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Eduardo Maqui

30 July 2019
WORKING PAPER SERIES - No. 2301
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Abstract
This paper examines international debt issuance through Irish-resident Special Purpose Entities (SPEs). Using a unique new dataset covering the population of Irish-resident SPEs reporting to the Central Bank of Ireland over the period 2005-2017, we identify cross-country debt financing links channelled through SPEs. The empirical analysis suggests that tax optimisation is an important motive, particularly for sponsors of Irish-resident securitisation vehicles, while investor protection and financial development are important additional considerations for sponsors of non-securitisation vehicles.
JEL Code
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G15 : Financial Economics→General Financial Markets→International Financial Markets
31 October 2019
WORKING PAPER SERIES - No. 2323
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Abstract
This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed from fund-level asset holdings. Second, from these projected country-level flows, we model the scenarios’ repercussions on individual funds along a three year horizon. Importantly, we further decompose portfolio flows, disentangling the specific contributions of transactions, valuation and foreign exchange effects. Overall, our results indicate that the impact of a global adverse macro-financial scenario leads to a median depletion in assets under management (AUM) of 24% and 5%, for euro area-domiciled equity and bond funds respectively, largely driven by valuation effects. Scenario and results both present similarities to the global financial crisis. We use historical information on fund liquidations to estimate a threshold for a drop in AUM that signals a high likelihood of a forthcoming liquidation. Based on this, we estimate that 5.8% and 0.5% of euro area-domiciled equity and bond funds respectively could go into liquidation. Such empirical thresholds can be useful for the implementation of prudential policy tools, such as redemption gates.
JEL Code
F21 : International Economics→International Factor Movements and International Business→International Investment, Long-Term Capital Movements
G15 : Financial Economics→General Financial Markets→International Financial Markets
G17 : Financial Economics→General Financial Markets→Financial Forecasting and Simulation
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
6 February 2020
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 1, 2020
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Abstract
Survey evidence suggests a further deterioration in the euro area outlook for manufacturing investment in the near term. Country and sectoral-level survey results point to the German manufacturing sector as the key driver behind the waning outlook for investment. Business investment in R&D is also expected to remain subdued.
JEL Code
E0 : Macroeconomics and Monetary Economics→General
E22 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Capital, Investment, Capacity
30 July 2020
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 5, 2020
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Abstract
Qualitative indications from banks on firms’ loan demand and actual loan growth generally correlate with developments in real economic variables. However, during the coronavirus (COVID-19) pandemic, longer-term lending seems to have decoupled from developments in fixed investment. Owing in part to sizeable monetary and fiscal policy support measures, firms’ demand for longer-term loans has increased, while their financing need for fixed investment has declined. By contrast, developments in short-term loans for firms continue to co-move closely with their loan demand for working capital, owing to their acute liquidity needs during the pandemic. Loan demand increased more strongly for small and medium-sized enterprises (SMEs) than for large firms in the second quarter of 2020, benefiting substantially from the policy support measures for bank lending during the pandemic. Developments across economic sectors have been heterogeneous during the pandemic. In the sectors most affected by the crisis, demand for bank loans increased considerably, while value added dropped. The decline in gross value added in the manufacturing sector is particularly relevant in explaining the fall in business investment during the pandemic. While some degree of recovery in investment activity is expected in the second half of 2020, the end of fiscal support schemes in some countries may lead to renewed fears about the creditworthiness of borrowers. Overall, the continuation of a supportive policy environment in the near future will be crucial in preserving favourable financing conditions and facilitating the flow of credit to firms.
JEL Code
E2 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy
E22 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Capital, Investment, Capacity
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
4 January 2021
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 8, 2020
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Abstract
This box summarises the findings of an ad hoc ECB survey of leading euro area companies looking at the long-term effects of the coronavirus (COVID-19) pandemic on the economy. The responses indicate that companies see the pandemic having a long-term impact both on supply and demand. The pandemic has required firms to implement changes that they consider will make their business more efficient and resilient in the long term and help cope with changes in the structure of demand and consumer behaviour. Almost all the companies that responded said they have accelerated the adoption of digital technologies. They also expect that significantly increased use of the “home office” will continue, which they do not see as negatively impacting productivity. Most respondents expect productivity to increase as a long-term consequence of the pandemic, the other side of this coin, however, is lower employment, given the expectation of protracted reduced demand in some sectors.
JEL Code
Click here to enter text. : Mathematical and Quantitative Methods