: The global capital flows cycle: structural drivers and transmission channels

Maurizio Michael Habib and Fabrizio Venditti

20192279: Uncertainty shocks, monetary policy and long-term interest rates

Gianni Amisano and Oreste Tristani

20192278: Targeting financial stability: macroprudential or monetary policy?

David Aikman, Julia Giese, Sujit Kapadia and Michael McLeay

20192277: Pockets of risk in European housing markets: then and now

Jane Kelly, Julia Le Blanc and Reamonn Lydon

20192276: Institutional presence in secondary bank bond markets: how does it affect liquidity and volatility?

Silviu Oprica and Christian Weistroffer

20192275: Did the euro change the nature of FDI flows among member states?

David Sondermann and Isabel Vansteenkiste

20192274: Credit rating dynamics: evidence from a natural experiment

Nordine Abidi, Matteo Falagiarda and Ixart Miquel-Flores

20192273: Mapping bank securities across euro area sectors: comparing funding and exposure networks

Anne-Caroline Hüser and Christoffer Kok

20192272: Monetary policy implications of state-dependent prices and wages

James Costain, Anton Nakov and Borja Petit

20192271: Credit supply and human capital: evidence from bank pension liabilities

Luciana Barbosa, Andrada Bilan and Claire Célérier

20192270: Risky assets in Europe and the US: risk vulnerability, risk aversion and economic environment

Karim Bekhtiar, Pirmin Fessler and Peter Lindner

20192269: Shocks and labour cost adjustment: evidence from a survey of European firms

Thomas Mathä, Stephen Millard, Tairi Room, Ladislav Wintr and Robert Wyszyński

20192268: Dynamic fiscal limits and monetary-fiscal policy interactions

Niccolò Battistini, Giovanni Callegari and Luca Zavalloni

20192267: Monetary policy spillovers, capital controls and exchange rate flexibility, and the financial channel of exchange rates

Georgios Georgiadis and Feng Zhu

20192266: Collateral booms and information depletion

Vladimir Asriyan, Luc Laeven and Alberto Martin

20192265: The gender promotion gap: evidence from central banking

Laura Hospido, Luc Laeven and Ana Lamo

20192264: The CSPP at work - yield heterogeneity and the portfolio rebalancing channel

Andrea Zaghini

20192263: Can more public information raise uncertainty? The international evidence on forward guidance

Michael Ehrmann, Gaetano Gaballo, Peter Hoffmann and Georg Strasser

20192262: Once bitten: new evidence on the link between IMF conditionality and IMF stigma

Irina Andone and Beatrice Scheubel

20192261: The benefits and costs of adjusting bank capitalisation: evidence from euro area countries

Katarzyna Budnik, Massimiliano Affinito, Gaia Barbic, Saiffedine Ben Hadj, Edouard Chretien, Hans Dewachter, Clara Gonzalez, Jenny Hu, Lauri Jantunen, Ramona Jimborean, Otso Manninen, Ricardo Martinho, Javier Mencía, Elena Mousarri, Laurynas Naruševičius, Giulio Nicoletti, O’Grady, Michael, Selcuk Ozsahin, Ana Regina Pereira, Jairo Rivera-Rozo, Constantinos Trikoupis, Fabrizio Venditti and Sofia Velasco

20192260: Macroprudential policy in a monetary union with cross-border banking

Matthieu Darracq Paries, Christoffer Kok and Elena Rancoita

20192259: On the credit and exchange rate channels of central bank asset purchases in a monetary union

Matthieu Darracq Paries and Niki Papadopoulou

20192258: Demographics and the natural real interest rate: historical and projected paths for the euro area

Andrea Papetti

20192257: Taylor-rule consistent estimates of the natural rate of interest

Claus Brand and Falk Mazelis

20192256: Does liquidity regulation impede the liquidity profile of collateral?

Kirsten Schmidt

20192255: Fiscal multipliers and foreign holdings of public debt

Daragh Clancy, Alberto Martin, Fernando Broner and Aitor Erce

20192254: Stress testing household balance sheets in Luxembourg

Gastón Giordana and Michael Ziegelmeyer

20192253: Concentration, market power and dynamism in the euro area

Maria Chiara Cavalleri, Alice Eliet, Peter McAdam, Filippos Petroulakis, Ana Soares and Isabel Vansteenkiste

20192252: Distance(s) and the volatility of international trade(s)

Arnaud Mehl, Martin Schmitz and Cédric Tille

20192251: Labor share and growth in the long run

Peter McAdam, Slim Bridji and Matthieu Charpe

20192250: Forecasting daily electricity prices with monthly macroeconomic variables

Claudia Foroni, Francesco Ravazzolo and Luca Rossini

20192249: Whatever it takes: what’s the impact of a major nonconventional monetary policy intervention?

Carlo Alcaraz Pribaz, Stijn Claessens, Gabriel Cuadra, David Marques-Ibanez and Horacio Sapriza

20192248: Global growth on life support? The contributions of fiscal and monetary policy since the global financial crisis

Ursel Baumann, David Lodge and Mirela Miescu

20192247: The Green Golden Rule: habit and anticipation of future consumption

Joao Faria and Peter McAdam

20192246: Mars or mercury redux: the geopolitics of bilateral trade agreements

Barry Eichengreen, Arnaud Mehl and Livia Chiţu

20192245: The financial transmission of housing bubbles: evidence from Spain

Alberto Martin, Enrique Moral-Benito and Tom Schmitz

20192244: Credit, financial conditions and the business cycle in China

David Lodge and Michel Soudan

20192243: Monetary policy transmission to mortgages in a negative interest rate environment

Adrien Amzallag, Alessandro Calza, Dimitris Georgarakos and João Sousa

20192242: The anatomy of the euro area interest rate swap market

Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon and Martin Scheicher

20192241: Debt overhang, rollover risk, and corporate investment: evidence from the European crisis

Sebnem Kalemli-Ozcan, Luc Laeven and David Moreno