ECB News: Last 30 days

• 21/05/2013
  Announcing 20130105 (MRO,liquidity providing), for 7 days deadline 09:30,  more
   
• 20/05/2013
  Fine-tuning operation,  more
   
• 17/05/2013
  Longer-term refinancing operation repayment,  more
   
• 17/05/2013
  Press release Schedules for the meetings of the Governing Council and the General Council of the ECB in 2014 and 2015,  en
   
• 17/05/2013
  Other decisions Decisions taken by the Governing Council of the ECB (in addition to decisions setting interest rates),  en
   
• 17/05/2013
  Speech Yves Mersch: “Built to Last”: The New Euro Area Framework,  en
   
• 17/05/2013
  Speech Benoît Cœuré: Monetary policy in the crisis – Confronting short-run challenges while anchoring long-run expectations,  en
   
• 16/05/2013
  20130104 (OT,liquidity providing):0 mn USD alloted ( 0% allotment at margin),  more
   
• 16/05/2013
  Speech Peter Praet: Adjustment and growth in the euro area,  en
   
• 15/05/2013
  20130103 (OT,liquidity absorbing):201000 mn EUR alloted (marginal 0.08%, weighted average 0.05%, 19.5967% allotment at margin),  more
   
• 15/05/2013
  20130100 (MRO,liquidity providing):103844.1 mn EUR alloted (fixed 0.5%, 100% allotment at margin),  more
   
• 15/05/2013
  ECB/2013/14 Guideline of the ECB of 15 May 2013 amending Guideline ECB/2006/4 on the Eurosystem’s provision of reserve management services in euro to central banks and countries located outside the euro area and to international organisations,  en
   
• 14/05/2013
  Announcing 20130100 (MRO,liquidity providing), for 7 days deadline 09:30,  more
   
• 14/05/2013
  Euro area securities issues statistics,  more
   
• 14/05/2013
  No. 1549: Optimal CSD reshaping towards T2S, by Fabien Mercier, Stephan Sauer, description,  download
   
  (JEL: G10, G20, L11) T2S is the single and harmonised IT platform for securities settlement in central bank money developed by the Eurosystem to promote integration in the European post-trading industry, and will go live in 2015. CSDs joining T2S are thus faced with the decision problem of determining to which degree they should reshape, that is, adapt their own IT infrastructure, human resources and business strategy to T2S. A more complete reshaping entails higher immediate fixed costs, but allows to benefit the most from the cost-reduction allowed by T2S. In this article we use a game theoretic approach to model the strategic choice of the CSDs. We then derive several results from this model. In particular, we give closed-form solutions for the degree of optimal reshaping and the optimal prices set in the unique equilibrium if the time-horizon is finite. In case of an infinite horizon we give a sufficient and necessary condition for the existence of another subgame perfect Nash equilibrium in which CSDs continually delay the decision to reshape. We argue this equilibrium is not robust and provide a condition under which a given CSD will always reshape, whatever the other CSDs’ strategy. We note that by adjusting the cost function and the interpretation of the reshaping parameter, the same game theoretic framework can be used to model the decision to join or not to join T2S.
• 14/05/2013
  No. 1548: Large global volatility shocks, equity markets and globalisation: 1885-2011, by Arnaud Mehl, description,  download
   
  (JEL: F30, F31, N20) I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre-1914) to the modern era of globalisation. To that end, I identify 43 such shocks over the period 1885-2011, defined as significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My estimates suggest that the response of global equity markets to these shocks in a panel of 16 countries is both statistically significant and large economically. On average, global equity market valuations correct by about 20% in the month when a shock occurs. There is substantial heterogeneity in responses both across countries and time, however, which can be partly explained by differences in global trade integration. I find no evidence that other potential theoretical determinants, such as output composition, country fundamentals or global policy responses matter, by contrast. These results shed light on a neglected aspect of globalisation, which creates opportunities but also heightens the exposure of economies to acute surges in global uncertainty and risk aversion.
• 13/05/2013
  Fine-tuning operation,  more
   
• 13/05/2013
  No. 1547: Current account reversals in industrial countries: does the exchange rate regime matter?, by Cosimo Pancaro, description,  download
   
  (JEL: F32, F41) This paper studies current account reversals in industrial countries across different exchange rate regimes. There are two major findings which have important implications for industrial economies with external imbalances: first, triggers of current account reversals differ between exchange rate regimes. While the current account deficit and the output gap are significant predictors of reversals across all regimes, reserve coverage, credit booms, openness to trade and the US short term interest rate determine the likelihood of reversals only under more rigid regimes. Conversely, the real exchange rate affects the probability of experiencing a reversal only under flexible arrangements. Second, current account reversals in advanced economies do not have an independent effect on growth. This result holds not only for industrial economies in general but also for countries with fixed exchange rate regimes in particular.
• 13/05/2013
  No. 1546: How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment, by Julien Idier, Gildas Lamé, Jean-Stéphane Mésonnier, description,  download
   
  (JEL: C5, E44, G2) We explore the practical relevance from a supervisor's perspective of a popular market-based indicator of the exposure of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be defined as its expected equity loss when the market itself is in its left tail. We estimate the dynamic MES recently proposed by Brownlees and Engle (2011) for a panel of 65 large US banks over the last decade and a half. Running panel regressions of the MES on bank characteristics, we first find that the MES can be roughly rationalized in terms of standard balance sheet indicators of bank financial soundness and systemic importance. We then ask whether the cross section of the MES can help to identify ex ante, i.e. before a crisis unfolds, which institutions are the more likely to suffer the most severe losses ex post, i.e. once it has unfolded. Unfortunately, using the recent crisis as a natural experiment, we find that standard balance-sheet metrics like the tier one solvency ratio are better able than the MES to predict equity losses conditionally to a true crisis.
• 13/05/2013
  Publication Letter from the ECB President to Mr Auke Zijlstra, MEP ,  download
   
• 13/05/2013
  Publication Letter from the ECB President to Mr Auke Zijlstra, MEP ,  download
   
• 13/05/2013
  Publication Letter from the ECB President to Ms Rodi Kratsa-Tsagaropoulou, MEP ,  download
   
• 13/05/2013
  Publication Letter from the ECB President to Ms Rodi Kratsa-Tsagaropoulou, MEP ,  download
   
• 13/05/2013
  Publication Letter from the ECB President to Ms Martina Anderson, MEP ,  download
   
• 13/05/2013
  Publication Letter from the ECB Vice-President to Mr Mario Borghezio, MEP ,  download
   
• 10/05/2013
  Longer-term refinancing operation repayment,  more
   
• 10/05/2013
  No. 1545: Catching falling knives: speculating on market overreaction, by Jean-Edouard Colliard, description,  download
   
  (JEL: D82, G0, G12, G14.) Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders, decrease the likelihood of short-lived mispricings by trading against price pressure. In the long-run however, such countervailing speculation amounts to signal-jamming, slowing down price discovery. These traders insure the market against short-run crashes by "catching falling knives". Higher adverse selection and slower convergence form the "premium" paid by other market participants.
• 10/05/2013
  No. 1544: House prices, home equity and entrepreneurships, by Stefano Corradin, Alexander Popov, description,  download
   
  (JEL: G21, L26) How does home ownership affect new business creation? We develop a model of career choice in the presence of liquidity constraints in which shocks to the value of real estate affect the propensity of potential entrepreneurs to borrow against the value of their property. Using a large US individual-level survey dataset over the 1996-2006 period, we show that a 10% increase in home equity raises the probability of transition into entrepreneurship by up to 14%. Our results persist when we use the topological elasticity of housing supply to generate variation in home equity that is orthogonal to entrepreneurial choice.
• 09/05/2013
  20130099 (OT,liquidity providing):0 mn USD alloted ( 0% allotment at margin),  more
   
• 09/05/2013
  Press release Statement by EC, ECB and IMF on the tenth review mission to Ireland,  en
   
• 09/05/2013
  Monthly Bulletin Monthly Bulletin, May 2013,  download
   
• 09/05/2013
  Statistics Pocket Book Statistics Pocket Book, May 2013,  download
   
• 09/05/2013
  Publication Article, Monthly Bulletin, May 2013, pp 71-83, An assessment of Eurosystem staff macroeconomic projections ,  download
   
• 09/05/2013
  Publication Article, Monthly Bulletin, May 2013, pp 85-101, Country adjustment in the euro area: where do we stand? ,  download
   
• 09/05/2013
  Publication Article, Monthly Bulletin, May 2013, pp 103-114, Target balances and monetary policy operations ,  download
   
• 08/05/2013
  20130098 (OT,liquidity absorbing):201000 mn EUR alloted (marginal 0.08%, weighted average 0.05%, 32.3651% allotment at margin),  more
   
• 08/05/2013
  20130097 (LTRO,liquidity providing):5230.3 mn EUR alloted (fixed 0.5%, 100% allotment at margin),  more
   
• 08/05/2013
  20130096 (MRO,liquidity providing):110289.6 mn EUR alloted (fixed 0.5%, 100% allotment at margin),  more
   
• 08/05/2013
  Speech Jörg Asmussen: Exchange of views with the Economic and Monetary Affairs Committee of the European Parliament on financial assistance to Cyprus,  en
   
• 07/05/2013
  Announcing 20130097 (LTRO,liquidity providing), for 35 days deadline 09:30,  more
   
• 07/05/2013
  Announcing 20130096 (MRO,liquidity providing), for 7 days deadline 09:30,  more
   
• 07/05/2013
  Publication Correspondent central banking model (CCBM) - Procedures for Eurosystem counterparties ,  download
   
• 07/05/2013
  CON/2013/31 Opinion on strengthening Banca Naţională a României’s institutional role and independence,  en
   
• 06/05/2013
  Fine-tuning operation,  more
   
• 06/05/2013
  Speech Yves Mersch: The euro and the ECB: Perspectives and challenges ahead,  en
   
• 06/05/2013
  Speech Mario Draghi: The euro, monetary policy and reforms,  en
   
• 03/05/2013
  Longer-term refinancing operation repayment,  more
   
• 03/05/2013
  Speech Benoît Cœuré: Where to exit to? Monetary policy implementation after the crisis,  en
   
• 03/05/2013
  MFI interest rate statistics,  more
   
• 03/05/2013
  No. 1543: Financial imbalances and household welfare: empirical evidence from the EU, by Livio Stracca, description,  download
   
  (JEL: E6) This paper uses Eurobarometer survey data from 26 EU countries to evaluate whether the general public cares about financial stability and imbalances over and above their effects on key macroeconomic variables such as unemployment and inflation. I confirm previous results in the literature that life satisfaction - a widely used measure of household welfare - negatively depends on the unemployment rate. In addition to previous results in the literature, I establish a strong empirical link between life satisfaction and consumer confidence as measured by the European Commission consumer survey. The main result of the paper is that life satisfaction generally does not systematically depend on a number of measures of financial imbalance based on credit and asset prices once the other macroeconomic controls are included.
• 03/05/2013
  No. 1542: Central bank liquidity provision, risk-taking and economic efficiency, by Ulrich Bindseil, Juliusz Jabłecki, description,  download
   
  (JEL: E58, G32) After the Lehman default, but also during the euro area sovereign debt crisis, central banks have tended to extend the ability of banks to take recourse to central bank credit operations through changes of the collateral framework (e.g. CGFS, 2008 - in consistence with previous narratives, such as Bagehot, 1873). We provide a simple four sector model of the economy in which we illustrate the relevant trade-offs, derive optimal central bank collateral policies, and show why in a financial crisis, in which liquidity shocks become more erratic and the total costs of defaults increase, central banks may want to allow for greater potential recourse of banks to central bank credit. The model also illustrates that the credit riskiness of counterparties and issuers is endogenous to the central bank's credit policies and related risk control framework. Finally, the model allows identifying the circumstances under which the counterintuitive case arises in which a relaxation of the central bank collateral policy may reduce its expected losses.
• 02/05/2013
  Speech Mario Draghi: Short address on the occasion of the launch of the Europa series €5 banknote,  en
   
• 02/05/2013
  Press release Eurosystem introduces Europa Series €5 banknote,  en
   
• 02/05/2013
  Press release ECB announces change in eligibility of marketable debt instruments issued or guaranteed by the Cypriot government,  en
   
• 02/05/2013
  Press release ECB announces details of refinancing operations with settlement in the period from 10 July 2013 to 8 July 2014,  en
   
• 02/05/2013
  Press release Monetary policy decisions,  en
   
• 02/05/2013
  Press conference Mario Draghi: Introductory statement to the press conference (with Q&A),  en
   
• 02/05/2013
  No. 1541: Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?, by Eleni Angelopoulou, Hiona Balfoussia, Heather Gibson, description,  download
   
  (JEL: E52, E51, E61, E63, E65) In this paper we construct Financial Conditions Indices (FCIs) for the euro area, for the period 2003 to 2011, using a wide range of prices, quantities, spreads and survey data, grounded in the theoretical literature. One FCI includes monetary policy variables, while two versions without monetary policy are also constructed, enabling us to study the impact of monetary policy on financial conditions. The FCIs constructed fit in well with a narrative of financial conditions since the creation of the monetary union. FCIs for individual euro area countries are also provided, with a view to comparing financial conditions in core and periphery countries. There is evidence of significant divergence both before and during the crisis, which becomes less pronounced when monetary policy variables are included in the FCI. However, the impact of monetary policy on financial conditions appears not to be entirely symmetric across the euro area.
• 02/05/2013
  ECB/2013/13 Decision of the ECB of 2 May 2013 on temporary measures relating to the eligibility of marketable debt instruments issued or fully guaranteed by the Republic of Cyprus,  en
   
• 01/05/2013
  20130093 (OT,liquidity absorbing):202500 mn EUR alloted (marginal 0.1%, weighted average 0.05%, 16.7259% allotment at margin),  more
   
• 01/05/2013
  20130089 (MRO,liquidity providing):105011.4 mn EUR alloted (fixed 0.75%, 100% allotment at margin),  more
   
• 01/05/2013
  20130092 (OT,liquidity providing):0 mn USD alloted ( 0% allotment at margin),  more
   
• 30/04/2013
  Announcing 20130089 (MRO,liquidity providing), for 6 days deadline 09:30,  more
   
• 30/04/2013
  Press release Europa series €5 banknote to be issued as of 2 May 2013,  en
   
• 30/04/2013
  Press release New ECB survey on credit terms and conditions in 
euro-denominated securities financing and OTC derivatives markets,  en
   
• 30/04/2013
  CON/2013/30 Opinion on macro-prudential policy,  en
   
• 29/04/2013
  Fine-tuning operation,  more
   
• 29/04/2013
  Speech Jörg Asmussen: CEEs and the crisis: current challenges and benefits,  en
   
• 29/04/2013
  Euro area economic and financial developments by institutional sector,  more
   
• 29/04/2013
  Publication Research Bulletin No. 18 ,  download
   
• 26/04/2013
  Longer-term refinancing operation repayment,  more
   
• 26/04/2013
  Press release Report on the results of the survey on the access to finance of SMEs in the euro area – October 2012 to March 2013,  en
   
• 26/04/2013
  Monetary developments in the euro area,  more
   
• 26/04/2013
  No. 1540: Can macroeconomists forecast risk? Event-based evidence from the euro area SPF, by Geoff Kenny, Thomas Kostka, Federico Masera, description,  download
   
  (JEL: C22, C53) We propose methods to evaluate the risk assessments collected as part of the ECB Survey of Professional Forecasters (SPF). Our approach focuses on direction-of-change predictions as well as the prediction of relatively more extreme macroeconomic outcomes located in the upper and lower regions of the predictive densities. For inflation and GDP growth, we find such surveyed densities are informative about future direction of change. Regarding more extreme high and low outcome events, the surveys are really only informative about GDP growth outcomes and at short-horizons. The upper and lower regions of the predictive densities for inflation are much less informative.
• 26/04/2013
  Publication Survey on the access to finance of SMEs in the euro area – October 2012 to March 2013 ,  download
   
• 26/04/2013
  CON/2013/29 Opinion on a consumer credit register,  en
   
• 26/04/2013
  ECB/2013/12 Recommendation of the ECB of 26 April 2013 to the Council of the European Union on the external auditors of Suomen Pankki ,  en
   
• 25/04/2013
  20130086 (LTRO,liquidity providing):2977.3 mn EUR alloted ( % allotment at margin),  more
   
• 25/04/2013
  20130088 (OT,liquidity providing):27 mn USD alloted (fixed 0.63%, 100% allotment at margin),  more
   
• 25/04/2013
  20130087 (OT,liquidity providing):1300 mn USD alloted (fixed 0.64%, 100% allotment at margin),  more
   
• 25/04/2013
  Speech Vítor Constâncio: Fragmentation and rebalancing in the euro area (slides from the presentation),  en
   
• 25/04/2013
  Press release Signs of improved financial market integration in second half of 2012,  en
   
• 25/04/2013
  Speech Jörg Asmussen: Saving the euro,  en
   
• 25/04/2013
  Occasional paper no. 145 Statistics and indicators for financial stability analysis and policy , by Jean-Marc Israël, Patrick Sandars, Aurel Schubert and Björn Fischer,  download
   
• 25/04/2013
  Publication Financial integration in Europe ,  download
   
• 24/04/2013
  Announcing 20130086 (LTRO,liquidity providing), for 98 days deadline 09:30,  more
   
• 24/04/2013
  20130085 (OT,liquidity absorbing):202500 mn EUR alloted (marginal 0.14%, weighted average 0.05%, 87.298% allotment at margin),  more
   
• 24/04/2013
  20130082 (MRO,liquidity providing):110406.9 mn EUR alloted (fixed 0.75%, 100% allotment at margin),  more
   
• 24/04/2013
  Press release Results of the April 2013 euro area bank lending survey,  en
   
• 24/04/2013
  Speech Vítor Constâncio: Presentation of the ECB Annual Report 2012 to the Committee on Economic and Monetary Affairs of the European Parliament,  en
   
• 24/04/2013
  No. 1539: Competition in bank-provided payment services, by Wilko Bolt, David Humphrey, description,  download
   
  (JEL: G21 L80 L00) Banks supply payment services that underpin the smooth operation of the economy. To ensure an efficient payment system, it is important to maintain competition among payment service providers but data available to gauge the degree of competition are quite limited. We propose and implement a frontierbased method to assess relative competition in bank-provided payment services. Billion dollar banks account for around ninety percent of assets in the US and those with around to billion in assets turn out to be both the most and the least competitive in payment services, not the very largest banks.
• 24/04/2013
  No. 1538: Retained interest in securitisations and implications for bank solvency, by Anna Sarkisyan, Barbara Casu, description,  download
   
  (JEL: G21; G32) Using US bank holding company data for the period 2001 to 2007, this paper examines the relationship between banks' retained interests in securitisations and insolvency risk. We find that the provision of credit enhancements and guarantees significantly increases bank insolvency risk, albeit this varies for different levels of securitisation outstanding. Specifically, retained interests increase insolvency risk for “large-scale” securitisers while having a risk-reducing effect for “small-scale” and/or first-time securitisers. In addition, we find that the type of facility provided has implications for bank risk, with those with the most subordinated (first-loss) position having the greater impact on banks' default risk. Finally, we find that engagement in third-party securitisations has no significant effect on bank risk.
• 24/04/2013
  Annual Report Annual Report 2012 ,  download
   
• 23/04/2013
  Announcing 20130082 (MRO,liquidity providing), for 8 days deadline 09:30,  more
   
• 23/04/2013
  Longer-term refinancing operation,  more
   
• 23/04/2013
  Press release Joint OeNB-ECB conference discusses the preparations for the launch of the new Europa series of euro banknotes,  en
   
• 23/04/2013
  No. 1537: Prediction using several macroeconomic models, by Gianni Amisano, John Geweke, description,  download
   
  (JEL: C11, C51 C53) Prediction of macroeconomic aggregates is one of the primary functions of macroeconometric models, including dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions. This study establishes methods that improve the predictions of these models, using a representative model from each class and a canonical 7-variable postwar US data set. It focuses on prediction over the period 1966 through 2011. It measures the quality of prediction by the probability densities assigned to the actual values of these variables, one quarter ahead, by the predictive distributions of the models in real time. Two steps lead to substantial improvement. The first is to use full Bayesian predictive distributions rather than substitute a "plug-in" posterior mode for parameters. Across models and quarters, this leads to a mean improvement in probability of 50.4%. The second is to use an equally-weighted pool of predictive densities from the three models, which leads to a mean improvement in probability of 41.9% over the full Bayesian predictive distributions of the individual models. This improvement is much better than that a¤orded by Bayesian model averaging. The study uses several analytical tools, including pooling, analysis of predictive variance, and probability integral transform tests, to understand and interpret the improvements.
• 23/04/2013
  No. 1536: Predictive likelihood comparisons with DSGE and DSGE-VAR models, by Anders Warne, Günter Coenen, Kai Christoffel, description,  download
   
  (JEL: C11, C32, C52, C53, E37) This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint predictive likelihoods for a fixed subset as special cases. The basic idea is to utilize well-known techniques for handling missing data when computing the likelihood function, such as a missing observations consistent Kalman filter for linear Gaussian models, but it also extends to nonlinear, nonnormal state-space models. The predictive likelihood can thereafter be calculated via Monte Carlo integration using draws from the posterior distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area-Wide Model, a small-open-economy DSGE model, to DSGEVARs, and to reduced-form linear Gaussian models.
• 22/04/2013
  Fine-tuning operation,  more
   
• 22/04/2013
  Speech Benoît Cœuré: Euro banknotes: a secure means of payment and a symbol of Europe,  en
   
• 22/04/2013
  Euro area investment fund statistics,  more