ECB/2012/2 Decision of 27 February 2012 repealing Decision ECB/2010/3 on temporary measures relating to the eligibility of marketable debt instruments issued or guaranteed by the Greek Government, en
ECB/2012/2 Decision of the ECB of 27 February 2012 repealing Decision ECB/2010/3 on temporary measures relating to the eligibility of marketable debt instruments issued or guaranteed by the Greek Government, en
Other decisions Decisions taken by the Governing Council of the ECB (in addition to decisions setting interest rates), en
Interview Mario Draghi: Interview with Frankfurter Allgemeine Zeitung, en
Interview Mario Draghi: Interview with The Wall Street Journal, en
20120029 (OT,liquidity providing):3605.5 mn USD alloted (fixed 0.6%, 100% allotment at margin), more
Publication Letter from the ECB President to Mr Tremosa-i-Balcells, Member of the European Parliament , download
Publication Letter from the ECB President to Mr Rivellini and Mr Salatto, Members of the European Parliament , download
Publication Letter from the ECB President to Mr Wagner, Member of the European Parliament , download
Publication Letter from the ECB President to Mr Giegold, Member of the European Parliament , download
20120028 (OT,liquidity absorbing):219500 mn EUR alloted (marginal 0.27%, weighted average 0.27%, 84.3952% allotment at margin), more
20120027 (MRO,liquidity providing):166490 mn EUR alloted (fixed 1%, 100% allotment at margin), more
Announcing 20120027 (MRO,liquidity providing), for 7 days deadline 09:30, more
Speech Peter Praet: Monetary policy at crisis times, en
20120026 (OT,liquidity providing):3701.6 mn USD alloted (fixed 0.63%, 100% allotment at margin), more
Monthly Bulletin Monthly Bulletin, February 2012, download
Statistics Pocket Book Statistics Pocket Book, February 2012, download
Publication Article, Monthly Bulletin, February 2012, pp 69-85, Money and credit growth after economic and financial crises – a historical global perspective , download
Publication Article, Monthly Bulletin, February 2012, pp 87-103, Corporate indebtedness in the euro area , download
Publication Article, Monthly Bulletin, February 2012, pp 105-118, Euro area cross-border financial flows , download
20120025 (OT,liquidity absorbing):219500 mn EUR alloted (marginal 0.28%, weighted average 0.27%, 21.3765% allotment at margin), more
20120024 (MRO,liquidity providing):142751.1 mn EUR alloted (fixed 1%, 100% allotment at margin), more
20120023 (LTRO,liquidity providing):14325.4 mn EUR alloted (fixed 1%, 100% allotment at margin), more
No. 1425: Financial integration, specialization and systemic risk, Journal of International Economics (forthcoming), by Falko Fecht, Hans Peter Grüner, Philipp Hartmann, description, download
(JEL: D61, E44, G21) This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When banks have a comparative advantage in providing credit to certain industries, financial integration may induce banks to specialize in lending. An enhanced concentration in lending does not necessarily increase risk, because a well-functioning interbank market allows to achieve the necessary diversification. This greater need for risk sharing, though, increases the risk of cross-border contagion and the likelihood of widespread banking crises. However, even though integration increases the risk of contagion it improves welfare if it permits banks to realize specialization benefits.
CON/2012/11 Opinion on the reorganisation of the Spanish financial sector, en
Announcing 20120024 (MRO,liquidity providing), for 7 days deadline 09:30, more
Announcing 20120023 (LTRO,liquidity providing), for 28 days deadline 09:30, more
No. 1424: The pitch rather than the pit: investor inattention during FIFA world cup matches, by Michael Ehrmann, David-Jan Jansen, description, download
(JEL: G12, G14, G15) At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute‐by‐minute trading data for fifteen international stock exchanges, we present three key findings. First, when the national team was playing, the number of trades dropped by 45%, while volumes were 55% lower. Second, market activity was influenced by match events. For instance, a goal caused an additional drop in trading activity by 5%. The magnitude of this reduction resembles what is observed during lunchtime, and as such might not be indicative for shifts in attention. However, our third finding is that the comovement between national and global stock market returns decreased by over 20% during World Cup matches, whereas no comparable decoupling can be found during lunchtime. We conclude that stock markets were following developments on the soccer pitch rather than in the trading pit, leading to a changed price formation process.
CON/2012/9 Opinion on the management of liquidity in the Treasury accounts at the Banca d’Italia and the selection of counterparties for related operations, en
CON/2012/10 Opinion on a proposal for a directive of the European Parliament and of the Council amending Directive 2004/109/EC on the harmonisation of transparency requirements in relation to information about issuers whose securities are admitted to trad, en
No. 1423: Financial market frictions in a model of the euro area, by Giovanni Lombardo, Peter McAdam, description, download
(JEL: C11, C32, E32, E37) We build a model of the euro area incorporating financial market frictions at the level of firms and households. Entrepreneurs borrow from financial intermediaries in order to purchase business capital, in the spirit of the "financial accelerator" literature. We also introduce two types of households that differ in their degree of time preference. All households have preferences for housing services. The impatient households are faced with a collateral constraint that is a function of the value of their housing stock. Our aim is to provide a unified framework for policy analysis that emphasizes financial market frictions alongside the more traditional model channels. The model is estimated by Bayesian methods using euro area aggregate data and model properties are illustrated with simulation and conditional variance and historical shock decomposition.
CON/2012/7 Opinion on the minimum reserves regime, en
CON/2012/8 Opinion on the system for monitoring transactions in book-entry securities, en
ECB/2012/1 Recommendation of the ECB of 10 February 2012 to the Council of the European Union on the external auditors of the Bank of Greece, en
20120022 (OT,liquidity providing):4138.3 mn USD alloted (fixed 0.61%, 100% allotment at margin), more
Press release ECB’s Governing Council approves eligibility criteria for additional credit claims, en
Press conference Mario Draghi: Introductory statement to the press conference, en
Speech Benoît Cœuré: Global liquidity and risk appetite: a re-interpretation of the recent crises, en
No. 1422: Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters, by Gary Koop, Luca Onorante, description, download
(JEL: E31, C53, C11) This paper uses forecasts from the European Central Bank’s Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our empirical work and dynamic model averaging in order to ensure an econometric specification capturing potential changes. We use both regression-based and VAR-based methods. The paper confirms that there have been shifts in the Phillips curve and identifies three sub-periods in the EMU: an initial period of price stability, a few years where inflation was driven mainly by external shocks, and the financial crisis, where the New Keynesian Phillips curve outperforms alternative formulations. This finding underlines the importance of introducing informed judgment in forecasting models and is also important for the conduct of monetary policy, as the crisis entails changes in the effect of expectations on inflation and a resurgence of the “sacrifice ratio”.
No. 1421: Who needs credit and who gets credit in Eastern Europe?, by Martin Brown, Steven Ongena, Alexander Popov, Pinar Yesin, description, download
(JEL: G21, G30, F34) Based on survey data covering 8,387 firms in 20 countries we compare credit demand and credit supply for firms in Eastern Europe to those for firms in selected Western European countries. We find that firms in Eastern Europe have a higher need for credit than firms in Western Europe, and that a higher share of firms is discouraged from applying for a loan. The higher rate of discouraged firms in Eastern Europe is driven more by the presence of foreign banks than by the macroeconomic environment or the lack of creditor protection. We find no evidence that foreign bank presence leads to stricter loan approval decisions. Finally, credit constraints do have a real cost in that firms which are denied credit or discouraged from applying are less likely to invest in R&D and introduce new products.
No. 1420: Determinants of credit to households in a life-cycle model, by Michal Rubaszek, Dobromil Serwa, description, download
(JEL: E21, E43, E51) This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries.
20120019 (OT,liquidity providing):9360 mn USD alloted (fixed 0.59%, 100% allotment at margin), more
20120018 (OT,liquidity providing):3738.3 mn USD alloted (fixed 0.59%, 100% allotment at margin), more
20120017 (OT,liquidity absorbing):219000 mn EUR alloted (marginal 0.28%, weighted average 0.27%, 88.8608% allotment at margin), more
20120016 (MRO,liquidity providing):115579 mn EUR alloted (fixed 1%, 100% allotment at margin), more
Press release Results of the January 2012 bank lending survey for the euro area, en
No. 1419: The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal, by Roberto A. De Santis, description, download
(JEL: G15, F36) Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to the German Bund have been characterised by highly persistent processes with upward trends for countries with weaker fiscal fundamentals. Looking at the daily period 1 September 2008 - 4 August 2011, we find that three factors can explain the recorded developments in sovereign spreads: (i) an aggregate regional risk factor, (ii) the country-specific credit risk and (iii) the spillover effect from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in Greece has contributed to developments in spreads of countries with weaker fiscal fundamentals: Ireland, Portugal, Italy, Spain, Belgium and France.
No. 1418: The scapegoat theory of exchange rates: the first tests, by Marcel Fratzscher, Lucio Sarno, Gabriele Zinna, description, download
(JEL: F31, G10) This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange scapegoats for 12 currencies and a decade of proprietary data on order flow, we find empirical evidence that strongly supports the empirical implications of the scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates. The findings have implications for exchange rate modelling, suggesting that a more accurate understanding of exchange rates requires taking into account the role of scapegoat factors and their time-varying nature.
No. 1417: Quantifying the qualitative responses of the output purchasing managers index in the US and the Euro area, by Philip Vermeulen, description, download
(JEL: C18, E27) The survey based monthly US ISM production index and Eurozone manufacturing PMI output index provide early information on industrial output growth before the release of the official industrial production index. I use the Carlson and Parkin probability method to construct monthly growth estimates from the qualitative responses of the US ISM production index and the Eurozone manufacturing PMI output index. I apply the method under different assumptions on the cross-sectional distribution of output growth using the uniform, logistic and Laplace distribution. I show that alternative distribution assumptions lead to very similar estimates. I also test the performance of the different growth estimates in an out of sample forecasting exercise of actual industrial production growth. All growth estimates beat a simple autoregressive model of output growth. Distribution assumptions again matter little most of the time except during the financial crisis when the estimates constructed using the Laplace distributional assumption perform the best. My findings are consistent with recent findings of Bottazzi and Sechi (2006) that the distribution of firm growth rates has a Laplace distribution.
No. 1416: Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis, by Alexander Chudik, Marcel Fratzscher, description, download
(JEL: E44, F3, C5) The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial crisis and the 2010-11 sovereign debt crisis. Unlike in the former crisis, emerging market economies have become much more resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The paper relates this evolving transmission pattern to portfolio choice decisions by investors and finds that countries' sovereign rating, quality of institutions and their financial exposure are determinants of cross-country differences in the transmission.
No. 1415: Capital controls and foreign exchange policy, by Marcel Fratzscher, description, download
(JEL: F30, F31) The empirical analysis of the paper suggests that an FX policy objective and concerns about an overheating of the domestic economy have been the two main motives for the (re-)introduction and persistence of capital controls over the past decade. Capital controls are strongly associated with countries having significantly undervalued exchange rates. Capital controls also appear to be less motivated by worries about financial market volatility or fickle capital flows per se, but rather by concerns about capital inflows triggering an overheating of the economy – in the form of high credit growth, rising inflation and output volatility. Moreover, countries with a high level of capital controls, and those actively implementing controls, tend to be those that have fixed exchange rate regimes, a non-IT monetary policy regime and shallow financial markets. This evidence is consistent with capital controls being used, at least in part, to compensate for the absence of autonomous macroeconomic and prudential policies and effective adjustment mechanisms for dealing with capital flows.