20100087 (OT,liquidity absorbing):61500 mn EUR alloted (marginal 0.36%, weighted average 0.34%, 44.2123% allotment at margin), more
20100086 (MRO,liquidity providing):153771.1 mn EUR alloted (fixed 1%, 100% allotment at margin), more
No. 1246: Predicting recessions and recoveries in real time: The euro area-wide leading indicator (ALI), by Gabe de Bondt, Elke Hahn, description, download
(JEL: E32) This study develops a new monthly euro Area‐wide Leading Indicator (ALI) for the euro area business cycle. It derives the composite ALI by applying a deviation cycle methodology with a one‐sided band pass filter and choosing nine leading series. Our main findings are that i) the applied monthly reference business cycle indicator (BCI) derived from industrial production excluding construction is close to identical to the real GDP cycle, ii) the ALI reliably leads the BCI by 6 months and iii) the longer leading components of the ALI are good predictors of the ALI and therefore the BCI up to almost a year ahead and satisfactory predictors by up to 2 years ahead. A real‐time analysis for predicting the euro business cycle during the 2008/2009 recession and following recovery confirms these findings.
Announcing 20100086 (MRO,liquidity providing), for 7 days deadline 09:30, more
Speech Jean-Claude Trichet: The entry of Estonia into the euro area, en . et
Speech Jean-Claude Trichet: Inauguration of the Euro Exhibition, en . et
No. 1245: Firms and the global crisis: French exports in the turmoil, by Jean-Charles Bricongne, Lionel Fontagné, Guillaume Gaulier, Daria Taglioni, Vincent Vicard, description, download
(JEL: F02, F10, G01) Global trade contracted quickly and severely during the global crisis. This paper, using a unique dataset of French firms, matching together export data with firm-level credit constraints, shows that most of the 2008-2009 trade collapse is accounted by the unprecedented demand shock and by product characteristics. While all firms have been evenly affected by the crisis, large firms did so mainly through the intensive margin and by reducing the portfolio of products offered in each destination served. Smaller exporters instead have been forced to reduce the range of destinations served or to stop exporting altogether. Credit constraints, on their part, emerged as an aggravating factor for firms active in sectors of high financial dependence. Nonetheless, as the share of credit constrained firms is small and their number did not increase much during the crisis, the overall impact of credit constraints on trade remains limited.
No. 1244: Trade with central and eastern Europe: Is it really a threat to wages in the west?, by Éva Katalin Polgár, Julia Wörz, description, download
(JEL: F14, F15, F16, J31) This paper analyses the relationship between openness to trade and wages at the industry level (15 manufacturing industries) in 25 EU countries over the period from 1995 to 2005. By applying a cross-country and industry-specific approach, it is possible to control for unobserved heterogeneity at both country and industry levels. We also differentiate between intra and inter-industry trade as well as between trade from western and eastern Europe and we try to assess the relative importance of foreign wages versus domestic productivity developments in an open environment. We find that trade is not an important driver of wages, since the wage response to trade is small. Moreover, in line with the Stolper-Samuelson reasoning, imports from the west generally benefit wages in central and eastern Europe, while imports from the east rather tend to harm wages in the west. The overall wage response is still negative in some sectors, particularly in more resource-based industries. Nevertheless, increased trade reinforces the productivity-wage link and weakens the co-movement of wages particularly in the west, while at the industry level there is little evidence of such a wage-disciplining effect of trade.
Speech Jean-Claude Trichet: Euro Star Event, en . et
Other decisions Decisions taken by the Governing Council of the ECB (in addition to decisions setting interest rates), de . el . en . es . fi . fr . it . mt . nl . pt . sk . sl . sv
USD10020 (OT,liquidity providing):60 mn USD alloted (fixed 1.17%, 100% allotment at margin), more
Press release Governing Council appoints members to the T2S Programme Board, en
CON/2010/71 Opinion on the extension of the Irish State guarantee of certain liabilities of credit institutions, en
ECB/2010/13 Guideline of the ECB of 16 September 2010 amending Guideline ECB/2000/7 on Monetary Policy Instruments and Procedures of the Eurosystem , en
ECB/2010/14 Decision of the ECB of 16 September 2010 on the authenticity and fitness checking and recirculation of euro banknotes, en
20100085 (OT,liquidity absorbing):61000 mn EUR alloted (marginal 0.37%, weighted average 0.34%, 23.0234% allotment at margin), more
20100083 (MRO,liquidity providing):151574.4 mn EUR alloted (fixed 1%, 100% allotment at margin), more
Speech Lorenzo Bini Smaghi: ECON Committee Hearing on “Improving the economic governance and stability framework of the Union, in particular in the euro area”, en
No. 1243: Current account determinants and external sustainability in periods of structural change, by Sophocles N. Brissimis, George Hondroyiannis, Christos Papazoglou, Nicholas T. Tsaveas, Melina A. Vasardani, description, download
(JEL: F30, F32) The aim of this paper is to study the main macroeconomic, financial and structural factors that shaped current account developments in Greece over the period from 1960 to 2007 and discuss these developments in relation to the issue of external sustainability. Concerns over Greece’s external sustainability have emerged since 1999 when the current account deficit widened substantially and exhibited high persistence. The empirical model used, which theoretically rests on the intertemporal approach, treats the current account as the gap between domestic saving and investment. We examine the behaviour of the current account in the long run and the short run using co-integration analysis and a variety of econometric tests to account for the effect of significant structural changes in the period under review. We find that a stable equilibrium current account model can be derived if the ratio of private sector financing to GDP, as a proxy for financial liberalisation, is included in the specification. Policy options to restore the country’s external sustainability are explored based on the estimated equilibrium model.
No. 1242: Changes in the Czech wage structure: Does immigration matter?, by Kamil Dybczak, Kamil Galuščák, description, download
(JEL: J31, J21) Using the Albrecht et al. (2003) version of the Machado and Mata (2005) decomposition technique along the wage distribution, we find that immigrant workers do not affect changes in the Czech wage structure between 2002 and 2006 despite their substantial inflows. Instead, changes in the wage structure are explained solely by increasing returns of native workers, while changes in the observed characteristics of native workers, particularly a rising level of education, are responsible for increasing wage dispersion. The sizeable inflows of foreign workers in the sample years are concentrated among young workers with primary and tertiary education and are primarily due to rising labour demand. The negative immigrant-native wage gaps are persistent along the wage distribution and are explained mainly by differences in observed characteristics. We provide evidence on increasing returns to education of native workers along the wage distribution. The returns are higher in 2006 than in 2002, in line with the evidence in the previous literature.
No. 1241: Major public debt reductions: Lessons from the past, lessons for the future, by Christiane Nickel, Philipp Rother, Lilli Zimmermann, description, download
(JEL: C35, E62, H6) The financial crisis of 2008/2009 has left European economies with a sizeable public debt stock bringing back the question what factors help to reduce these fiscal imbalances. Using data for the period 1985-2009 this paper identifies factors determining major public debt reductions. On average, the total debt reduction per country amounted to almost 37 percentage points of GDP. We estimate several specifications of a logistic probability model. Our findings suggest that, first, major debt reductions are mainly driven by decisive and lasting (rather than timid and short-lived) fiscal consolidation efforts focused on reducing government expenditure, in particular, cuts in social benefits and public wages. Second, robust real GDP growth also increases the likelihood of a major debt reduction because it helps countries to "grow their way out" of indebtedness. Third, high debt servicing costs play a disciplinary role strengthened by market forces and require governments to set up credible plans to stop and reverse the increasing debt ratios.
No. 1240: Monetary policy, asset prices and consumption in China, by Tuuli Koivu, description, download
(JEL: E52, P24) This paper studies the wealth channel in China. Using the structural vector autoregression method, we find that a loosening of China’s monetary policy indeed leads to higher asset prices, which in turn are linked to household consumption. However, the importance of the wealth channel as a part of the monetary policy transmission mechanism in China is still limited.
No. 1239: Supply, demand and monetary policy shocks in a multi-country New Keynesian Model, by Stéphane Dées, Hashem Pesaran, Vanessa Smith, Ron P. Smith, description, download
(JEL: C32, E17, F37, F42) This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate equation. The IS equation includes a real exchange rate variable and a countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as deviations from their steady states, which are estimated as long-horizon forecasts from a reduced-form cointegrating global vector autoregression. The resulting rational expectations model is then estimated for 33 countries on data for 1980Q1-2006Q4, by inequality constrained IV, using lagged and contemporaneous foreign variables as instruments, subject to the restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply, demand and monetary policy shocks. Following the literature, we assume that the within country supply, demand and monetary policy shocks are orthogonal, though shocks of the same type (e.g. supply shocks in different countries) can be correlated. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present estimates allowing for both direct channels of international transmission through regression coefficients and indirect channels through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the US monetary policy.
No. 1238: Household money holdings in the euro area: An explorative investigation, by Franz Seitz, Julian von Landesberger, description, download
(JEL: E41, C23, C32, D21) In this paper we analyse household holdings of the broad monetary aggregate M3 in the euro area from 1991 until 2009. We develop four models, two in nominal, two in real terms, with satisfactory economic and statistical properties. The main determinants are a transactions variable, wealth considerations, opportunity costs and uncertainty. The models are robust to different estimation strategies, samples considered and a multitude of mis-specification tests. The exercise also provides insights that go beyond the portfolio allocation decision of households. According to our analysis, it is quite apparent that in equilibrium, households jointly determine consumption and broad money holdings both influenced by wealth as well as interest rates.
ECB/2010/12 Guideline of the ECB of 15 September 2010 amending Guideline ECB/2007/2 on a Trans-European Automated Real-time Gross settlement Express Transfer system (TARGET2), en
Announcing 20100083 (MRO,liquidity providing), for 7 days deadline 09:30, more