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What Can Probability Forecasts Tell Us About Inflation Risks? 关于通胀风险，概率预测能告诉我们什么?
ECB: Working Paper Series (Topic) Pub Date : 2007-10-01 DOI: 10.2139/ssrn.1020964
Juan A. Garcia, Andrés Manzanares
{"title":"What Can Probability Forecasts Tell Us About Inflation Risks?","authors":"Juan A. Garcia, Andrés Manzanares","doi":"10.2139/ssrn.1020964","DOIUrl":"https://doi.org/10.2139/ssrn.1020964","url":null,"abstract":"A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation risks. As an example, we show that our measures of inflation risks can better explain why inflation scares happened in the bond market during the Volcker disinflation. JEL Classification: C16, C42, E31, E47","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"5 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117008716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 51
Mortgage Interest Rate Dispersion in the Euro Area 欧元区抵押贷款利率的分散
ECB: Working Paper Series (Topic) Pub Date : 2007-02-01 DOI: 10.2139/ssrn.963151
Christoffer Kok, Jung-Duk Lichtenberger
{"title":"Mortgage Interest Rate Dispersion in the Euro Area","authors":"Christoffer Kok, Jung-Duk Lichtenberger","doi":"10.2139/ssrn.963151","DOIUrl":"https://doi.org/10.2139/ssrn.963151","url":null,"abstract":"Despite the remarkable economic and financial convergence over the last ten years in the euro area, mortgage interest rates still differ across countries. This note presents some stylised facts on the heterogeneity of mortgage interest rates across euro area countries on the basis of the Eurosystem’s harmonised MFI interest rate statistics. We also attempt to provide some insights into the reasons behind these cross-country differences using the methodology recently proposed by Affinito and Farabullini (2006). We differ from Affinito and Farabullini (2006) in that we focus on one particular banking market: the market for mortgage loans. This allows us to identify more clearly the role of specific structural features characterising that market in explaining mortgage rate dispersion. More specifically, we investigate the extent to which various mortgage loan demand and supply determinants help explaining the observed dispersion. It turns out that some of the heterogeneity can be explained by these factors, in particular those that relate to the supply side. However, a substantial part of the dispersion remains unexplained suggesting that much of the heterogeneity also reflects country-specific institutional differences that are likely to be caused by differences in the regulatory and fiscal framework of the mortgage markets. In order to test this, we extend our analysis to also include institutional factors and indeed find that crosscountry differences in enforcement procedures, tax subsidies and loan-to-value ratios influence the level of mortgage rates. JEL Classification: C23, E4, F36, G21, N24","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114273078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 70
Using Intraday Data to Gauge Financial Market Responses to Fed and ECB Monetary Policy Decisions 利用盘中数据衡量金融市场对美联储和欧洲央行货币政策决定的反应
ECB: Working Paper Series (Topic) Pub Date : 2007-02-01 DOI: 10.2139/ssrn.960972
M. Andersson
{"title":"Using Intraday Data to Gauge Financial Market Responses to Fed and ECB Monetary Policy Decisions","authors":"M. Andersson","doi":"10.2139/ssrn.960972","DOIUrl":"https://doi.org/10.2139/ssrn.960972","url":null,"abstract":"This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies’ monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US and euro area bond and stock markets are used. A strong upsurge in intraday volatility at the time of the release of the monetary policy decisions by the two central banks is found, which is more pronounced for the US financial markets following Fed monetary policy decisions. Part of the increase in intraday volatility in the two economies surrounding monetary policy decisions can be explained by both news of the level of monetary policy and revisions in the expected future monetary policy path. The observed strong discrepancy between asset price reactions in the US and in the euro area following monetary policy decisions still remains a puzzle, although some tentative explanations are provided in the paper. JEL Classification: E52, E58, G14","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129290550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 81
Optimal Simple Monetary Policy Rules and Non-Atomistic Wage Setters in a New-Keynesian Framework 新凯恩斯主义框架下的最优简单货币政策规则和非原子工资设定者
ECB: Working Paper Series (Topic) Pub Date : 2006-10-01 DOI: 10.2139/ssrn.936970
S. Gnocchi
{"title":"Optimal Simple Monetary Policy Rules and Non-Atomistic Wage Setters in a New-Keynesian Framework","authors":"S. Gnocchi","doi":"10.2139/ssrn.936970","DOIUrl":"https://doi.org/10.2139/ssrn.936970","url":null,"abstract":"The purpose of the paper is to design optimal monetary policy rules in a New-Keynesian model featuring the presence of non-atomistic unions. It is shown that concentrated labor markets call for more aggressive inflation stabilization. This is because the central bank is able to induce wage restraint and to push output towards Pareto efficiency by implementing tougher stabilization policies. Moreover, the welfare cost of deviation from the optimal policy is increasing in wage setting centralization. The analysis is performed in the context of a linear-quadratic approach where the welfare measure is derived resorting to a second order approximation to households’ lifetime utility. JEL Classification: E24, E52","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131261288","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 41
Transparency, Expectations, and Forecasts 透明度、期望和预测
ECB: Working Paper Series (Topic) Pub Date : 2006-06-01 DOI: 10.2139/ssrn.898205
Andy Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, T. Zha
{"title":"Transparency, Expectations, and Forecasts","authors":"Andy Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, T. Zha","doi":"10.2139/ssrn.898205","DOIUrl":"https://doi.org/10.2139/ssrn.898205","url":null,"abstract":"In 1994, the Federal Open Market Committee (FOMC) began to release statements after each meeting. This paper investigates whether the public’s views about the current path of the economy and of future policy have been affected by changes in the Federal Reserve’s communications policy as reflected in private sector’s forecasts of future economic conditions and policy moves. In particular, has the ability of private agents to predict where the economy is going improved since 1994? If so, on which dimensions has the ability to forecast improved? We find evidence that the individuals’ forecasts have been more synchronized since 1994, implying the possible effects of the FOMC’s transparency. On the other hand, we find little evidence that the common forecast errors, which are the driving force of overall forecast errors, have become smaller since 1994.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129171823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 85
Excess Burden and the Cost of Inefficiency in Public Services Provision 公共服务供给的过度负担与低效率成本
ECB: Working Paper Series (Topic) Pub Date : 2006-04-01 DOI: 10.2139/ssrn.887097
António Afonso, V. Gaspar
{"title":"Excess Burden and the Cost of Inefficiency in Public Services Provision","authors":"António Afonso, V. Gaspar","doi":"10.2139/ssrn.887097","DOIUrl":"https://doi.org/10.2139/ssrn.887097","url":null,"abstract":"In this paper we revisit the literature on the economic consequences from inefficiency in public services provision. Following Dupuit (1844) and Pigou (1947) we argue that it is important to take the financing side explicitly into account. The fact that public expenditure financing must rely on distortional taxation implies that both direct and indirect costs are relevant when estimating the economic impacts of inefficiency in public services provision. Using Hicks' compensating variation (following Diamond and McFadden (1974) and Auerbach (1985)) we show that these magnification mechanisms are not only conceptually relevant, they are also important from a quantitative point of view. Specifically, we rely on a range of estimates of public sector efficiency (from Afonso, Schuknecht and Tanzi (2005, 2006)) to illustrate numerically that the relative importance of indirect costs of public sector provision inefficiency, linked to financing through distortional taxation increases with the magnitude of the inefficiency.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125199356","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 58
The Euro's Trade Effects 欧元的贸易效应
ECB: Working Paper Series (Topic) Pub Date : 2006-03-01 DOI: 10.2139/ssrn.886260
R. Baldwin
{"title":"The Euro's Trade Effects","authors":"R. Baldwin","doi":"10.2139/ssrn.886260","DOIUrl":"https://doi.org/10.2139/ssrn.886260","url":null,"abstract":"This paper reviews reassesses the methodology and principal findings of the “Rose effect”, i.e. the trade effects of currency union, looking at both EMU and non-EMU currency unions. The consensus estimate suggests that the euro has already boosted intra-euro area trade by five to ten percent. The paper discusses a gamut of models that might explain the Rose effect in Europe and suggests a series of empirical test that could help identify the economic mechanisms involved. JEL Classification: F12, C33, E0","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"28 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114051893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 450
Systemic Risk: A Survey 系统性风险:一项调查
ECB: Working Paper Series (Topic) Pub Date : 2000-11-01 DOI: 10.2139/ssrn.258430
O. de Bandt, P. Hartmann
{"title":"Systemic Risk: A Survey","authors":"O. de Bandt, P. Hartmann","doi":"10.2139/ssrn.258430","DOIUrl":"https://doi.org/10.2139/ssrn.258430","url":null,"abstract":"This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects. The concept also includes simultaneous financial instabilities following aggregate shocks. The quantitative literature on systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies of systemic risk in foreign exchange and security settlement systems appear to be non-existent. Moreover, the literature surveyed reflects the general difficulty to develop empirical tests that can make a clear distinction between contagion in the proper sense and joint crises caused by common shocks, rational revisions of depositor or investor expectations when information is asymmetric ('information-based' contagion) and 'pure' contagion as well as between 'efficient' and 'inefficient' systemic events. JEL Classification: G21, G29, G12, E49","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128178583","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 769
A Cross-Country Comparison of Market Structures in European Banking 欧洲银行业市场结构的跨国比较
ECB: Working Paper Series (Topic) Pub Date : 1999-09-01 DOI: 10.2139/ssrn.355640
O. de Bandt, E. Davis
{"title":"A Cross-Country Comparison of Market Structures in European Banking","authors":"O. de Bandt, E. Davis","doi":"10.2139/ssrn.355640","DOIUrl":"https://doi.org/10.2139/ssrn.355640","url":null,"abstract":"In order to assess the effect of EMU on market conditions for banks based in countries which adopt the Single Currency, we use the H indicator suggested by Panzar and Rosse (1987). Our contribution is to assess results separately for large and small banks, and for interest income and total income as a dependent variable. From a panel of banks over the period 1992-1996, we provide evidence that European banking markets for large banks in the mid-1990s were still characterised by monopolistic competition, as compared to the United States. Regarding small banks, the level of competition appears to be even lower, especially in France and Germany. EMU would therefore imply a notable rise in competition for small banks in France and Germany, as well as an increase in competition for large banks, especially in Italy. JEL Classification: G21, L12","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126275564","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 168
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