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WORKING PAPER SERIES NO 351 / APRIL 2004: INTEREST RATE DETERMINATION IN THE INTERBANK MARKET pot

WORKING PAPER SERIES NO. 351 / APRIL 2004: INTEREST RATE DETERMINATION IN THE INTERBANK MARKET pot

WORKING PAPER SERIES NO. 351 / APRIL 2004: INTEREST RATE DETERMINATION IN THE INTERBANK MARKET pot

... of deposit facility). Finally, the 18 ECB Working Paper Series No. 351 April 2004 W ORKING PAPER SERIES NO. 351 / APRIL 2004 INTEREST RATE DETERMINATION IN THE INTERBANK MARKET by Vítor Gaspar Gabriel ... banking in the interbank market. Furfine does not explicitly address the theoretical modelling of bank heterogeneity together with market...
Ngày tải lên : 22/03/2014, 23:20
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Working PaPer SerieS no 1273 / DeCeMBer 2010: intereSt rate effeCtS of DeMograPhiC ChangeS in a neW-keyneSian life-CyCle fraMeWork pptx

Working PaPer SerieS no 1273 / DeCeMBer 2010: intereSt rate effeCtS of DeMograPhiC ChangeS in a neW-keyneSian life-CyCle fraMeWork pptx

... ratio, and the replacement rate. Further examples are the two factor p rices, the in ation rate and the nominal interest rate. Second, exceptions to this pattern are, again in line with Table 5> the ... parameter in debt rule  1 0=04 Smoothing parameter in debt rule  2 0=3 Inertial parameter in interest rate rule  l 0=7 In ation coe!cient in interest...
Ngày tải lên : 29/03/2014, 13:20
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WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf

WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf

... and US in 2002 (weekly data) 0.5 1.0 1.5 2.0 2.5 3.0 0 1/1 1 0 2/0 1 0 2/2 2 0 3/1 5 0 4/0 5 0 4/2 6 0 5/1 7 0 6/0 7 0 6/2 8 0 7/1 9 0 8/0 9 0 8/3 0 0 9/2 0 1 0/1 0 1 1/0 1 1 1/2 2 1 2/1 3 (%) euro area Events Fra nce UK US Note: ... markets for euro and US dollar denominated interest rate derivatives are the largest financial markets in the world...
Ngày tải lên : 22/03/2014, 23:20
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WORKING PAPER SERIES NO. 393 / SEPTEMBER 2004: THE DETERMINANTS OF THE OVERNIGHT INTEREST RATE IN THE EURO AREA doc

WORKING PAPER SERIES NO. 393 / SEPTEMBER 2004: THE DETERMINANTS OF THE OVERNIGHT INTEREST RATE IN THE EURO AREA doc

... confirm that the interest rate, within the sample, is integrated of order one. Furthermore, it is co-integrated with the policy rate, i ∗ t . Therefore, the interest rates, i t ,ismodelledinfirst differences, ... but also the expected interest rate is important for the determination of the interbank rate. The expected interest rate depends basically on two fact...
Ngày tải lên : 22/03/2014, 23:20
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WORKING PAPER SERIES NO. 398 / OCTOBER 2004: MERGERS AND ACQUISITIONS AND BANK PERFORMANCE IN EUROPE THE ROLE OF STRATEGIC SIMILARITIES potx

WORKING PAPER SERIES NO. 398 / OCTOBER 2004: MERGERS AND ACQUISITIONS AND BANK PERFORMANCE IN EUROPE THE ROLE OF STRATEGIC SIMILARITIES potx

... of whether they merge or not. With this caveat in mind, the data are indicative of the broad financial features of banks engaged in domestic M&As in Europe. 19 ECB Working Paper Series No. ... suggesting the usefulness of including these variables in the regression. 24 ECB Working Paper Series No. 398 October 2004 specifically, this could indicate banks’ conc...
Ngày tải lên : 06/03/2014, 09:22
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WORKING PAPER SERIES NO. 407 / NOVEMBER 2004: BANKING CONSOLIDATION AND SMALL BUSINESS LENDING potx

WORKING PAPER SERIES NO. 407 / NOVEMBER 2004: BANKING CONSOLIDATION AND SMALL BUSINESS LENDING potx

... the following discussion the bank will be referred in the feminine, and the individual agents in the masculinetoeaseidentification. The payoffs are obtained from an underlying economy. The economy consists ... to offering a single (w, π ∗ ) pair to the agent, a s the agent contemplates 18 ECB Working Paper Series No. 407 November 2004 W ORKING PAPER SERIES NO. 4...
Ngày tải lên : 06/03/2014, 09:22
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WORKING PAPER SERIES NO 1332 / APRIL 2011: CENTRAL BANK COMMUNICATION ON FINANCIAL STABILITY docx

WORKING PAPER SERIES NO 1332 / APRIL 2011: CENTRAL BANK COMMUNICATION ON FINANCIAL STABILITY docx

... 22 ECB Working Paper Series No 1332 April 2011 emphasis of the paper has been to identify whether financial stability-related communication “creates news” and/or “reduces noise”. The paper s findings ... deviations does not alter our results. This implies that the results are not driven by the initial market reaction on the day of the announcement. 17 ECB Work...
Ngày tải lên : 15/03/2014, 10:20
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Working PaPer SerieS no 967 / november 2008: Central bank miSPerCePtions and the role of money in interest rate rules pptx

Working PaPer SerieS no 967 / november 2008: Central bank miSPerCePtions and the role of money in interest rate rules pptx

... models. In these models changes in the nominal interest rate in uence the real interest rate due to the presence of price rigidities; the real interest rate determines the level of output; and the ... cross-checking is different from another interesting strategy proposed by Christiano and Rostagno (2001) and Christiano et al. (2006) that combines monetary targetin...
Ngày tải lên : 29/03/2014, 13:20
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Working PaPer SerieS no 1160 / FeBrUarY 2010: evidence For SUrveY maTTerS The eUro area Bank lending emPirical crediT and oUTPUT groWTh pptx

Working PaPer SerieS no 1160 / FeBrUarY 2010: evidence For SUrveY maTTerS The eUro area Bank lending emPirical crediT and oUTPUT groWTh pptx

... issuing corporate securities, the country where a corporate bond is issued may not coincide with the country where the originator of the securities is incorporated. 10 ECB Working Paper Series ... examining these indicators on their own as well as together with the net tightening in the margins on average and riskier loans. The latter significantly help in predict...
Ngày tải lên : 15/03/2014, 10:20
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WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES docx

WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES docx

... of the long-term market interest rate does not affect the results. The coefficient of the short-term interest rate reported in the tables is similar to the one obtained when the long terms interest ... against interest rate risk (by varying the proportion of fixed -rate versus variable -rate loans, using interest rate swaps). Investigating these strat...
Ngày tải lên : 15/03/2014, 14:20
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