WORKING PAPER SERIES NO 548 / NOVEMBER 2005: THE LINK BETWEEN INTEREST RATES AND EXCHANGE RATES DO CONTRACTIONARY DEPRECIATIONS MAKE A DIFFERENCE? doc
WORKING PAPER SERIES NO. 548 / NOVEMBER 2005: THE LINK BETWEEN INTEREST RATES AND EXCHANGE RATES DO CONTRACTIONARY DEPRECIATIONS MAKE A DIFFERENCE? doc
... specialises in the 18ECB Working Paper Series No. 548 November 2005 WORKING PAPER SERIES NO. 548 / NOVEMBER 2005 THE LINK BETWEEN INTEREST RATES AND EXCHANGE RATES DO CONTRACTIONARY DEPRECIATIONS ... having a managed ‡oat since 1974, and New Zealand is de…ned as having a managed ‡oat since 1985 and a de factomoving band around the Australian dollar between 1973 and 1985.In line with the previous ... covariance between exchange rates and interest rates is negative for expansionary depreciations and positive for contractionary ones. The exact timing of such response of interest rates and exchange...
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WORKING PAPER SERIES NO. 546 / NOVEMBER 2005: THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION doc
... y∗t, the output gap ˜yt, the actual and the natural real rate an d the real rate gap (rt,r∗t and ˜rt) and i nflation πt. A notable featureof the reported statistics is that the correlation ... correlation between the actual real in terest rate and the real interest rate gap are high an d their standard deviations are roughly identical. Inother w or ds, the variation in the real inte rest rate ... 2005 WORKING PAPER SERIES NO. 546 / NOVEMBER 2005 THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATIONby Julien Garnier and Bjørn-Roger Wilhelmsenwhere annual...
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WORKING PAPER SERIES NO 1394 / NOVEMBER 2011: BANK RISK DURING THE FINANCIAL CRISIS DO BUSINESS MODELS MATTER? pot
... and Drehmann, 2009), and also changes in the broad stock market indices for non-financial corporations (sm), as calculated by Datastream. Both of these 26ECB Working Paper Series No 1394 November ... off-load part of their loans from the asset side of their balance sheet to financial market investors. The years 9 Acharya, Mehran and Thakor (2010) show that banks face two moral hazard problems ... capital have a greater risk absorption capacity and, as a result, take on more risk (Berger and Bouwman, 2010). Finally, it is also possible that there is a non-linear relationship and that...
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WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES docx
... America’s New Economy, Economica, Paris. Calza, A. , M. Manrique and J. Sousa, 2003, Aggregate loans to euro area private sector, ECB Working Paper, 202. Calza, A. , C. Gartner and J. Sousa, ... retail rates in the euro area is largely due to the difference in maturity between retail bank products and money market interest rates. Long-term market interest rates appear as important as the ... Drudi, Michael Ehrmann, Leonardo Gambacorta, Jordi Gual, Hans-Joachim Klöckers,Joao Sousa and Oreste Tristani for their comments and Rasmus Pilegaard for data assistance.All views expressed arethose...
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WORKING PAPER SERIES NO 1395 / NOVEMBER 2011: ON THE IMPORTANCE OF PRIOR RELATIONSHIPS IN BANK LOANS TO RETAIL CUSTOMERS pptx
... commercial and industrial loans rather than retail credit. 15ECB Working Paper Series No 1395 November 2011There are a number of unique characteristics of these data that make them particularly ... 9ECB Working Paper Series No 1395 November 2011cards, the amount of funds in these accounts as well as the existence and performance of a prior loan. The available data also comprise detailed ... and Renault (2007) and Norden and Weber (2009)).4 These papers explore the information banks gain over the duration of the loans from checking account activity. Mester, Nakamura, and Renault...
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WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES pptx
... America’s New Economy, Economica, Paris. Calza, A. , M. Manrique and J. Sousa, 2003, Aggregate loans to euro area private sector, ECB Working Paper, 202. Calza, A. , C. Gartner and J. Sousa, ... retail rates in the euro area is largely due to the difference in maturity between retail bank products and money market interest rates. Long-term market interest rates appear as important as the ... Drudi, Michael Ehrmann, Leonardo Gambacorta, Jordi Gual, Hans-Joachim Klöckers,Joao Sousa and Oreste Tristani for their comments and Rasmus Pilegaard for data assistance.All views expressed arethose...
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Working PaPer SerieS no 967 / november 2008: Central bank miSPerCePtions and the role of money in interest rate rules pptx
... information value of monetary aggregates? Since we treat actual output and inflation as observable variables, monetary aggregates have no additional information value. The estimate of potential output, ... strategy proposed byChristiano and Rostagno (2001) and Christiano et al. (2006) that combines monetary targeting with Taylor-style interest rate rules.10ECB Working Paper Series No 967 November ... σεz.12Wieland (2006) makes a simi-lar assumption regarding the natural rate in a version of the K-Model. Under these assumptions the central bank can solve the estimation problem separately from the...
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WORKING PAPER SERIES NO. 407 / NOVEMBER 2004: BANKING CONSOLIDATION AND SMALL BUSINESS LENDING potx
... bank’s information and action set the bank can set (w,π∗) pairs and baseher firing/retaining decision about zH, zL and π.(3) The bank can not observe the state of the world and can not provide ... can be small and large, centralized and d ecentralized bank in the economy - while each operating optimally under their respectiv e parameter constraints.21ECB Working Paper Series No. 407 November ... on the other hand, is an innocent simplification to allocate all bargaining power to the bank.6Linearity is used to ease calculation as risk neutrality does not play any substantive role in the...
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WORKING PAPER SERIES NO. 527 / SEPTEMBER 2005: BANKING SYSTEM STABILITY A CROSS-ATLANTIC PERSPECTIVE pptx
... seee.g. Draisma et al. (2001), Peng (1999), and Beirlandt and Vandewalle (2002).14Minimizing the asymptotic mean-squared error for the Hill estimator by bal-ancing bias and variance renders a nonlinear ... France, German y and the N etherlands and the top Spanish bank.Moreover, as in the case of BNP P aribas, Crédit Agricole and SociétéGénérale, the largest institutions of a coun try m ust not ... ents. We estimate individu al tail-βs for European banks and for US banks. We also aggregate those βs and test for the equalityof them in the euro area and the US. Section 8 then asks the questionwheth...
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Working Paper Series no 1096 / September 2009: The determinants of Bank capital structure potx
... their balance sheet and may indeed exhibit the stability that we document in this paper. The managerial preference approach (Bertrand and Schoar, 2003; Frank and Goyal, 2007) and the explanations ... leverage are similar to those for market leverage in Table V, again comparing to the results in Rajan and Zingales (1995), Frank and Goyal (2004) and the sample of the largest non-financial firms. ... Vergata Conference on Banking and Finance, the Federal Reserve Board of Governors, Steven Ongena (the editor), Elias Papaioannou, Bruno Parigi, Joshua Rauh, Joao Santos, Christian Schlag, an anonymous...
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