Working Papers

From European Stability Mechanism
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79: Global stablecoins in 2030: a European perspective

Romain Meuwissen and Martin Rohár

78: Too much of a good thing? Safe assets, spillovers, and fiscal policy coordination

Matthieu Bellon, Matthias Gnewuch and Luca Zavalloni

77: Asset purchase programmes and the exchange rate

Sinem Yağmur Toraman

76: Financial market interdependence, contagion and jumpy risk exposure

Martin Iseringhausen

75: The innovation channel of fiscal space

Silvia Calo' and Robert Kraemer

74: The macroeconomic effects of extreme weather events in Spain: a high-frequency, regional approach

Jemima Peppel-Srebrny and Miguel Angel Gavilan Rubio

73: Spending composition and fiscal consolidation: Enhancing resilience in the face of economic shocks

Giovanni Callegari, Vasiliki Michou, Kamila Sławińska and Diana Zigraiova

72: Regime-based portfolio optimisation: A Hidden Markov Model approach for fixed income portfolios

Byran Taljaard

71: The Unilateral Issuance Framework for the European Stability Mechanism and the European Commission

Stefano Finesi

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