ECB News: October 2010

 

Archive

 
29/10/2010
Speech Gertrude Tumpel-Gugerell: Zukunft Euro, de
 
29/10/2010
Interview Jean-Claude Trichet: Interview with Politis, en
 
28/10/2010
USD10026 (OT,liquidity providing):60 mn USD alloted (fixed 1.19%, 100% allotment at margin), more
 
28/10/2010
20100102 (LTRO,liquidity providing):42474.53 mn EUR alloted ( % allotment at margin), more
 
28/10/2010
Press release Eurosystem and mediterranean central banks meet for the Sixth Euro-Mediterranean Seminar, en
 
28/10/2010
Press release Results of the october 2010 bank lending survey for the euro area, en
 
28/10/2010
Euro area economic and financial developments by institutional sector, more
 
27/10/2010
Announcing 20100102 (LTRO,liquidity providing), for 91 days deadline 09:30, more
 
27/10/2010
20100101 (OT,liquidity absorbing):63500 mn EUR alloted (marginal 0.74%, weighted average 0.67%, 18.5841% allotment at margin), more
 
27/10/2010
20100100 (MRO,liquidity providing):183438.5 mn EUR alloted (fixed 1%, 100% allotment at margin), more
 
27/10/2010
Press release Transitional provisions for the application of minimum reserve requirements in Estonia, en
 
27/10/2010
Speech Jürgen Stark: Wirtschaftspolitische Herausforderungen im Eurogebiet, de
 
27/10/2010
Monetary developments in the euro area, more
 
26/10/2010
Announcing 20100100 (MRO,liquidity providing), for 7 days deadline 09:30, more
 
26/10/2010
Longer-term refinancing operation, more
 
26/10/2010
ECB/2010/18 Decision of the ECB of 26 October 2010 on transitional provisions for the application of minimum reserves by the ECB following the introduction of the euro in Estonia, en
 
26/10/2010
ECB/2010/18 Decision of the ECB of 26 October 2010 on transitional provisions for the application of minimum reserves by the ECB following the introduction of the euro in Estonia, en
 
25/10/2010
Fine-tuning operation, more
 
25/10/2010
Speech José Manuel González-Páramo: Household Finance and Consumption - Opening remarks, en
 
25/10/2010
Speech Gertrude Tumpel-Gugerell: Retail sales from a euro area perspective, en
 
22/10/2010
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
 
22/10/2010
Press release ECB publishes 7th SEPA Progress Report: Migration continues but requires realistic but ambitious regulatory end dates, de . el . en . es . fi . fr . it . mt . nl . pt . sk . sl . sv
 
22/10/2010
Press release Results of the survey on the access to finance of SMEs in the euro area – March to September 2010, en
 
22/10/2010
Publication 7th SEPA progess report: Beyond theory into practice , download
 
22/10/2010
Publication Survey on the access to finance of SMEs in the euro area - March to September 2010 , download
 
22/10/2010
Speech Lorenzo Bini Smaghi: Demographic trends, technological progress and economic growth in advanced economies, en . it
 
21/10/2010
USD10025 (OT,liquidity providing):60 mn USD alloted (fixed 1.2%, 100% allotment at margin), more
 
21/10/2010
No. 1259: Finance and diversification, by Simone Manganelli, Alexander Popov, description, download
(JEL: E32, E44, G11, O16) We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long-term growth. We find that financial markets increase substantially the speed with which the observed sectoral allocation of output converges towards the optimally diversified benchmark. Convergence to the optimal shares of aggregate output is relatively faster for sectors that have a higher "natural" long-term risk-adjusted growth and which exhibit higher information frictions. Our results are robust to using various proxies for financial development, to accounting for the endogeneity of finance, and to controlling for investor’s protection, contract enforcement, and barriers to entry. Crucially, the observed patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors.
 
21/10/2010
Occasional paper no. 120 Dancing together at arm’s length? – The interaction of central banks with governments in the G7 , by Cristina Bodea and Stefan Huemer, download
 
20/10/2010
20100099 (OT,liquidity absorbing):63500 mn EUR alloted (marginal 0.75%, weighted average 0.66%, 25.1644% allotment at margin), more
 
20/10/2010
20100098 (MRO,liquidity providing):184029.5 mn EUR alloted (fixed 1%, 100% allotment at margin), more
 
20/10/2010
Speech Jürgen Stark: Contributions of central bank statistics in a global context, en
 
20/10/2010
Press release Opening of the Cultural Days of the European Central Bank – Netherlands 2010, de . en . nl
 
20/10/2010
Speech Jürgen Stark: Central bank statistics: What did the financial crisis change?, en
 
20/10/2010
Press release ECB marks World Statistics Day, en
 
20/10/2010
Speech Vítor Constâncio: Information requirements for macro-prudential oversight and the role of central banks, en
 
20/10/2010
No. 1258: Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound, by Christiane Baumeister, Luca Benati, description, download
(JEL: E30, E32) We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure’ spread shock which, leaving the short-term rate unchanged by construction, allows us to characterise the macroeconomic impact of a compression in the yield spread induced by central banks’ asset purchases within an environment in which the short rate cannot move because it is constrained by the zero lower bound. Two main findings stand out. First, in all the countries we analyse (U.S., Euro area, Japan, and U.K.) a compression in the long-term yield spread exerts a powerful effect on both output growth and inflation. Second, conditional on available estimates of the impact of the FED’s and the Bank of England’s asset purchase programmes on long-term government bond yield spreads, our counterfactual simulations indicate that U.S. and U.K. unconventional monetary policy actions have averted significant risks both of deflation and of output collapses comparable to those that took place during the Great Depression.
 
20/10/2010
No. 1257: Explaining the money demand of non-financial corporations in the Euro area: A macro and a micro view, by Carmen Martinez-Carrascal, Julian von Landesberger, description, download
(JEL: E41, C23, C32, D21) This paper analyses euro area non-financial corporations (NFC) money demand, both from a macro and a microeconomic point of view. At a macro level, money holdings are modelled as a function of real gross added value, the price level, the long-term interest rate on bank lending to non-financial corporations, the own rate of return on M3 and the real capital stock of the NFC sector. The results indicate that NFCs’ money holdings adjust quickly when deviations from their long-run level are registered, and that the large increase observed recently in NFCs’ money holdings has been driven by changes in their fundamentals and hence they stand in line with their long-run equilibrium level. The disaggregated analysis also shows that cash holdings are linked to balance-sheet ratios (such as non-liquid short term assets, tangible assets or indebtedness) and other variables such as the firm’ cash flow, its volatility or the size of the firm, which cannot be taken into account in the macro analysis. Likewise, results indicate that the main drivers of the increase in NFC cash holdings in the last years have been cyclical factors, captured by gross-added value and the cash-flow respectively. Variations in the opportunity cost of holding money, have also contributed to explain M3 developments but more modestly than at the end of the nineties, when its increase contributed negatively to cash accumulation.
 
20/10/2010
Publication Recent developments in supervisory structures in the EU Member States (2007-10) , download
 
20/10/2010
No. 1256: Credit risk transfers and the macroeconomy, by Ester Faia, description, download
(JEL: E3, E5, G3) The recent financial crisis has highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmström and Tirole [28] and Parlour and Plantin [39]) and examine its properties with and without active secondary markets for credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets, but also reduces the bank incentive to monitor. As a result, secondary markets allow to release bank capital and exacerbate the effect of productivity and other macroeconomic shocks on output and inflation. By offering a possibility of capital recycling and by reducing bank monitoring, secondary credit markets in general equilibrium allow banks to take on more risk.
 
19/10/2010
Announcing 20100098 (MRO,liquidity providing), for 7 days deadline 09:30, more
 
19/10/2010
Speech Jean-Claude Trichet: The continuing quest for reliable 
and timely statistics, en
 
19/10/2010
Euro area balance of payments in August 2010 and international investment position at the end of the second quarter of 2010, more
 
19/10/2010
Euro area investment fund statistics, more
 
18/10/2010
Fine-tuning operation, more
 
18/10/2010
CON/2010/74 Opinion on an increase of the New Arrangements to Borrow with the International Monetary Fund, en
 
18/10/2010
Speech Gertrude Tumpel-Gugerell: The Single Euro Payments Area - where do we stand?, en
 
18/10/2010
Occasional paper no. 119 The global downturn and its impact on euro area exports and competitiveness , by Filippo di Mauro, Katrin Forster and Ana Lima, download
 
18/10/2010
Publication Article, Monthly Bulletin, October 2010, pp 59-74, The ECB’s response to the financial crisis , download
 
17/10/2010
Interview Jean-Claude Trichet: Interview with La Stampa, en
 
16/10/2010
Speech Jean-Claude Trichet: Global economic governance 
and euro area economic governance, en
 
15/10/2010
Speech Jürgen Stark: Geld- und Fiskalpolitik während und nach der Krise, de
 
14/10/2010
USD10024 (OT,liquidity providing):560 mn USD alloted (fixed 1.19%, 100% allotment at margin), more
 
14/10/2010
ECB/2010/17 Decision of the ECB of 14 October 2010 concerning the administration of the borrowing and lending operations concluded by the Union under the European financial stabilisation mechanism, en
 
14/10/2010
Press release Book publication: “Enhancing monetary analysis”, en
 
14/10/2010
Speech Lorenzo Bini Smaghi: Western Democracy and its Discontents: Economic and Political Challenges, en . it
 
14/10/2010
No. 1255: Predicting recession probabilities with financial variables over multiple horizons, by Fabio Fornari, Wolfgang Lemke, description, download
(JEL: C25, C32, E32, E37) We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any point in time, the ProbVAR allows to generate conditional recession probabilities for any sequence of forecast horizons. At the same time, the ProbVAR is as easy to implement as traditional probit regressions. The slope of the yield curve turns out to be a successful predictor, but forecasts can be markedly improved by adding other financial variables such as the short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United States: for the out-of-sample exercise (1995 to 2009), the best ProbVAR specification correctly identifies the ex-post classification of recessions and non-recessions 95% of the time for the one-quarter forecast horizon and 87% of the time for the four-quarter horizon. Moreover, the ProbVAR turns out to significantly improve upon survey forecasts. Relative to the good performance reached for the United States, the ProbVAR forecasts are slightly worse for Germany, but considerably inferior for Japan.
 
14/10/2010
No. 1254: Global policy at the zero lower bound in a large-scale DSGE model, by Sandra Gomes, Pascal Jacquinot, Ricardo Mestre, João Sousa, description, download
(JEL: E40, E62, E63, F42) The purpose of this paper is to analyse whether fiscal policies can alleviate the effects of the zero lower bound (ZLB) on interest rates and if they should be coordinated internationally. The analysis is carried out using EAGLE, a DSGE model of the global economy. We consider that the fiscal shocks are temporary and that fiscal policy retains full credibility at all times. In this setup we find significant non-linearities in a ZLB situation that amplify the effects of fiscal shocks compared to the non-ZLB case. International coordination is helpful but does not play a major role in the results.
 
14/10/2010
Monthly Bulletin Monthly Bulletin, October 2010, download
 
14/10/2010
Statistics Pocket Book Statistics Pocket Book, October 2010, download
 
14/10/2010
Publication Enhancing monetary analysis , download
 
14/10/2010
CON/2010/73 Opinion on a legislative framework enabling credit institutions to issue covered bonds, en
 
13/10/2010
20100097 (OT,liquidity absorbing):108993.4 mn EUR alloted (marginal 0.8%, weighted average 0.76%, 100% allotment at margin), more
 
13/10/2010
20100096 (OT,liquidity absorbing):63500 mn EUR alloted (marginal 0.75%, weighted average 0.6%, 22.3017% allotment at margin), more
 
13/10/2010
20100095 (LTRO,liquidity providing):52236.07 mn EUR alloted (fixed 1%, 100% allotment at margin), more
 
13/10/2010
20100094 (MRO,liquidity providing):185984.2 mn EUR alloted (fixed 1%, 100% allotment at margin), more
 
13/10/2010
Press release Eurosystem publishes oversight frameworks for credit transfer and direct debit schemes, en
 
13/10/2010
Publication Oversight framework for credit transfer schemes , download
 
13/10/2010
Publication Oversight framework for direct debit schemes , download
 
13/10/2010
Publication Summary of the outcome of the public consultation on the oversight frameworks for credit transfer and direct debit schemes , download
 
12/10/2010
Announcing 20100095 (LTRO,liquidity providing), for 28 days deadline 09:30, more
 
12/10/2010
Announcing 20100094 (MRO,liquidity providing), for 7 days deadline 09:30, more
 
12/10/2010
Speech Jean-Claude Trichet: Europe’s frameworks for macro-prudential oversight and economic governance, en
 
12/10/2010
Euro area securities issues statistics, more
 
11/10/2010
Interview Jean-Claude Trichet: Interview with special edition of Frankfurter Allgemeine Zeitung (FAZ) on the Cultural Days of the ECB, de . en . nl
 
09/10/2010
Press release New provisions for the framework for implementation of monetary policy in the euro area, en
 
08/10/2010
ECB/2010/16 Recommendation of the ECB of 8 October 2010 to the Council of the European Union on the external auditors of Eesti Pank, en
 
08/10/2010
Speech Lorenzo Bini Smaghi: From Convoy to Parting Ways? Post Crisis Divergence Between European and US Macroeconomic Policies, en
 
07/10/2010
2010-10-07 - Press Conference - Introductory statement, download
 
07/10/2010
2010-10-07 - Press Conference - Question and Answer session, download
 
07/10/2010
2010-10-07 - Press Conference - Introductory statement, download
 
07/10/2010
2010-10-07 - Press Conference - Question and Answer session, download
 
07/10/2010
USD10023 (OT,liquidity providing):60 mn USD alloted (fixed 1.2%, 100% allotment at margin), more
 
07/10/2010
Press conference Jean-Claude Trichet: Introductory statement, en
 
07/10/2010
Press release Monetary policy decisions, bg . cs . da . de . el . en . es . et . fi . fr . hu . it . lt . lv . mt . nl . pl . pt . ro . sk . sl . sv
 
06/10/2010
20100093 (OT,liquidity absorbing):63500 mn EUR alloted (marginal 0.5%, weighted average 0.42%, 83.8292% allotment at margin), more
 
06/10/2010
20100092 (MRO,liquidity providing):197049.1 mn EUR alloted (fixed 1%, 100% allotment at margin), more
 
05/10/2010
Announcing 20100092 (MRO,liquidity providing), for 7 days deadline 09:30, more
 
05/10/2010
CON/2010/72 Opinion on two proposals for regulations on the professional cross-border transportation of euro cash by road between euro-area Member States , en
 
04/10/2010
Fine-tuning operation, more
 
04/10/2010
Fine-tuning operation, more
 
04/10/2010
Press release Cultural Days of the European Central Bank – Netherlands 2010, de . en . nl
 
04/10/2010
Speech Gertrude Tumpel-Gugerell: Auswirkungen der Finanzkrise auf die Finanzwirtschaft: Lehren und konsequenzen, de
 
01/10/2010
20100091 (OT,liquidity providing):29443.2 mn EUR alloted (fixed 1%, 100% allotment at margin), more
 
01/10/2010
MFI interest rate statistics, more
 
01/10/2010
No. 1253: Monetary policy in exceptional times, by Michele Lenza, Huw Pill, Lucrezia Reichlin, description, download
(JEL: E52, E58) This paper describes the response of three central banks to the 2007-09 financial crisis: the European Central Bank, the Federal Reserve and the Bank of England. In particular, the paper discusses the design, implementation and impact of so-called "non-standard" monetary policy measures focusing on those introduced in the euro area in the aftermath of the failure of Lehman Brothers in September 2008. Having established the impact of these measures on various observable money market spreads, we propose an empirical exercise intended to quantify the macroeconomic impact of non-standard monetary policy measures insofar as it has been transmitted via these spreads. The results suggest that non-standard measures have played a quantitatively significant role in stabilising the financial sector and economy after the collapse of Lehman Bros., even if insufficient to avoid a significant fall in economic and financial activity.
 
01/10/2010
No. 1252: Interbank market integration, loan rates, and firm leverage, Journal of Banking & Finance (forthcoming), by Steven Ongena, Alexander Popov, description, download
(JEL: E51, G15, G21, G34) We study the effect of interbank market integration on small firm finance in the build-up to the 2007-2008 financial crisis. We use a comprehensive data set that contains contract terms on individual loans to 6,047 firms across 14 European countries between 1998:01 and 2005:12. We account for the selection that arises in the loan request and approval process. Our findings imply that integration of interbank markets resulted in less stringent borrowing constraints and in substantially lower loan rates. The decrease was strongest in markets with competitive banking sectors. We also find that in the most rapidly integrating markets, firms became substantially overleveraged during the build-up to the crisis.
 
01/10/2010
No. 1251: Macroeconomic propagation under different regulatory regimes: Evidence from an estimated DSGE model for the euro area, by Matthieu Darracq Pariès, Christoffer Kok Sørensen, Diego Rodriguez-Palenzuela, description, download
(JEL: E4, E5, F4) The financial crisis clearly illuminated the potential amplifying role of financial factors on macroeconomic developments. Indeed, the heavy impairments of banks’ balance sheets brought to the fore the banking sector’s ability to provide a smooth flow of credit to the real economy. However, most existing structural macroeconomic models fail to take into account the crucial role of banks’ balance sheet adjustment in the propagation of shocks to the economy. This paper contributes to fill this gap, analyzing the role of credit market frictions in business cycle fluctuations and in the transmission of monetary policy. We estimate a closed-economy dynamic stochastic general equilibrium (DSGE) model for the euro area with financially-constrained households and firms and embedding an oligopolistic banking sector facing capital constraints. Using this setup we examine the macroeconomic implications of various financial frictions on the supply and demand of credit, and in particular we assess the effects of introducing risk-sensitive and more stringent capital requirements. Finally, we explore the scope for counter-cyclical bank capital rules and the strategic complementarities between macro-prudential tools and monetary policy.
 
01/10/2010
No. 1250: Optimal monetary policy with state-dependent pricing, by Anton Nakov, Carlos Thomas, description, download
(JEL: E31) We study optimal monetary policy in a flexible state-dependent pricing framework, in which monopolistic competition and stochastic menu costs are the only distortions. We show analytically that it is optimal to commit to zero inflation in the long run. Moreover, our numerical simulations indicate that the optimal stabilization policy is "price stability". These findings represent a generalization to a state-dependent framework of the same results found for the simple Calvo model with exogenous timing of price adjustment.
 
01/10/2010
No. 1249: Forecasting and assessing Euro area house prices through the lens of key fundamentals, by Luca Gattini, Paul Hiebert, description, download
(JEL: R21, R31, C32) This paper presents a parsimonious model for forecasting and analysing euro area house prices and their interrelations with the macroeconomy. A quarterly vector error correction model is estimated over 1970-2009 using supply and demand forces central to the determination of euro area house prices in equilibrium and their dynamics: housing investment, real disposable income per capita and a mixed maturity measure of the real interest rate. In addition to house price forecasts using the resulting reduced form equation, a structural decomposition of the system is obtained employing a common trends framework of King, Plosser, Stock, and Watson (1991), which allows for the identification and economic interpretation of permanent and transitory shocks. The main results are twofold. First, the reduced form model tracks closely turning points in house prices when examining out-of-sample one- and two- step ahead forecasts. Moreover, the model suggests that euro area housing was overvalued in recent years, implying a period of stagnation to bring housing valuation back in line with its modelled fundamentals. Second, housing demand and financing cost shocks appear to have contributed strongly to the dynamism in euro area house prices over the sample period. While much of the increase appears to reflect a permanent component, a transitory component has also contributed from 2005 onwards. Specification tests suggest a robustness of the small model to alternative specifications, along with validity of the long-run restrictions.
 
01/10/2010
No. 1248: Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards, by Angela Maddaloni, José-Luis Peydró, description, download
(JEL: G01, G21, G28, E44, E5) Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long-term interest rates do not soften lending standards. Finally, countries with softer lending standards before the crisis related to negative Taylor-rule residuals experienced a worse economic performance afterwards. These results help shed light on the origins of the crisis and have important policy implications.
 
01/10/2010
No. 1247: The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times, by Nuno Cassola, Michael Huetl, description, download
(JEL: E44, E52, G21) We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the EONIA market including the ECB fine-tuning operation on the last day of the maintenance period (MP) and banks’ daily excess liquidity, (ii) giving insight into banks’ trading behavior characterized by an endogenous regime-switch and suggesting an efficient procedure to simulate the entire MP, and (iii) proposing a model for market distortion due to lending constraints which lead to a bid-ask spread for the EONIA rate. The model is calibrated by simulation fitting daily EONIA rates and aggregate liquidity measures observed between March 2004 and September 2008. Besides lending constraints we consider market segmentation and aggregate liquidity shocks as possible market distortions in the crisis period. For a calibration cross-check and for estimating the timing of the endogenous regime-switch we use panel data covering liquidity data of 82 Euro Area commercial banks for the period 03/2003 - 07/2007. With the calibrated model the ECB policy of liquidity frontloading is evaluated and compared with a reserve band system policy similar to the Bank of England’s framework. We find that liquidity frontloading is a small scale central bank intervention which is capable of stabilizing interest rates in both frictionless and distorted markets. Simulations suggest that without frontloading the EONIA would have been, on average, 23 basis points above the policy rate (target); with frontloading, the overnight rate is, on average, on target.