Working Papers

From European Stability Mechanism
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70: Concessional credit lines for sovereigns in financial distress: Yasin Mimir
69: Asset-Quality-at-Risk: Alessandra Donini, Giulia Fusi and Mattia Osvaldo Picarelli
68: A survey-based measure of asymmetric macroeconomic risk in the euro area: Martin Iseringhausen and Konstantinos Theodoridis
67: The distributional implications of the euro area crisis: Evidence from macroeconomic adjustment in Greece and Portugal: Misina Cato and Olga Francová
66: Option-implied bond spread risk: Gergely Hudecz, Edmund Moshammer and Marco Onofri
65: Saving for stability: Greece’s Recovery and Resilience Plan and its impact on the external position: Robert Blotevogel
64: Financial imbalances and macroeconomic tail risks: A structural regime-switching investigation: Yasin Mimir and Lorenzo Ricci
63: Dangerous liaisons? Debt supply and convenience yield spillovers in the euro area: Matthieu Bellon and Matthias Gnewuch
62: Investor Activity in EFSF/ESM secondary bond markets: Marko Mravlak
61: Monetary policy, firm heterogeneity, and the distribution of investment rates: Matthias Gnewuch
60: Sovereign defaults at home and abroad: Mattia Osvaldo Picarelli
59: The housing supply channel of monetary policy: Martin Iseringhausen
58: Collateral pledgeability and asset manager portfolio choices during redemption waves: Thiago Fauvrelle and Mathias Skrutkowski
57: Fear (no more) of Floating: Asset Purchases and Exchange Rate Dynamics: Yasin Mimir
56: Leaning against persistent financial cycles with occasional crises: Yasin Mimir
55: Asset purchases and sovereign risk premia in the euro area during the pandemic: Gergely Hudecz, Elisabetta Vangelista and Robert Blotevogel
54: Expectations and term premia in EFSF bond yields: Andrea Carriero, Lorenzo Ricci and Elisabetta Vangelista
53: Aggregate skewness and the business cycle: Martin Iseringhausen, Ivan Petrella and Konstantinos Theodoridis
52: Japan’s sovereign rating in the post-pandemic era: Jinho Choi, Alexander den Ruijter, Kimi Xu Jiang and Edmund Moshammer
51: A journey in the history of sovereign defaults on domestic-law public debt: Aitor Erce, Enrico Mallucci and Mattia Osvaldo Picarelli
50: Investor demand in syndicated bond issuances: stylised facts: Martin Hillebrand, Marko Mravlak and Peter Schwendner
49: A time-varying skewness model for Growth-at-Risk: Martin Iseringhausen
48: Fiscal policy shocks and stock prices in the United States: Haroon Mumtaz and Konstantinos Theodoridis
47: State dependence in labour market fluctuations: Carlo Pizzinelli, Konstantinos Theodoridis and Francesco Zanetti
46: How puzzling is the forward premium puzzle? A meta-analysis: Diana Zigraiova, Tomas Havranek and Jiri Novak
45: Sovereign bond market spillovers from crisis-time developments in Greece: Daragh Clancy, Carmine Gabriele and Diana Zigraiova
44: RFAs’ Financial Structures and Lending Capacities: a statutory, accounting and credit rating perspective: Gong Cheng and Rudolf Alvise Lennkh
43: Volatility indices and implied uncertainty measures of European government bond futures: Jaroslav Baran and Jan Voříšek
42: Quantifying risks to sovereign market access: Methods and challenges: Diana Zigraiova, Aitor Erce and Xu Jiang
41: Liquidity and tail-risk interdependencies in the euro area sovereign bond market: Daragh Clancy, Peter Dunne and Pasquale Filiani
40: Learning from trees: A mixed approach to building early warning systems for systemic banking crises: Carmine Gabriele
39: Are governments matching citizens’ demand for better lives? A new approach comparing subjective and objective welfare measures: Luisa Corrado and Giuseppe De Michele
38: US corporate tax rate cuts: Spillovers to the Irish economy: Daragh Clancy
37: Costs of sovereign defaults: Restructuring strategies, bank distress and the capital inflow-credit channel: Tamon Asonuma, Marcos Chamon, Aitor Erce and Akira Sasahara
36: Does Public Debt Produce a Crowding Out Effect for Public Investment in the EU?: Mattia Osvaldo Picarelli, Willem Vanlaer and Wim Marneffe
35: Loss aversion, economic sentiments and international consumption smoothing: Daragh Clancy and Lorenzo Ricci
34: The Benevolence of Time, Sound Macroeconomic Environment and Governance Quality on the Duration of Sovereign Ratings Phases: Luca Agnello, Vitor Castro and Ricardo Sousa
33: The Benefits of Reducing Hold-Out Risk: Evidence from the Euro CAC Experiment, 2013-2018: Mattia Osvaldo Picarelli, Aitor Erce and Xu Jiang
32: Sovereign Credit Ratings under Fiscal Uncertainty: Arno Hantzsche
31: Risk management for sovereign financing within a debt sustainability framework: Marialena Athanasopoulou, Andrea Consiglio, Aitor Erce, Angel Gavilan, Edmund Moshammer and Stavros Zenios
30: Fiscal multipliers and foreign holdings of public debt: Fernando Broner, Daragh Clancy, Alberto Martin and Aitor Erce
29: Pricing and hedging GDP-linked bonds in incomplete markets: Andrea Consiglio and Stavros Zenios
28: External debt composition and domestic credit cycles: Stefan Avdjiev, Stephan Binder and Ricardo Sousa
27: Sovereign Ratings: An Analysis of the Degree, Changes and Source of Moodys Judgement: Rudolf Alvise Lennkh and Edmund Moshammer
26: Does exchange rate depreciation have contractionary effects on firm-level investment?: Jose Maria Serena Garralda and Ricardo Sousa
25: Analysing Cross-Currency Basis Spreads: Jaroslav Baran and Jiří Witzany
24: Debt Stocks Meet Gross Financing Needs: A Flow Perspective into Sustainability: Carmine Gabriele, Aitor Erce, Marialena Athanasopoulou and Juan Rojas
23: A Comprehensive Scorecard for Assessing Sovereign Vulnerabilities: Rudolf Alvise Lennkh, Edmund Moshammer and Vilém Valenta
22: Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets: Irina Balteanu and Aitor Erce
21: The Macroeconomic Effects of Official Debt Restructuring: Evidence from the Paris Club: Gong Cheng, Javier Díaz-Cassou and Aitor Erce
20: From Debt Collection to Relief Provision: 60 Years of Official Debt Restructurings through the Paris Club: Gong Cheng, Javier Díaz-Cassou and Aitor Erce
19: A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors: Lorenzo Ricci, Vincenzo Verardi and Catherine Vermandele
18: The Role of Fiscal Transfers in Smoothing Regional Shocks: Evidence from Existing Federations: Tigran Poghosyan, Abdelhak Senhadji and Carlo Cottarelli
17: International Risk Sharing in the EMU: Alessandro Ferrari and Anna Rogantini Picco
16: Bailouts, Moral Hazard and Banks’ Home Bias for Sovereign Debt: Gaetano Gaballo and Ariel Zetlin-Jones
15: Firm Performance and (Foreign) Debt Financing before and during the Crisis: Evidence from Firm-Level Data: Mateja Gabrijelčič, Uros Herman and Andreja Lenarčič
14: Euro Area Sovereign Ratings: An Analysis of Fundamental Criteria and Subjective Judgement: Rudolf Alvise Lennkh and Antonello D'Agostino
13: The Global Financial Safety Net through the Prism of G20 Summits: Gong Cheng
12: Financial Contagion: A New Perspective (and a New Test): Matteo Cominetta
11: Capital Adequacy Regulations in Hungary: Did It Really Matter?: Dóra Siklós
10: Countercyclical capital rules for small open economies: Daragh Clancy and Rossana Merola
9: Catalytic IMF? A gross flows approach: Aitor Erce and Daniel Riera-Crichton
8: European Government Bond Dynamics and Stability Policies: Taming Contagion Risks: Peter Schwendner, Martin Schuele, Thomas Ott and Martin Hillebrand
7: Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy: Antonello D’Agostino and Jacopo Cimadomo
6: Collateral Damage? Micro-Simulation of Transaction Cost Shocks on the Value of Central Bank Collateral: Rudolf Alvise Lennkh and Florian Walch
5: What Happened to Profitability? Shocks, Challenges and Perspectives for Euro Area Banks: Gong Cheng and Dirk Mevis