Press release Publication of the European Court of Auditors’ report on the operational efficiency of the ECB’s management for the financial year 2009 and the ECB’s reply, bg . cs . da . de . el . en . es . et . fi . fr . hu . it . lt . lv . mt . nl . pl . pt . ro . sk . sl . sv
Speech Lorenzo Bini Smaghi: Tommaso Padoa-Schioppa: Economist, policy-maker, citizen in search of European unity, en
Euro area economic and financial developments by institutional sector, more
CON/2011/5 Opinion on the implementation of the principles for the development of financial supervisory structures in Belgium, en
CON/2011/6 Opinion on a proposal for a directive of the European Parliament and of the Council amending Directives 98/78/EC, 2002/87/EC and 2006/48/EC as regards the supplementary supervision of financial entities in a financial conglomerate, en
USD11004 (OT,liquidity providing):70 mn USD alloted (fixed 1.17%, 100% allotment at margin), more
20110011 (LTRO,liquidity providing):71142.55 mn EUR alloted ( % allotment at margin), more
Speech José Manuel González-Páramo: The banking sector towards the “new normal”: some considerations, en . es
Speech Lorenzo Bini Smaghi: The challenges facing monetary policy, en . it
Press release Results of the January 2011 bank lending survey for the euro area, en
Speech Gertrude Tumpel-Gugerell: Wirtschafts- und finanzpolitische Herausforderungen für den Euro-Raum, de
CON/2011/4 Opinion on closed-end investment funds issuing non-public investment certificates, en
Announcing 20110011 (LTRO,liquidity providing), for 91 days deadline 09:30, more
20110010 (OT,liquidity absorbing):76500 mn EUR alloted (marginal 0.99%, weighted average 0.89%, 80.5302% allotment at margin), more
20110009 (MRO,liquidity providing):165603.3 mn EUR alloted (fixed 1%, 100% allotment at margin), more
Speech Jürgen Stark: Die globale Finanzkrise: Herausforderungen für die Europäische Zentralbank jetzt und in der Zukunft, de
CON/2011/3 Opinion on amendments to the Law on banking , en
Announcing 20110009 (MRO,liquidity providing), for 7 days deadline 09:30, more
Interview Jean-Claude Trichet: Interview with BILD, en
Other decisions Decisions taken by the Governing Council of the ECB (in addition to decisions setting interest rates), bg . cs . da . de . el . en . es . et . fi . fr . hu . it . lt . lv . mt . nl . pl . pt . ro . sk . sl . sv
Press release MFI statistics 2011: the number of monetary financial institutions in the euro area and in the EU decreases further, en
No. 1290: Non-standard monetary policy measures and monetary developments, by Domenico Giannone, Michele Lenza, Huw Pill, Lucrezia Reichlin, description, download
(JEL: E5, E4, E32) Standard accounts of the Great Depression attribute an important causal role to monetary policy errors in accounting for the catastrophic collapse in economic activity observed in the early 1930s. While views vary on the relative importance of money versus credit contraction in the propagation of this policy error to the wider economy and ultimately price developments, a broad consensus exists in the economics profession around the view that the collapse in financial intermediation was a crucial intermediary step. What lessons have monetary policy makers taken from this episode? And how have they informed the conduct of monetary policy by leading central banks in recent times? This paper sets out to address these questions, in the context of the financial crisis of 2008-09 and with application to the euro area. It concludes that the Eurosystem’s non-standard monetary policy measures have supported monetary policy transmission and avoided the calamity of the 1930s.
Occasional paper no. 122 The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets , by John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe, Simone Manganelli, Fernando Monar, Benjamin Sahel, Matjaž Sušec, , download
Publication Letter from the ECB President to Mr Nuno Melo, Member of the European Parliament, regarding a question on the assumption by the Portuguese state of the financial liabilities of Banco Português de Negócios , download
CON/2011/2 Opinion on the sanctioning powers of the Cyprus Stock Exchange, en
USD11002 (OT,liquidity providing):70 mn USD alloted (fixed 1.18%, 100% allotment at margin), more
Press conference Jean-Claude Trichet: Introductory statement to the press conference, en
No. 1289: Bayesian prior elicitation in DSGE models: macro- vs micro-priors, by Marco J. Lombardi, Giulio Nicoletti, description, download
(JEL: C11, C51, E30) Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either be information concerning deep parameters’ values (‘microprior’) or some macroeconomic indicator, e.g. moments of observable variables (‘macroprior’). In this paper we introduce a non parametric prior which is elicited from impulse response functions. Results show that using either a microprior or a macroprior can lead to different posterior estimates. We probe into the details of our result, showing that model misspecification is to blame for that.
Announcing 20110003 (MRO,liquidity providing), for 7 days deadline 09:30, more
No. 1288: Getting beyond carry trade: what makes a safe haven currency?, by Maurizio Michael Habib, Livio Stracca, description, download
(JEL: E44, F31, G15) There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large panel of 52 currencies in advanced and emerging countries over almost 25 years of data. We find that only a few factors are robustly associated to a safe haven status, most notably the net foreign asset position, an indicator of external vulnerability, and to a lesser extent the absolute size of the stock market, an indicator of market size and development. The interest rate spread against the US is significant only for advanced countries, whose currencies are subject to carry trade. More generally, we find that it is hard to predict what currencies would do when global risk aversion is high, as estimates are imprecise and often not stable or robust. This suggests caution in over-interpreting exchange rate movements during financial crises.
No. 1287: Are universal banks better underwriters? Evidence from the last days of the Glass-Steagall Act, by Dario Focarelli, David Marqués-Ibáñez, Alberto Franco Pozzolo, description, download
(JEL: G21, G24, N22) It has often been argued during the recent credit crisis that commercial banks’ involvement in investment banking activities might have had an impact on the intensity of their underwriting standards. We turn to evidence from the period prior to the complete revocation of the Glass-Steagall Act in the United States and analyze whether investment banks or – section 20 subsidiaries of – commercial banks underwrote riskier securities. We compare actual defaults of these deals for an extensive sample of about 4,000 corporate debt securities underwritten during the period of the de facto softening of the Act’s restrictions. Securities underwritten by commercial banks’ subsidiaries have a higher probability of default than those underwritten by investment houses. This evidence is stronger in the case of ex-ante riskier and more competitive issues, and during the first years of bank securities’ subsidiaries’ entry into the market. Based on our results, it is not possible to reject that the repeal of the Glass-Steagall led to looser credit screening by broad (universal) banking companies trying to gain market share and/or to the lower initial ability of these banks to correctly evaluate default risk.
No. 1286: Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession, by Marco Buchmann, description, download
(JEL: E32, E37, E44, G32) This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds’ quality , their term to maturity, as well as the forecast horizon at which one intends to predict a change in real activity. Numerous alternative leading indicators capturing macroeconomic and financial conditions are included in the analysis. Along with standard time series forecast models, the Least Angle Regression (LAR) technique is used to build multivariate models recursively. Models built via LAR can be used to produce forecasts and allow one to analyze how the composition and the number of relevant model variables evolve over time. Corporate bond spreads turn out to be valuable predictors for real activity, in particular at forecast horizons beyond one year; Medium risk bond spreads with maturities between 5 and 10 years appear particularly rich in content. The spreads also belong to the group of indicators that implied the highest probability of a recession occurring from a pre-crisis perspective.
No. 1285: Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model, by Alexander Chudik, Marcel Fratzscher, description, download
(JEL: E44, F3, C5) The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging market economies. The tightening of financial conditions was a key transmission channel for advanced economies, whereas for emerging markets it was mainly the real side of the economy that suffered. Moreover, there are some striking differences also within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced economies.
No. 1284: Euro area labour markets: different reactions to shocks?, by Jan Brůha, Beatrice Pierluigi, Roberta Serafini, description, download
(JEL: C51, C53, E17, J21) A small labour market model for the six largest euro area countries (Germany, France, Italy, Spain, the Netherlands, Belgium) is estimated in a state -space framework. The model entails, in the long run, four driving forces: a trend labour force component, a trend labour productivity component, a long-run inflation rate and a trend hours worked component. The short run dynamics is governed by a VAR model including six shocks. The state-space framework is convenient for the decomposition of endogenous variables in trends and cycles, for shock decomposition, for incorporating external judgement, and for running conditional projections. The forecast performance of the model is rather satisfactory. The model is used to carry out a policy experiment with the objective of investigating whether euro area countries differ in the labour market adjustment to a reduction in labour costs. Results suggest that, following the 2008-09 recession, moderate wage growth would significantly help delivering a more job-intense recovery.
Announcing 20110001 (MRO,liquidity providing), for 7 days deadline 09:30, more
Press release Euro banknotes and coins have been successfully introduced in Estonia, en . et