Press release The ECB and the Central Bank of Bosnia and Herzegovina successfully complete their cooperation programme, en
Press release Results of the Euro Money Market Survey 2011, en
Publication Euro Money Market Survey 2011 , download
Occasional paper no. 128 Structural features of distributive trades and their impact on prices in the euro area , by Task Force of the Monetary Policy Committee of the European System of Central Banks, download
Speech Jürgen Stark: The global financial crisis and the role of monetary policy, en
Speech Jean-Claude Trichet: Preventing spillovers on the global economy, en
USD11038 (OT,liquidity providing):500 mn USD alloted (fixed 1.07%, 100% allotment at margin), more
Speech Vítor Constâncio: Laudatio for Professor Kenneth Rogoff, recipient of the 2011 Deutsche Bank Prize in Financial Economics, en
Occasional paper no. 129 The Stability and Growth Pact - crisis and reform , by Ludger Schuknecht, Philippe Moutot, Philipp Rother and Jürgen Stark , download
Occasional paper no. 127 Beyond the economics of the euro - analysing the institutional evolution of EMU 1999-2010, September 2011 , by Marion Salines, Gabriel Glöckler, Zbigniew Truchlewski and Paola del Favero, download
20110104 (OT,liquidity absorbing):152500 mn EUR alloted (marginal 1.05%, weighted average 0.99%, 20.2926% allotment at margin), more
20110103 (MRO,liquidity providing):201148.9 mn EUR alloted (fixed 1.5%, 100% allotment at margin), more
CON/2011/73 Opinion on statistics and interbank money and government securities markets managed by Banca Naţională a României, and the foreign exchange and minimum reserves regime, en
Press release ECB publishes an updated version of the General Documentation, en
Other decisions Decisions taken by the Governing Council of the ECB (in addition to decisions setting interest rates), en
No. 1382: Mapping the state of financial stability, by Peter Sarlin, Tuomas A. Peltonen, description, download
(JEL: E44, E58, F01, F37, G01) The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a multidimensional financial stability space that allows disentangling the individual sources impacting on systemic risks. The SOFSM can be used to monitor macro-financial vulnerabilities by locating a country in the financial stability cycle: being it either in the pre-crisis, crisis, post-crisis or tranquil state. In addition, the SOFSM performs better than or equally well as a logit model in classifying in-sample data and predicting out-of-sample the global financial crisis that started in 2007. Model robustness is tested by varying the thresholds of the models, the policymaker’s preferences, and the forecasting horizons.
Announcing 20110103 (MRO,liquidity providing), for 7 days deadline 09:30, more
CON/2011/74 Opinion on lending to natural persons, en
Interview Jean-Claude Trichet: Interview with Expansión, en
ECB/2011/14 Guideline of the ECB of 20 September 2011 on monetary policy instruments and procedures of the Eurosystem (Recast), en
ECB/2011/14 Guideline of the ECB of 20 September 2011 on monetary policy instruments and procedures of the Eurosystem (recast), en
No. 1381: Global crises and equity market contagion, by Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl, description, download
(JEL: F3, G14, G15) Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and from the global financial sector, but the effects are very small. By contrast, there has been systematic and substantial contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the quality of countries’ economic fundamentals and policies. Consequently, we reject the globalization hypothesis that links the transmission of the crisis to the extent of global exposure. Instead, we confirm the old “wake-up call” hypothesis, with markets and investors focusing substantially more on idiosyncratic, country-specific characteristics during the crisis.
No. 1380: Labour tax progressivity and output volatility: evidence from OECD countries, by Maria-Grazia Attinasi, Cristina Checherita-Westphal, Malte Rieth, description, download
(JEL: E63, E32, H10) This paper investigates empirically the effect of personal income tax progressivity on output volatility in a sample of OECD countries over the period 1982-2009. Our measure of tax progressivity is based on the difference between the marginal and the average income tax rate for the average production worker. We find supportive empirical evidence for the hypothesis that higher personal income tax progressivity leads to lower
output volatility. All other factors constant, countries with more progressive personal income tax systems seem to benefit from stronger automatic stabilisers.
No. 1379: Forecasting economic growth in the euro area during the Great Moderation and the Great Recession, by Marco J. Lombardi, Philipp Maier, description, download
(JEL: C50, C53, E37, E47) We evaluate forecasts for the euro area in data-rich and ‘data-lean’ environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data). We estimate backcasts, nowcasts and forecasts for GDP, components of GDP, and GDP of all individual euro area members, and examine forecasts for periods of low and high economic volatility (more specifically, we consider 2002-2007, which falls into the ‘Great Moderation’, and the ‘Great Recession’ 2008-2009). We find that all models consistently beat naive AR benchmarks, and overall, the dynamic factor model tends to outperform the PMI model (at times by a wide margin). However, accuracy of the dynamic factor model can be uneven (forecasts for some countries have large errors), with
the PMI model dominating clearly for some countries or over some horizons. This is particularly pronounced over the Great Recession, where the dynamic factor model dominates the PMI model for backcasts, but has considerable difficulties beating the PMI model for nowcasts. This suggests that survey-based measures can have considerable advantages in responding to changes during very volatile periods, whereas factor models tend to be more sluggish to adjust.
No. 1378: Wage setting in Hungary: evidence from a firm survey, by Gábor Kézdi, István Kónya, description, download
(JEL: C83, J01, J30) This paper presents new evidence on the flexibility of the Hungarian labor market, with special emphasis on wages. The results are based on a new survey on wage setting among Hungarian firms. The survey is part of the Eurosystem Wage Dynamics Network (WDN), and it is a harmonized questionnaire administered in 17 countries in Europe, including almost all Euro Area countries as well as five Central and Eastern European countries. The survey results show that the Hungarian labor market, while institutionally flexible, appears to be surprisingly rigid. The survey evidence points to low turnover and possibly more rigid wages than previously thought.
Press release Jürgen Stark resigns from his position, en
CON/2011/69 Opinion on new measures strengthening supervision and enforcement in financial regulation, en
CON/2011/70 Opinion on authorisation to act on the supervisory boards of banks, en
USD11036 (OT,liquidity providing):0 mn USD alloted (fixed 1.1%, 0% allotment at margin), more
Press conference Jean-Claude Trichet: Introductory statement to the press conference, en
No. 1377: Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management, by Antonio Scalia, Benjamin Sahel, description, download
(JEL: G11, E58, D81) The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the Eurosystem’s national central banks, involves a periodic assessment of performance against a common benchmark, controlled by the ECB and subject to revision on a monthly basis. Monetary reward for the best performers is almost entirely absent, and compensation comes mainly as reputational credit following the transmission of the annual report to the Governing Council. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative risk in the second half of the year, in the same way as mutual fund managers. In the dollar case, risk-shifting is asymmetric: the adjustment to ranking is generally reduced or entirely offset if reserve managers have achieved a positive interim performance against the benchmark. Yen reserve managers that rank low show a tendency to increase effort, as proxied by portfolio turnover. We also find that reserve managers who ranked low in the previous year tend to reduce risk significantly. Our evidence is consistent with a reserve managers’ anecdote, according to which they obtain a concave reputational reward within their national central banks, which induces risk aversion and explains the observed low usage of the risk budget. Since reserve managers should have a comparative advantage over the tactical benchmark within a monthly
horizon, possible enhancements to the design of the tournament are discussed. These might involve an increased reward for effort and performance by means of a convex scoring system linked to monthly, rather than annual, performance.
No. 1376: The price of liquidity: the effects of market conditions and bank characteristics, by Falko Fecht, Kjell G. Nyborg, Jörg Rocholl, description, download
(JEL: G12, G21, E43, E58, D44) We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consistent with the existence of short
squeezing. We also show that small banks pay more for liquidity and are more vulnerable to squeezes. Healthier banks pay less but, contrary to what one might expect, banks in formal liquidity networks do not. State guarantees reduce the price of liquidity but do not protect against squeezes.