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Working papers published in 2004

In-depth studies for experts

Our Working Paper Series (WPS) disseminates economic research relevant to the various tasks and functions of the ECB, and provides a conceptual and empirical basis for policy-making. The Working Papers constitute “work in progress”. They are published to stimulate discussion and contribute to the advancement of our knowledge of economic matters. They are addressed to experts, so readers should be knowledgeable in economics.

Discussion papers

Discussion papers differ from standard working papers in that they are more broadly accessible and offer a more balanced perspective. While partly based on original research, they place the analysis in the wider context of the literature on the topic and also explicitly consider the policy perspective.

Availability: ECB Working Papers are available online only, get updated on latest Working Paper releases by RSS news feed.

No. 424
22 Dec 2004
An empirical study of liquidity and information effects of order flow on exchange rates
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No. 423
22 Dec 2004
Price setting in France: new evidence from survey data
Published in: Revue d'Economie Politique, Vol 117, 2006: pp 541-554
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No. 422
20 Dec 2004
What determines fiscal balances? An empirical investigation in determinants of changes in OECD budget balances
Published in: Empirica (2007), vol. 34, pp. 1-14; published as “Budget Balances in OECD Countries: What Makes Them Change?”.
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No. 421
20 Dec 2004
EU fiscal rules: issues and lessons from political economy
Published in: International Economics and Economic Policy (2005) 2: 65-89.
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No. 420
16 Dec 2004
On prosperity and posterity: the need for fiscal discipline in a monetary union
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No. 419
01 Dec 2004
The design of fiscal rules and forms of governance in European Union countries
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No. 418
30 Nov 2004
Identifying the influences of nominal and real rigidities in aggregate price-setting behavior
Published in: Journal of Monetary Economics, Vol 54 (8), 2007: pp 2439-2466
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No. 417
24 Nov 2004
Staggered price contracts and inflation persistence: some general results
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No. 416
24 Nov 2004
Price setting behaviour in Spain: stylised facts using consumer price micro data
Published in: Economic Modelling, Vol 23 (4), July 2006: pp 699 as "Price setting behaviour in Spain: evidence from consumer price micro-data"
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No. 415
24 Nov 2004
How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices
Published in: Applied Economics Letters, Vol 16(12), 2009: pp 1271-1275 as "Mean Reversion and Sales"
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No. 414
24 Nov 2004
Inflation persistence in the European Union, the euro area, and the United States
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No. 413
30 Nov 2004
An empirical analysis of price setting behaviour in the Netherlands in the period 1998-2003 using micro data
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No. 412
19 Nov 2004
The real effects of money growth in dynamic general equilibrium
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No. 411
30 Nov 2004
Fiscal discipline and the cost of public dept service: some estiames for OECD countries
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No. 410
19 Nov 2004
Do options-implied RND functions on G3 currencies move around the times of interventions on the JPY/USD exchange rate?
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No. 409
19 Nov 2004
Currency mismatch, uncertainty and debt maturity structure
Published in: B.E. Journals in Macroeconomics 6(1): Article 5.
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No. 408
30 Nov 2004
The great inflation, limited asset markets participation and aggregate demand: FED policy was better than you think
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No. 407
24 Nov 2004
Banking consolidation and small business lending
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No. 406
07 Nov 2004
Labour market reform and the sustainability of exchange rate pegs
Published in: Scottish Journal of Political Economy (2010), 57(1), pp. 85-102.
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No. 405
07 Nov 2004
A joint econometric model of macroeconomic and term structure dynamics
Published in: Journal of Econometrics, March-April 2006; 131(1-2): 405-44.
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No. 404
05 Nov 2004
An analysis of systemic risk in alternative securities settlement architectures
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No. 403
05 Nov 2004
Financial market integration and loan competition: when is entry deregulation socially beneficial?
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No. 402
05 Nov 2004
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Published in: Journal of Forecasting, November 2005, Vol. 24, pp. 491-503.
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No. 401
29 Oct 2004
Foreign direct investment and international business cycle comovement
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No. 400
29 Oct 2004
Cross-country differences in monetary policy transmission
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No. 399
29 Oct 2004
Sporadic manipulation in money markets with central bank standing facilities
Published in: International Journal of Central Banking, as "Manipulation in Money Markets", 3(1), special issue, March 2007, 113-148.
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No. 398
29 Oct 2004
Mergers and acquisitions and bank performance in Europe: the role of strategic similarities
Published in: Journal of Economics and Business 60, 3, p. 179-290
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No. 397
29 Oct 2004
Determinants of euro term structure of credit spreads
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No. 396
25 Oct 2004
The short-term impact of government budgets on prices: evidence from macroeconomic models
Published in: Journal of Policy Modeling 30 (2008) 123-143.
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No. 395
25 Oct 2004
Fiscal sustainability and public debt in an endogenous growth model
Published in: Journal of Pension Economics and Finance, 2010, Vol. 9 (2),277-302.
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No. 394
30 Sep 2004
Liquidity, money creation and destruction, and the returns to banking
Published in: International-Economic-Review. May 2005; 46(2): 675-706
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No. 393
30 Sep 2004
The determinants of the overnight interest rate in the euro area
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No. 392
29 Sep 2004
The role of central bank capital revisited
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No. 391
29 Sep 2004
Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach
Published in: Journal of Applied Econometrics, 20(1), January 2005
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No. 390
29 Sep 2004
Financial markets' behavior around episodes of large changes in the fiscal stance
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No. 389
14 Sep 2004
Forecasting with a Bayesian DSGE model: an application to the euro area
Published in: Journal of Common Market Studies, 42(4),: 841-867
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No. 388
07 Sep 2004
Euro area inflation differentials
Published in: The B.E. Journal of Macroeconomics: Vol. 7 : Iss. 1 (Topics), Article 24
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No. 387
27 Aug 2004
Horizontal and vertical integration and securities trading and settlement
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No. 386
27 Aug 2004
Intergenerational altruism and neoclassical growth models
Published in: chapter 15 of the Handbook of the Economics of Giving, Altruism and Reciprocity, Volume 2, Elsevier, (2006).
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No. 385
27 Aug 2004
Euro area sovereign yield dynamics: the role of order imbalance
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No. 384
27 Aug 2004
Price rigidity. Evidence from the French CPI micro-data
Published in: What do thirteen million price records have to say about consumer price rigidity?, L.Baudry, H.Le Bihan, P.Sevestre and S.Tarrieu, published in: Oxford Bulletin of Economics and Statistics, 2007, vol. 69, n°2, 2007, 139-183.
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No. 383
17 Aug 2004
Explicit inflation objectives and macroeconomic outcomes
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No. 382
09 Aug 2004
Longer-term effects of monetary growth on real and nominal variables, major industrial countries, 1880-2001
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No. 381
09 Aug 2004
Fiscal rules and sustainability of public finances in an endogenous growth model
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No. 380
06 Aug 2004
Optimal monetary policy under discretion with a zero bound on nominal interest rates
Published in: Journal of Monetary Economics, April 2007; 54(3): 728-52 as "Discretionary Monetary Policy and the Zero Lower Bound on Nominal Interest Rates".
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No. 379
27 Jul 2004
Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?
Published in: Review of World Economics, 142 (1), pp. 165-180 as "Do Financial Market variables Show Indicator Properties Relative to Exchange Rate Returns?"
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No. 378
27 Jul 2004
Liquidity, information, and the overnight rate
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No. 377
27 Jul 2004
Optimal monetary policy under commitment with a zero bound on nominal interest rates
Published in: Journal of Money Credit and Banking, Vol. 38(7), pp. 1877-1906, 2006.
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No. 376
23 Jul 2004
Raising rival's costs in the securities settlement industry
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No. 375
22 Jul 2004
Guess what: it's the settlements!
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No. 374
22 Jul 2004
To aggregate or not to aggregate? Euro area inflation forecasting
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No. 373
22 Jul 2004
Technology shocks and robust sign restrictions in a euro area SVAR
Published in: International Economic Review, Vol 50 (3), 2009: pp 727–750.
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No. 372
23 Jun 2004
The operational target of monetary policy and the rise and fall of reserve position doctrine
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No. 371
22 Jun 2004
Inflation persistence: facts or artefacts?
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No. 370
22 Jun 2004
Inflation persistence during periods of structural change: an assessment using Greek data
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No. 369
22 Jun 2004
Sovereign risk premia in the European government bond market
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No. 368
22 Jun 2004
Capital quality improvement and the sources of growth in the euro area
Published in: Economic Policy April 2005; 0(42): 267-284.
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No. 367
09 Jun 2004
Factor substitution and factor augmenting technical progress in the US: a normalized supply-side system approach
Published in: Review of Economics and Statistics, 89, 1, 183-192.
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No. 366
03 Jun 2004
The informational content of over-the-counter currency options
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No. 365
03 Jun 2004
Exchange rates and fundamentals: new evidence from real-time data
Published in: Journal of International Money and Finance, March 2005, 24(2): 317-341.
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No. 364
28 May 2004
Asset price booms and monetary policy
Published in: Macroeconomic Policies in the World Economy, Horst Siebert (ed.), Springer, Berlin, 2004.
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No. 363
19 May 2004
Communication and exchange rate policy
Published in: Journal of Macroeconomics, Vol 30 (4), December 2008: pp 1651-1672.
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No. 362
19 May 2004
Oil price shocks and real GDP growth: empirical evidence for some OECD countries
Published in: Applied Economics, 37 (2), pp. 201-228.
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No. 361
18 May 2004
Excess reserves and implementation of monetary policy of the ECB
Published in: Journal of Policy Modelling, Vol. 28, No. 5, pp. 491-510.
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No. 360
18 May 2004
Optimal monetary policy rules for the euro area: an analysis using the area wide model
Published in: Journal of Common Market Studies, 2005, 43, 3, 507-537.
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No. 359
18 May 2004
The longer term refinancing operations of the ECB
Published in: Journal of Banking and Finance 31: 1521-1543, 2007.
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No. 358
14 May 2004
Did the pattern of aggregate employment growth change in the euro area in the late 1990s?
Published in: Applied Economics, August 2006, 38 (15), 1783–1807.
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No. 357
14 May 2004
Seasonal adjustment and the detection of business cycle phases
Published in: Journal of Applied Econometrics (2008), 23(2), pp. 257-278.
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No. 356
14 May 2004
Developing a euro area accounting matrix: issues and applications
Published in: Poverty, Inequality and Development, de Janvry, A. and R. Kanbur (eds.), Kluwer Academic Press 2006.
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No. 355
07 May 2004
Production interdependence and welfare
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No. 354
06 May 2004
Taking stock: monetary policy transmission to equity markets
Published in: Journal of Money, Credit and Banking 36(4), 2004, pp 719-737.
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No. 353
28 Apr 2004
Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective
Published in: Economic Systems, Vol 29 (2): pp 130-143 as "Pitfalls in estimating equilibrium exchange rates for transition economies". Also published in Journal of Comparative Economics, Vol 34 (3), September 2006: pp 499-517.
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No. 352
28 Apr 2004
Forecasting inflation with thick models and neural networks
Published in: Economic Modelling, 2005, 22, 5, 848-567
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No. 351
28 Apr 2004
Interest rate determination in the interbank market
Published in: European Economic Review 52 (2008) 412-440;
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No. 350
28 Apr 2004
Exchange-rate policy and the zero bound on nominal interest rates
Published in: American Economic Review, Papers and Proceedings, 2004, 94(2): 80-84.
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No. 349
28 Apr 2004
Estimating the rank of the spectral density matrix
Published in: Journal of Time Series Analysis, February 2005, Vol. 26, No 1, pp. 37-48.
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No. 348
28 Apr 2004
Financial openness and growth: short-run gain, long-run pain?
Published in: Review of International Economics, 16(1), 69-95, 2008.
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No. 347
28 Apr 2004
Firms' investment decisions in response to demand and price uncertainty
Published in: Applied Economics, Volume 40, August-September 2008
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No. 346
28 Apr 2004
Perpetual youth and endogenous labour supply: a problem and a possible solution
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No. 345
27 Apr 2004
Optimal monetary and fiscal policy: a linear-quadratic approach
International research forum on monetary policy
Published in: M. Gertler and K. Rogoff, eds, NBER Macroeconomics Annual 2003, Vol 18: 271-333.
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No. 344
27 Apr 2004
Ramsey monetary policy and international relative prices
International research forum on monetary policy
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No. 343
28 May 2004
Monetary discretion, pricing complementarity and dynamic multiple equilibria
International research forum on monetary policy
Published in: Quarterly Journal of Economics, Vol 119 (4), November 2004: pp 1513-1553
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No. 342
27 Apr 2004
Equal size, equal role? Interdependence between the euro area and the United States
International research forum on monetary policy
Published in: The Economic Journal, Vol 115, October 2005: pp 930-50
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No. 341
27 Apr 2004
Benefits and spillovers of greater competition in Europe: a macroeconomic assessment
International research forum on monetary policy
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No. 340
27 Apr 2004
Indeterminacy with inflation-forecast-based rules in a two-bloc model
International research forum on monetary policy
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No. 339
27 Apr 2004
Understanding the effects of government spending on consumption
International research forum on monetary policy
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No. 338
27 Apr 2004
The optimal degree of discretion in monetary policy
International research forum on monetary policy
Published in: Econometrica, Vol 73 (5), September 2005: pp 1431-75
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No. 337
27 Apr 2004
The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations
International research forum on monetary policy
Published in: Journal of Economic Dynamics and Control, Vol 29 (11), November 2005: pp 1927-50
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No. 336
27 Apr 2004
The great inflation of the 1970s
International research forum on monetary policy
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No. 335
22 Apr 2004
Has euro-area inflation persistence changed over time?
Published in: Review of Economics and Statistics, Vol 87 (4), November 2005: pp 709-20
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No. 334
22 Apr 2004
Is inflation persistence intrinsic in industrial economies?
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No. 333
22 Apr 2004
The pricing behaviour of Italian firms: new survey evidence on price stickiness
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No. 332
22 Apr 2004
Stylised features of price setting behaviour in Portugal: 1992-2001
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No. 331
22 Apr 2004
How frequently do prices change? Evidence based on the micro data underlying the Belgian CPI
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No. 330
21 Apr 2004
The demand for euro area currencies: past, present and future
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No. 329
06 Apr 2004
On the determinants of euro area FDI to the United States: the knowledge- capital-Tobin's Q framework
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No. 328
06 Apr 2004
Non-fundamental exchange rate volatility and welfare
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No. 327
06 Apr 2004
Diversification in euro area stock markets: country versus industry
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No. 326
26 Mar 2004
The Great Depression and the Friedman-Schwartz hypothesis
Published in: Journal of Money, Credit and Banking 35(6, Part 2), December 2003: 1119-1197.
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No. 325
26 Mar 2004
What are the spill-overs from fiscal shocks in Europe? An empirical analysis
Published in: What Are the Trade Spill-Overs from Fiscal Shocks in Europe? An Empirical Analysis, published in De Economist. June 2005; 153(2): 167-97
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No. 324
17 Mar 2004
Fundamentals and joint currency crises
Published in: Journal of Empirical Finance (2010), 17(2), pp. 241-54, as “Heavy tails and currency crises”.
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No. 323
17 Mar 2004
On the indeterminacy of new-Keynesian economics
Published in: Macroeconomic Dynamics (2008), 12(1), pp. 60-74; published as "What we don't know about the Monetary Transmission Mechanism and why we don't know it".
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No. 322
17 Mar 2004
Modelling inflation in the euro area
Published in: Gunnar Bårdsen, Øyvind Eitrheim, Eilev S. Jansen and Ragnar Nymoen: The Econometrics of Macroeconomic Modelling, Oxford University Press (Advanced Texts in Econometrics), Oxford 2005 (Chapter 8).
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No. 321
17 Mar 2004
Frequency domain principal components estimation of fractionally cointegrated processes
Published in: Applied Economics Letters. October 2004; 11(13): 837-42
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No. 320
17 Mar 2004
Institutions and service employment: a panel study for OECD countries
Published in: Labour. June 2005; 19(2): 343-72
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No. 319
17 Mar 2004
Risk sharing through financial markets with endogenous enforcement of trades
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No. 318
17 Mar 2004
Gross job flows and institutions in Europe
Published in: Labour Economics, August 2004, 11(4): 469-485.
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No. 317
08 Mar 2004
Fiscal policy and inflation volatility
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No. 316
04 Mar 2004
Cooperation in international banking supervision
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No. 315
04 Mar 2004
Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Published in: Journal of Economics and Business, Jan.-Feb. 2005; 57(1): 23-38.
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No. 314
03 Mar 2004
Exchange rate risks and asset prices in a small open economy
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No. 313
27 Feb 2004
The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area
Published in: De Bondt G. and D. Marqués-Ibáñez (2005), High-yield bond diffusion in the United States, the United Kingdom and the euro area, Journal of Financial Services Research 27,2, 163-181.
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No. 312
27 Feb 2004
Similarities and convergence in G-7 cycles
Published in: Journal of Monetary Economics, April 2007; 54(3): 850-78
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No. 311
27 Feb 2004
Current accounts dynamics in OECD and EU acceding countries - an intertemporal approach
Published in: Journal of Economic Integration 21(3): 593-618.
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No. 310
27 Feb 2004
International equity flows and returns: a quantative equilibrium approach
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No. 309
27 Feb 2004
Monetary policy shocks in the euro area and global liquidity spillovers
Published in: International Journal of Finance & Economics, Vol 13 (3), July 2008: pp 205–218.
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No. 308
27 Feb 2004
International risk-sharing and the transmission of productivity shocks
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No. 307
16 Feb 2004
Budgetary forecasts in Europe - the track record of stability and convergence programmes
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No. 306
16 Feb 2004
A markup model of inflation for the euro area
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No. 305
17 Feb 2004
A structural common factor approach to core inflation estimation and forecasting
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No. 304
11 Feb 2004
Equilibrium unemployment, job flows and inflation dynamics
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No. 303
11 Feb 2004
Fiscal policy events and interest rate swap spreads: evidence from the EU
Published in: Journal of International Financial Markets, Institutions & Money (2007). 17 (3): 261-276.
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No. 302
11 Feb 2004
Deposit insurance, moral hazard and market monitoring
Published in: Review of Finance 8 (4), pp. 571-602, December 2004.
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No. 301
27 Jan 2004
Inflation and relative price asymmetry
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No. 300
27 Jan 2004
Developing statistical indicators of the integration of the euro area banking system
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No. 299
09 Jan 2004
Import prices and pricing-to-market effects in the euro area
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Disclaimer: Please keep in mind that the papers are published in the name of the author(s). Their views do not necessarily reflect those of the ECB.